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The high bid and low ask prices are used to indicate the highest bid and lowest ask prices of the session. These prices are useful in tracking market behavior. 

The high bid and low ask statistics are sent in continuous trading state only and are based on the arriving order price if it is better than previously reported high bid or low ask price for the session.

FIX Syntax for High Bid - Market Data Incremental Refresh (tag 35-MsgType=X)

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

0

0 = new. Type of Market Data update action.

269

MDEntryType

N

N = session high bid. Type of Market Data entry.

48

SecurityID

 

Unique instrument ID as qualified by the exchange.

83

RptSeq

 

Sequence number per Instrument update.

270

MDEntryPx

 

Price of the Market Data Entry


FIX Syntax for Low Ask - Market Data Incremental Refresh (tag 35-MsgType=X)

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

0

0 = new. Type of Market Data update action.

269

MDEntryType

O

O = session low ask. Type of Market Data entry.

48

SecurityID

 

Unique instrument ID as qualified by the exchange.

83

RptSeq

 

Sequence number per Instrument update.

270

MDEntryPx

 

Price of the Market Data Entry

High Bid and Low Ask Examples

Example 1: The First High Bid/Low Ask Statistics after Opening

After a group transitions to an Open state, the orders that remain on the book will determine the initial High Bid and Low Ask.

The orders remaining on the book after the opening event are displayed below.

Bid

Ask

Qty

Price

Price

Qty

 1177.325
1177.95

10

1176.8

 

20

1176.0

As the instrument opens with orders remaining from the pre-open, the following market data is reported:

High Bid = 1176.8  (Tag 269 = N and tag 270 = 1176.8)

Low Ask = 1177.3  (Tag 269 = O and tag 270 = 1177.3)

Example 2: Illiquid Markets

If there are no orders in a book or a very wide bid/ask spread and, for example a buy order is placed above the previous day’s settlement price and is cancelled before it is traded, it will generate a High Bid message upon entry into the book.

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