Determining Open/Close/High/Low for time period

fplpo_x · July 3, 2008, 11:56am

Imported from previous forum

fplpo_x · July 3, 2008, 11:56am

[ original email was from Keith Townsend - srinivas.chamarthi@gmail.com ]
Hi,
I am new to FIX and need help in understanding open/close/high/low prices based on MarketData I am subscribed to.

Do I need to request this information for all time periods I watch for ? e.g. If I want to plot a chart for five minute period based on information, do I need to issue MarketDataRequest for every five minutes for Open/Close/High/Low information for particular Symbol/Instrument ?

Could you pls. explain me how does it work with with an example ?

kaymahes_x · July 5, 2008, 4:02pm

The following are the market data messages you would use:-

Market Data Request ^35=V^
Market Data-Snapshot/Full Refresh ^35=W^
Market Data-Incremental Refresh ^35=X^
Market Data Request Reject ^35=Y^

Read thru FIX.4.2 spec for these message types under “Application messages” (page 63 in wordperfect rendered fix-42-with_errata_20010501.doc). The 4.2 spec can be downloaded from

http://fixprotocol.org/specifications/fix4.2spec

Regards,
K. Mahesh

Hi, I am new to FIX and need help in understanding open/close/high/low
prices based on MarketData I am subscribed to.

Do I need to request this information for all time periods I watch for ?
e.g. If I want to plot a chart for five minute period based on
information, do I need to issue MarketDataRequest for every five minutes
for Open/Close/High/Low information for particular Symbol/Instrument ?

Could you pls. explain me how does it work with with an example ?

keithtownsend_x · July 7, 2008, 3:40pm

I am using FIX 4.4 but only the following types for MDEntryType are allowed.

0 = Bid
1 = Offer
2 = Trade
3 = IndexValue
4 = Opening
5 = Closing
6 = Settlement
7 = TradingHigh
8 = TradingLow
9 = TradingVWAP
A = Imbalance
B = TradeVolume
C = OpenInterest

But I am looking for something like prev high/prev low, prev opening/prev closing price for every five minutes to plot five minute charts based on intra-day data.

is this something supported in fix 4.4 ? if , could you please let me know what MDEntryTypes I should be using ?

appreciate your help

The following are the market data messages you would use:-

Market Data Request ^35=V^

Market Data-Snapshot/Full Refresh ^35=W^

Market Data-Incremental Refresh ^35=X^

Market Data Request Reject ^35=Y^

Read thru FIX.4.2 spec for these message types under “Application
messages” (page 63 in wordperfect rendered fix-42-
with_errata_20010501.doc). The 4.2 spec can be downloaded from

http://fixprotocol.org/specifications/fix4.2spec

Regards,
K. Mahesh

Hi, I am new to FIX and need help in understanding open/close/high/low
prices based on MarketData I am subscribed to.

Do I need to request this information for all time periods I
watch for ?
e.g. If I want to plot a chart for five minute period based on
information, do I need to issue MarketDataRequest for every five
minutes for Open/Close/High/Low information for particular
Symbol/Instrument ?

Could you pls. explain me how does it work with with an example ?

keithtownsend_x · July 8, 2008, 6:14am

Hi guys,

I am stuck at this point, appreciate any help

I am using FIX 4.4 but only the following types for MDEntryType
are allowed.
   = Bid 1 = Offer 2 = Trade 3 = IndexValue 4 = Opening 5 = Closing
   6 = Settlement 7 = TradingHigh 8 = TradingLow 9 = TradingVWAP A =
   Imbalance B = TradeVolume C = OpenInterest
But I am looking for something like prev high/prev low, prev
opening/prev closing price for every five minutes to plot five minute
charts based on intra-day data.

is this something supported in fix 4.4 ? if , could you please let me
know what MDEntryTypes I should be using ?

appreciate your help

The following are the market data messages you would use:-

Market Data Request ^35=V^

Market Data-Snapshot/Full Refresh ^35=W^

Market Data-Incremental Refresh ^35=X^

Market Data Request Reject ^35=Y^

Read thru FIX.4.2 spec for these message types under “Application
messages” (page 63 in wordperfect rendered fix-42-
with_errata_20010501.doc). The 4.2 spec can be downloaded from

http://fixprotocol.org/specifications/fix4.2spec

Regards,
K. Mahesh

Hi, I am new to FIX and need help in understanding
open/close/high/low prices based on MarketData I am subscribed to.

