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ICE Gateway

Calculating Volume at Price

Overview

In addition to aconfig_local.xml settings, ICE Gateways use two parameters in their hostinfo.cfg file [PriceServer] section: SystemPricedLegforLTP and IncludeSystemPricedLegsInVap. These parameters further refine how the TT Gateway calculates and communicates:

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

Default VAP Behavior

By default, ICE Gateways install with SystemPricedLegforLTP=0 and IncludeSystemPricedLegsInVap=1, meaning the ICE Gateway functions in the following manner:

  • VAP: Always updates and includes spread trades. VAP exactly matches TTQ.
  • LTQ and LTP: Does not include system generated prices (i.e., spread trades). This provides a more accurate picture of actual market activity.
Warning

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

VAP Behavior Matrix

The following table displays how configuring the SystemPricedLegforLTP and IncludeSystemPricedLegsInVap parameters affects the ICE Gateway in regards to VAP, TTQ, LTQ, and LTP.

Approaches to TTQAP

IncludeSystemPricedLegsInVap

SystemPricedLegForLTP

Gateway Behavior

1

0

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.

1

1

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.

0

0

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.

0

1

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.