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Calculating Volume at Price

Overview

Fenics Gateways forward Last Traded Price (LTP) and Last Traded Quantity (LTQ) directly from the exchange to client applications. Total traded volume is also sent on the price feed and is sent to client applications by the Price Server as the Total Traded Quantity (TTQ). By default LTP, LTQ, and TTQ automatically update for all trades that occur in the market.

The daily Open, High, and Low prices, as well as Volume (TTQ) are disseminated through the API. However, Close is not provided by the exchange. For each contract, the Fenics Gateway Price Server synthetically tracks the closing price, which is the price of the last trade for a trading session. 

TTQ and VAP

Fenics Gateways display the total traded volume from the exchange as the Total Traded Quantity (TTQ), and VAP and TTQ update simultaneously. Therefore, TTQ should always equal VAP. An exception occurs if the Price Server experiences a shutdown intra-day. In this instance, VAP resets to 0 and does not equal TTQ.

Configuring LTQ Behavior

You can configure whether the Fenics 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, Fenics Gateways install with Last-Traded-Quantity set to 1.

All TT Fenics 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.