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CME Gateway

Configuring Total Traded Quantity at Price (VAP)

Overview

To accurately convey market data sent from the exchange, you can configure how the CME 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)

By configuring both the IncludeSpreadTrades and the IncludeSpreadTradesInVap parameters in the [price_session] section of hostinfo.cfg, you can set the TT Gateway to calculate VAP similar to previous versions, according to the current version’s default or a mixture of the two. By default, these parameters are not present, and the Gateway behaves as described in the first row of the following table.

Warning

Using approaches other than the current default will cause LTQ, LTP, and TTQAP to update unexpectedly. This will have negative effects on tools (i.e. Autospreader®, etc.) that use these values to trigger an event because the updates may be away from the inside market when the updates occur.

Approaches to TTQAP

The following table shows the possible configurations and their effect on the CME Gateway:

Approaches to TTQAP
IncludeSpreadTradesInVap SettingIncludeSpreadTrades SettingGateway Behavior

Y

N

The Gateway exhibits the following behaviors:

  • VAP: Always updates and includes spread trades. VAP exactly matches TTQ.
  • LTQ and LTP: Does not include spread trades. This provides a more accurate picture of actual market activity.

This is the current default behavior.

Y

Y

The Gateway exhibits the following behaviors:

  • VAP: Always updates and includes spread trades. VAP exactly matches TTQ.
  • LTQ and LTP: Always updates even when a spread trade occurs. This can cause LTQ and LTP to equal values away from the inside market.

This is the default behavior for previous versions of the Gateway.

N

N

The Gateway exhibits the following behaviors:

  • VAP: Updates only for legs and not for spreads. VAP on legs does not equal TTQ.
  • LTQ and LTP: Does not include spread trades. This provides a more accurate picture of actual market activity.

N

Y

The Gateway exhibits the following behaviors:

  • VAP: Updates only for legs and not for spreads. VAP on legs does not equal TTQ.
  • LTQ and LTP: Always updates even when a spread trade occurs. This can cause LTQ and LTP to equal values away from the inside market.