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Calculating Volume at Price

Overview

TT LME Gateways forward both Last Traded Price (LTP) and Last Traded Quantity (LTQ) directly from the exchange to client applications. By default, LTP and LTQ 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 close or settlement trade information. You cannot configure this behavior.

TTQ, VAP, and Spread Trades

LME does not disseminate Total Traded Quantity (TTQ).

Volume at Price (VAP) updates for every trade that occurs in the market except spread trades.

High and Low Prices

LME disseminates Session High and Low prices. The LME Gateway synthetically calculates these prices and sends them to the client trading applications. Open and Close prices sent by the exchange are also supported by the gateway.

Configuring LTQ Behavior

You can configure whether the TT LME 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, TT LME Gateways install set to 1.