Calculating Volume at Price (VAP)
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®).