MDP 3.0 - Session High and Low Trade Price
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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