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Calculating VAP on Eurex Gateways

Overview

This section uses the following terms to describe Volume at Price calculations on Eurex Gateways:

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

Last Traded Quantity and Last Traded Price

The price feed forwards both Last Traded Price (LTP) and Last Traded Quantity (LTQ) information from the exchange to the Price Server. The Eurex streaming price feed provides real-time market updates. This allows the Eurex Gateway to update both LTQ and LTP for non-OTC trades that occur in the market. In addition, the exchange does not include pro-rata spread trades in LTP and LTQ updates.

The exchange forwards netted price updates if trades occur at the same time and at the same price level. For these trades, the exchange forwards one LTQ update to reflect the multiple trades.

Example LTQ updates

If two separate 1-lot trades execute at the same time and at the identical price level, the exchange updates LTQ for both trades simultaneously. To the trader, LTQ reflects both 1-lot trades as a single, 2-lot update.

Since the exchange automatically accumulates LTQ, Eurex Gateways ignore the Last-Traded-Quantity parameter in the Aconfig Utility.

Total Traded Quantity and Volume at Price

You cannot configure VAP calculations on Eurex Gateways.

In most cases, TTQ equals VAP. The gateway calculates TTQ based on LTQ.

TTQ will not equal VAP when an OTC trade occurs. When an OTC trade occurs, TTQ is updated to include the trade. However, since OTC trades do not generate a price update, neither VAP, LTQ nor LTP is updated. This can cause TTQ to equal a value greater than VAP.

Additionally, TTQ will not equal VAP if the Eurex Gateway restarts intra-day. In this instance, VAP resets and begins accumulating from 0.

The Price Server stores VAP data to the checkpoint file upon a clean shutdown. Following a clean shutdown, the Price Server reads the VAP data from the checkpoint file and forwards this information to client applications. However, following a recovery, the TT Gateway resets VAP to equal 0.

Spread Trades and VAP

Eurex’s API provides updates for price-time spreads only. Pro-rata spread trades do not trigger updates to LTP and LTQ. Therefore, the Eurex Gateway cannot include pro-rata spread trades in VAP.