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Calculating Volume at Price

Overview

Public trade data is disseminated through the “FIX Ticker API”, where as market data and orders are sent through the “Fix Order API”. The FIX price session subscribes to both FIX Order API and FIX Ticker API price feed messages. The price session listens to the Ticker feed to update LTP/LTQ and Time & Sales data.

Eris/GovEx 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 spread trades. When a spread trade occurs, the exchange does not publish any associated trade information. You cannot configure this behavior.

The High, Low, Open, Close, Volume values are not disseminated through the API. The Price Server keeps track of the Ticker feed and updates these values synthetically.

TTQ, VAP, and Spread Trades

On Eris/GovEx Gateways, VAP and TTQ update simultaneously. Therefore, TTQ should always equal VAP. An 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 Eris/GovEx 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, Eris/GovEx Gateways install with Last-Traded-Quantity set to 1.

All Eris/GovEx Gateways store LTP and LTQ in physical memory. When the TT Gateway shuts down, the Windows OS 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.