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Calculating Volume at Price

Overview

GMEX Gateways forward both Last Traded Price (LTP) and Last Traded Quantity (LTQ) directly from the exchange to client applications. However, Total Traded Quantity (TTQ) is calculated by the Price Server (TTQ is not available through the exchange API). By default LTP, LTQ, and TTQ automatically update for all trades that occur in the market. Off-exchange trades (e.g., OTC, block, etc.) do not update LTP or LTQ.

The exchange sends LTP in Rate and Present Value, and both values are sent to the client trading applications by the Price Server. In X_TRADER®, the Rate value is displayed for LTP. However, for P&L calculations, LTP in Present Value is used.

The High, Low, and Volume (TTQ) values are not disseminated through the API. The Price Server updates these values synthetically per trading session.

TTQ and VAP

GMEX Gateways calculate Volume (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 GMEX 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, GMEX Gateways install with Last-Traded-Quantity set to 1.

All GMEX 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.