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Calculating Volume at Price

Overview

BrokerTec Gateways forward both Last Traded Price (LTP) and Last Traded Quantity (LTQ) and Total Traded Quantity (TTQ) information directly from the Exchange to client applications. By default LTP, LTQ, and TTQ automatically update for all trades that occur in the market with the exception of intra-firm trades. When an intra-firm trade occurs, the Exchange does not publish any associated trade information. You cannot configure this behavior.

TTQ, VAP, and Spread Trades

The Exchange does not support spread trades. Therefore, both TTQ and VAP update for every trade that occurs in the market (except intra-firm trades).

On BrokerTec Gateways, VAP and TTQ update simultaneously. Therefore, TTQ should always equal VAP. The exception occurs if the Price Server experiences an unclean shutdown intra-day. In this instance, VAP resets to 0 and does not equal TTQ.

Configuring LTQ Behavior

You can configure whether the BrokerTec Gateway accumulates the Last Traded Quantity using the Last-Traded-Quantity parameter in the aconfig_local.xml file. This parameter has two available values:

  • 0: Accumulate LTQ. The TT Gateway keeps a count of all consecutive trades that occur at the same price. The Price Server forwards this information with all price updates related to last traded price and last traded quantity.
  • 1: Do not accumulate LTQ. The TT Gateway only sends price information relevant to the last trade.

By default, BrokerTec Gateways install set to 0.

All BrokerTec Gateways store LTP and LTQ in physical memory. When the TT Gateway shuts down, the Order Server clears its memory and the TT Gateway resets LTQ and LTP to 0. The TT Gateway resets its stored LTP and LTQ values on shutdown regardless of the setting you use in Last-Traded-Quantity.