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The High Trade Price data block is sent when a trade occurs which results in the highest trade price for the current session. Likewise, the Low Trade Price data block is sent when a trade occurs which results in the lowest trade price for the current session. High and low trade prices are helpful in tracking market trends. They also provide historical information for the current session regarding market behavior.

CME Group will provide high and low trade prices to reflect the event that produces them.

FIX Syntax for Session High Trade Price - Market Data Incremental Refresh

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

0

0 = new. Type of Market Data update action.

269

MDEntryType

7

7 = session high. Type of Market Data entry.

48

SecurityID

 

Unique instrument ID as qualified by the exchange.

83

RptSeq

 

Sequence number per Instrument update.

270

MDEntryPx

9550.00

Price of the Market Data Entry.


FIX Syntax for Session Low Trade Price - Market Data Incremental Refresh

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

0

0 = new. Type of Market Data update action.

269

MDEntryType

8

8 = session low. Type of Market Data entry.

48

SecurityID

 

Unique instrument ID as qualified by the exchange.

83

RptSeq

 

Sequence number per Instrument update.

270

MDEntryPx

9550.00

Price of the Market Data Entry.

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