Hi,

I am requesting historical daily bars for @ES#. eg: "HDX,@ES#,300,1".
If I understand by observation of the data, while the market is open, today's daily bar (OHLC) is not returned until the close of the session?

If today's daily bar (OHLC) *is* returned while the market is open as a result of the HDX command, stop reading, I have a bug :)

Otherwise, here's my issue. I build my own bars so with the close I can build the daily bar. But if I request daily data in the middle of the session I need the HL for the day.

I know I could make a level1 request for @ES# and get the realtime HL for the day from there. But, to save bandwidth, one of the first commands I issue on the level1 socket is:
S,SELECT UPDATE FIELDS,Last,Total Volume,Last Size,Last TimeMS,Symbol

Given that, is the best practice for getting the intraday HL of the daily bar to:
S,SELECT UPDATE FIELD, .... asking for the HL?

Once I have it, resend my command to limit the fields? eg:
S,SELECT UPDATE FIELDS,Last,Total Volume,Last Size,Last TimeMS,Symbol

Or is there a another/better way?

Hope this made sense.
Thanks, Matt.

During the current trading session, the only ways to get the current High and Low values would be from a Level 1 watch or by requesting tick history and building it yourself from 'C' trades.

If you choose to go the level 1 route, I would recommend simply adding High and Low to your current fields. It will not change your internet bandwidth (only your local bandwidth) because the data is already there on your machine but you currently have it filtered out.