Do I need to request this information for all time periods I
watch for ?
e.g. If I want to plot a chart for five minute period based on
information, do I need to issue MarketDataRequest for every
five minutes for Open/Close/High/Low information for particular
Symbol/Instrument ?

Could you pls. explain me how does it work with with an example ?

hanno.klein · July 8, 2008, 9:29am

Complex statistical information is an area where FIX needs some extensions, possibly new message types, e.g. MarketDataStatistics. I am not sure it would be good to further overload MDEntryType for this purpose. There are people who have come across the same problem but so far, no formal Gap Analysis has been submitted to the FIX GTC to my knowledge.

Obviously, you need a receiving end that actually calculates the statistics you require every five minutes.

Regards,
Hanno.

PS: Sorry to leave you more or less “stuck” for now.

Hi guys,

I am stuck at this point, appreciate any help
I am using FIX 4.4 but only the following types for MDEntryType are
allowed.
   = Bid 1 = Offer 2 = Trade 3 = IndexValue 4 = Opening 5 =
   = Closing
   6 = Settlement 7 = TradingHigh 8 = TradingLow 9 = TradingVWAP A
   = Imbalance B = TradeVolume C = OpenInterest
But I am looking for something like prev high/prev low, prev
opening/prev closing price for every five minutes to plot five minute
charts based on intra-day data.

is this something supported in fix 4.4 ? if , could you please let me
know what MDEntryTypes I should be using ?

appreciate your help

The following are the market data messages you would use:-

Market Data Request ^35=V^

Market Data-Snapshot/Full Refresh ^35=W^

Market Data-Incremental Refresh ^35=X^

Market Data Request Reject ^35=Y^

Read thru FIX.4.2 spec for these message types under “Application
messages” (page 63 in wordperfect rendered fix-42-
with_errata_20010501.doc). The 4.2 spec can be downloaded from

http://fixprotocol.org/specifications/fix4.2spec

Regards,
K. Mahesh

Hi, I am new to FIX and need help in understanding
open/close/high/low prices based on MarketData I am subscribed to.

Do I need to request this information for all time periods I watch
for ?
e.g. If I want to plot a chart for five minute period based on
information, do I need to issue MarketDataRequest for every
five minutes for Open/Close/High/Low information for
particular Symbol/Instrument ?

Could you pls. explain me how does it work with with an example ?

keithtownsend_x · July 8, 2008, 1:11pm

thx Hanno for quick response. But Could you pls. let me know what is the data I require to compute this information ? like Bid/Ask ?

and how do I calculate HLOC ? based on this information ?

Complex statistical information is an area where FIX needs some
extensions, possibly new message types, e.g. MarketDataStatistics. I am
not sure it would be good to further overload MDEntryType for this
purpose. There are people who have come across the same problem but so
far, no formal Gap Analysis has been submitted to the FIX GTC to my
knowledge.

Obviously, you need a receiving end that actually calculates the
statistics you require every five minutes.

Regards, Hanno.

PS: Sorry to leave you more or less “stuck” for now.
Hi guys,

I am stuck at this point, appreciate any help
I am using FIX 4.4 but only the following types for MDEntryType are
allowed.
   = Bid 1 = Offer 2 = Trade 3 = IndexValue 4 = Opening 5 =
   = Closing
   6 = Settlement 7 = TradingHigh 8 = TradingLow 9 = TradingVWAP
   A
   = Imbalance B = TradeVolume C = OpenInterest
But I am looking for something like prev high/prev low, prev
opening/prev closing price for every five minutes to plot five
minute charts based on intra-day data.

is this something supported in fix 4.4 ? if , could you please let
me know what MDEntryTypes I should be using ?

appreciate your help

The following are the market data messages you would use:-

Market Data Request ^35=V^

Market Data-Snapshot/Full Refresh ^35=W^

Market Data-Incremental Refresh ^35=X^

Market Data Request Reject ^35=Y^

Read thru FIX.4.2 spec for these message types under “Application
messages” (page 63 in wordperfect rendered fix-42-
with_errata_20010501.doc). The 4.2 spec can be downloaded from

http://fixprotocol.org/specifications/fix4.2spec

Regards,
K. Mahesh

Hi, I am new to FIX and need help in understanding
open/close/high/low prices based on MarketData I am subscribed
to.

