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Calculating Volume at Price (VAP)

Overview

To accurately convey market data sent from the exchange, the CFE Gateway calculates the following:

  • Total Traded Quantity at Price (TTQAP) or Volume at Price (VAP)
  • Total Traded Quantity (TTQ)
  • Last Traded Quantity (LTQ)
  • Last Traded Price (LTP)

TTQ, VAP, and Strategy Trades

The CFE Gateway includes Strategy trades in VAP and TTQ calculations, but excludes them from LTP, LTQ, and non-trade data (i.e., it’s not be available in Time and Sales in X_TRADER®).

Default LTQ behavior

By default, the gateway accumulates LTQ for all trades that occur at that particular price. This behavior is configured in aconfg.xml with the Last-Traded-Quantity GAL setting, which is set to 0 by default.