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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. 

In the case when an arriving order to buy at 9751 immediately fully traded at 9750 with the sell order resting on the book at 9750, the limit price of 9751 would still be considered as the highest bid of 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 high 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 there may be GT or pre-open orders that have not fully traded during the opening.  A new high bid or low ask will not be generated until a new arriving order or a cancel replace is accepted and entered into the order book while the group is in continuous trading.  Any first arriving order generates the highest bid or lowest ask statistics, even in cases when the arriving order price is worse than the best price on the bid or offer side.

In October 2015, there will be a software update which will change the behavior of the High Bids and Low Offers when an instrument transitions from Pre-Open to Open Trading.

An example of the new method of disseminating High Bids and Low Offers is shown below:

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

Bid

Ask

Qty

Price

Price

Qty

10

1176.8

1177.3

25

20

1176.0

1177.9

5

As the instrument opens with orders remaining from the pre-open, the following market data is reported regardless if the orders were placed during the current trading date or previous sessions:

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.

Example 3: Aggressing Orders Above / Below Current Bid/Ask

In the case when an arriving order to buy at 9753 immediately fully trades at 9750 with the sell order resting on the book at 9750, the limit price of 9753 is considered the highest bid of the session.  Even if at the time the order is entered, there are better offers in the book.

Aggressing order --> Buy 25 @ 9753

Bid

Ask

Qty

Price

Price

Qty

103

9749

9750

150

475

9748

9751

529

The event would include the following messages:

  • Trade - (tag 269=2, tag 270=9750, tag 271=25)
  • Volume Update - (tag 269=e, tag 271=195864)
  • Book Update - (tag 269=1, tag 279=1, tag 271=125)
  • Statistics - (tag 269=N, tag 270=9753)

 

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