Do I need to request this information for all time periods I
watch for ?
e.g. If I want to plot a chart for five minute period based on
information, do I need to issue MarketDataRequest for every
five minutes for Open/Close/High/Low information for
particular Symbol/Instrument ?

Could you pls. explain me how does it work with with an
example ?

keithtownsend_x · July 8, 2008, 1:21pm

is this how we calculate ?

High = highest ask price
Low = lowest bid price
Open = (Bid+Ask)/2
Close = (Bid+Ask)/2

thx Hanno for quick response. But Could you pls. let me know what is the
data I require to compute this information ? like Bid/Ask ?

and how do I calculate HLOC ? based on this information ?
Complex statistical information is an area where FIX needs some
extensions, possibly new message types, e.g. MarketDataStatistics. I
am not sure it would be good to further overload MDEntryType for this
purpose. There are people who have come across the same problem but so
far, no formal Gap Analysis has been submitted to the FIX GTC to my
knowledge.

Obviously, you need a receiving end that actually calculates the
statistics you require every five minutes.

Regards, Hanno.

PS: Sorry to leave you more or less “stuck” for now.
Hi guys,

I am stuck at this point, appreciate any help
I am using FIX 4.4 but only the following types for MDEntryType
are allowed.
   = Bid 1 = Offer 2 = Trade 3 = IndexValue 4 = Opening 5 =
   = Closing
   6 = Settlement 7 = TradingHigh 8 = TradingLow 9 =
   TradingVWAP A
   = Imbalance B = TradeVolume C = OpenInterest
But I am looking for something like prev high/prev low, prev
opening/prev closing price for every five minutes to plot five
minute charts based on intra-day data.

is this something supported in fix 4.4 ? if , could you please let
me know what MDEntryTypes I should be using ?

appreciate your help

The following are the market data messages you would use:-

Market Data Request ^35=V^

Market Data-Snapshot/Full Refresh ^35=W^

Market Data-Incremental Refresh ^35=X^

Market Data Request Reject ^35=Y^

Read thru FIX.4.2 spec for these message types under
“Application messages” (page 63 in wordperfect rendered fix-42-
with_errata_20010501.doc). The 4.2 spec can be downloaded from

http://fixprotocol.org/specifications/fix4.2spec

Regards,
K. Mahesh

Hi, I am new to FIX and need help in understanding
open/close/high/low prices based on MarketData I am subscribed
to.

Do I need to request this information for all time periods I
watch for ?
e.g. If I want to plot a chart for five minute period based on
information, do I need to issue MarketDataRequest for
every five minutes for Open/Close/High/Low information
for particular Symbol/Instrument ?

Could you pls. explain me how does it work with with an
example ?

hanno.klein · July 8, 2008, 1:55pm

I am afraid this goes beyond the scope of this forum. I believe to understand that you want to calculate the high and low values for specific time periods. You need to understand first what kind of data is being sent to you. It is more likely to be as follows:

High = highest traded price of the day
Low = highest traded price of the day
Open = price of first trade (or crossing/opening auction)
Last = price of last trade (or crossing/closing auction)

There are also values for Session High Bid and Session Low Offer but you need to know what is being sent to you. The interface spec of the system you connect to should tell you that.

Hope this helps,
Hanno.

is this how we calculate ?

High = highest ask price Low = lowest bid price Open = (Bid+Ask)/2 Close
= (Bid+Ask)/2

thx Hanno for quick response. But Could you pls. let me know what is
the data I require to compute this information ? like Bid/Ask ?

and how do I calculate HLOC ? based on this information ?

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Determining Open/Close/High/Low for time period

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