# Determining Open/Close/High/Low for time period **URL:** \ **Category:** General Q&A\ **Tags:** general-qa, xid\_167381, imported\ **Created:** [July 3, 2008, 11:56am UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182 "2008-07-03T11:56:19Z")\ **Posts on this page:** 9\ **Page:** 1
**Author:** ![fplpo\_x](https://avatars.discourse-cdn.com/v4/letter/f/7ab992/32.png) [@fplpo\_x](https://forum.fixtrading.org/u/fplpo_x)\ **Post date:** [July 3, 2008, 11:56am UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/1 "2008-07-03T11:56:19Z")
Imported from previous forum ---
**Author:** ![fplpo\_x](https://avatars.discourse-cdn.com/v4/letter/f/7ab992/32.png) [@fplpo\_x](https://forum.fixtrading.org/u/fplpo_x)\ **Post date:** [July 3, 2008, 11:56am UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/2 "2008-07-03T11:56:19Z")
[original email was from Keith Townsend - [srinivas.chamarthi@gmail.com](mailto: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 ? ---
**Author:** ![kaymahes\_x](https://avatars.discourse-cdn.com/v4/letter/k/c2a13f/32.png) [@kaymahes\_x](https://forum.fixtrading.org/u/kaymahes_x)\ **Post date:** [July 5, 2008, 4:02pm UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/3 "2008-07-05T16:02:35Z")
The following are the market data messages you would use:- 1. Market Data Request ^35=V^ 2. Market Data-Snapshot/Full Refresh ^35=W^ 3. Market Data-Incremental Refresh ^35=X^ 4. 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](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 ? ---
**Author:** ![keithtownsend\_x](https://avatars.discourse-cdn.com/v4/letter/k/a183cd/32.png) [@keithtownsend\_x](https://forum.fixtrading.org/u/keithtownsend_x)\ **Post date:** [July 7, 2008, 3:40pm UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/4 "2008-07-07T15:40:20Z")
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:- > > 1. Market Data Request ^35=V^ > 2. Market Data-Snapshot/Full Refresh ^35=W^ > 3. Market Data-Incremental Refresh ^35=X^ > 4. 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](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 ? ---
**Author:** ![keithtownsend\_x](https://avatars.discourse-cdn.com/v4/letter/k/a183cd/32.png) [@keithtownsend\_x](https://forum.fixtrading.org/u/keithtownsend_x)\ **Post date:** [July 8, 2008, 6:14am UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/5 "2008-07-08T06:14:54Z")
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:- > > > > 1. Market Data Request ^35=V^ > > 2. Market Data-Snapshot/Full Refresh ^35=W^ > > 3. Market Data-Incremental Refresh ^35=X^ > > 4. 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](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 ? ---
**Author:** ![hanno.klein](https://yyz2.discourse-cdn.com/flex010/user_avatar/forum.fixtrading.org/hanno.klein/32/38_2.png) [@hanno.klein](https://forum.fixtrading.org/u/hanno.klein)\ **Post date:** [July 8, 2008, 9:29am UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/6 "2008-07-08T09:29:45Z")
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:- > > > > > > 1. Market Data Request ^35=V^ > > > 2. Market Data-Snapshot/Full Refresh ^35=W^ > > > 3. Market Data-Incremental Refresh ^35=X^ > > > 4. 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](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 ? ---
**Author:** ![keithtownsend\_x](https://avatars.discourse-cdn.com/v4/letter/k/a183cd/32.png) [@keithtownsend\_x](https://forum.fixtrading.org/u/keithtownsend_x)\ **Post date:** [July 8, 2008, 1:11pm UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/7 "2008-07-08T13:11:11Z")
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:- > > > > > > > > 1. Market Data Request ^35=V^ > > > > 2. Market Data-Snapshot/Full Refresh ^35=W^ > > > > 3. Market Data-Incremental Refresh ^35=X^ > > > > 4. 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](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 ? ---
**Author:** ![keithtownsend\_x](https://avatars.discourse-cdn.com/v4/letter/k/a183cd/32.png) [@keithtownsend\_x](https://forum.fixtrading.org/u/keithtownsend_x)\ **Post date:** [July 8, 2008, 1:21pm UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/8 "2008-07-08T13:21:04Z")
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:- > > > > > > > > > > 1. Market Data Request ^35=V^ > > > > > 2. Market Data-Snapshot/Full Refresh ^35=W^ > > > > > 3. Market Data-Incremental Refresh ^35=X^ > > > > > 4. 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](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 ? ---
**Author:** ![hanno.klein](https://yyz2.discourse-cdn.com/flex010/user_avatar/forum.fixtrading.org/hanno.klein/32/38_2.png) [@hanno.klein](https://forum.fixtrading.org/u/hanno.klein)\ **Post date:** [July 8, 2008, 1:55pm UTC](https://forum.fixtrading.org/t/determining-open-close-high-low-for-time-period/4182/9 "2008-07-08T13:55:16Z")
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 ?