Subscribing for Market Data

Price notations

Exchanges introduced points as a notation that allowed contract prices to be expressed in a shortened format. Exchanges define a Point Value for all contracts that they list, which enables you to convert from the full price of a contract to points by dividing the price by the Point Value. For example, the Point Value for the Eurex Euro Bund futures (FGBL) is defined as €1000. A FGBL futures contract with a price of €114,000 can also be expressed as 114 points (€114,000/€1000).

Exchanges also define a Tick Size for all contracts they list that represents the minimum allowable price movement in points. For example, the Tick Size for the FGBL futures is defined as 1/100 of a point. You can express a price in ticks by dividing the price in points by the Tick Size. You can express a FGBL futures price of 114 points as 11,400 ticks (114/(1/100)).

The following table lists a sample of the allowable trading prices for FGBL futures in these various formats.

Tick value

The Tick Value is the dollar value of the minimum allowable price movement. It is calculated by multiplying the Point Value by the Tick Size. The Tick Value of an FGBL futures is €10, calculated as follows:

The Tick Value is used to calculate P&L in contract currency as follows:

So, for example, if you bought 2 FGBL-Dec13 futures contracts at 99 99/100 and sold 2 FGBL-Dec13 futures contracts at 100 2/100, your P&L in contract currency would be €60:

P&L calculations use Tick Values because integer math is faster and not prone to rounding errors.

After the subscription starts, TT Core SDK invokes the event handler method you registered with the subscription for every price update passing an instance of a PriceSnap struct. The PriceSnap struct contains members for each element of market data, such as:

It also contains an array of the DepthLevel struct for bid depth and an array of the DepthLevel struct for ask depth.

DepthSnap asks; DepthSnap bids; Note: All prices are delivered in Points. The following code snippet demonstrates how to process a price subscription update.

After the subscription starts, TT Core SDK invokes the event handler method you registered with the subscription for every Time & Sales update passing an instance of a TimeSales struct. The TimeSales struct contains an array of Trade struct instances where each contains the data corresponding to a trade that occurred in the market, including:

In other words, you will receive data for one or more trades when this callback is fired. The following code snippet demonstrates how to process a price subscription update.

How TT Represents Ticks

A price in ticks is always an integer value. With this in
mind, consider the following exchange contract specification
for FGBL.

Notice that the Tick Size is the same for both the futures and
the calendar spreads. Now assume that you bought one
FGBL-Sep20xDec20 spread at 1/100 and received the following
fills.

Converting these prices to ticks format, you get:

• Price (ticks) of FGBL-Sep20 = (114 15/100) / (1/100) = 11415
• Price (ticks) of FGBL-Dec20 = (114 14/100) / (1/100) = 11411

If you then sold 1 FGBL-Sep20 future at 114 17/100, your
P&L for the FGBL-Sep20 contract would be:

• P&L (contract currency) = 1 x (11417 – 11415) x €10 =
  €20

Now consider the following exchange contract specifications
for the CBOT 30-year US Treasury Bond futures and calendar
spreads.

Notice that the Tick Size and Tick Value of the calendar
spread is defined as a factor of four smaller than those of
the futures contract. Now assume that you bought one
ZB-Sep20xDec20 spread at 1/128 and received the following
fills:

Converting these prices to ticks format, you get:

• Price (Ticks) of ZB-Sep20 = (114 15/128) / (1/32) = 3651.75
• Price (Ticks) of ZB-Dec20 = (114 14/128) / (1/32) = 3651.50

Notice that you can receive futures fill prices that are not
evenly divisible by the Tick Size when corresponding spreads
trade in a smaller Tick Size. Because ticks are integers,
these values would be incorrectly rounded to the nearest whole
number. All calculations involving these fill prices would
then be wrong, including P&L.

As a result, TT calculates the least common denominator of the
Tick Sizes of all contracts of the same product and defines
this as the TT Base Tick Size. TT also defines a TT Base Tick
Size Multiplier for each contract to calculate the actual Tick
Size. It determines the Tick Size for a contract using the
following formula:

• Tick Size = TT Base Tick Size x TT Base Tick Size Multiplier

Because FGBL futures and calendar spreads have the same Tick
Size, TT sets the TT Base Tick Size of both to 1/100 and sets
the TT Base Tick Size Multiplier of both to 1, as shown:

However, because ZB futures and calendar spreads have
different Tick Sizes, TT sets the TT Base Tick Size of both to
1/128 (128 is the least common denominator). TT also sets the
TT Base Tick Size Multiplier of the futures to 4 (since 1/128
x 4 = 1/32) and the TT Base Tick Size Multiplier of the
spreads to 1 (since 1/128 x 1 = 1/128).

TT applications use the TT Base Tick Size when converting a
price to ticks. For the FGBL fills listed above, the
calculations yield the same results, because the Tick Size and
the TT Base Tick Size are the same. For the ZB fills listed
above, however, the calculations yield the following:

• Price (Ticks) of ZB-Sep20 = (114 15/128) / (1/128) = 14607
• Price (Ticks) of ZB-Dec20 = (114 14/128) / (1/128) = 14606

Notice that the result represents the number of ticks of size
1/128. The TT Tick Value corresponding to the TT Tick Size is
calculated as follows:

• TT Tick Value = Point Value x TT Tick Size = $1000 x (1/128)
  = $7.8125

If you then sold 1 ZB-Sep20 future at 114 5/32 (dividing by
1/128 gives 14,612 ticks), your P&L for the ZB-Sep20
contract would be:

• P&L (contract currency) = 1 x (14,612 – 14,607) x
  $7.8125 = $39.0625

TT Display Format

TT developed a variety of algorithms to convert prices in
points to the TT Display format, based on how traders prefer
to see prices for particular products in TT. For example, the
algorithm associated with Eurex FGBL futures simply converts
the price in points to a string without any additional
processing. For example, if the price of an FGBL contract in
Points is 100.02, TT displays “100.02”.

The algorithm associated with a CBOT ZB spread converts the
price in points to a string as shown in the following table.
Recall that the Tick Size of CBOT ZB spreads is 1/128,
sometimes known in the industry as “1/4 of 1/32”.

Note: Market data subscriptions are throttled at 750 per second and applications are limited to making no more than 15,000 market data subscriptions.

To create a price subscription and start receiving updates, you:

The following code snippet demonstrates an example of this process.

To create a Time and Sales subscription and start receiving updates, you:

The following code snippet demonstrates an example of this process.