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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

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