Getting wrong bidHigh price?

Youholder · #1 (**permalink**) 10-21-2009, 01:18 AM

We recently met a strange phenomenon in receiving bidHigh price with PEC SDK.

By comparing the application provided by FXCM, we use TICKALL for subscribe type rather than ALL to receive bidHgh price.

The subscribing code is:

Code:

mdr.setFXCMTimingInterval(FXCMTimingIntervalFactory.TICK);
    mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
    mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_TICKALL);

But what we observed with bigHigh is very strange.
Take 2009-10-20(TPE) as example, the bidHigh of USD/CHF we received is:

00:00:08(TPE) receive 16:00:06(GMT) bidHigh=1.022799
... (no bidHigh update)
05:00:00(TPE) receive 21:00:00(GMT) bidHigh=1.011080
... (bidHgh update normally)
06:21:44(TPE) receive 22:21:44(GMT) bidHigh=1.012459
06:21:46(TPE) receive 22:21:45(GMT) bidHigh=1.012049
06:21:53(TPE) receive 22:21:52(GMT) bidHigh=1.012459
06:21:53(TPE) receive 22:21:52(GMT) bidHigh=1.012089
... (no more bidHigh update received)

restart our program at 11:51(TPE)
11:51:14(TPE) receive 3:51:05(GMT) bidHigh=1.012459

From the above observation, we found:

1. the bidHigh price is not keeping updated, although Bid and Ask are continuously updated at the mean time.
2. the udpated bigHigh could be even smaller than last bidHigh! (this is weird)

This is really troubling us in developing a reliable FXCM forex quoting app.
Can anyone have any suggestion on this issue?
It will be very appreciated.

Youholder

FXCM Help · #2 (**permalink**) 10-23-2009, 08:27 AM

The high and low on tick bars should not be looked at. The high and low is mainly for bars and is the high and the low of the bar.

If you want a session high and low, you would need to calculate that yourself or use Order2Go and grab the high and the low of the session from the rates table.

Please let us know if you have any other questions.