Calculating Volume at Price (VAP)
To accurately convey market data sent from the exchange, the LSE Gateway calculates the following:
- Total Traded Quantity at Price (TTQAP) or Volume at Price (VAP)
- Total Traded Quantity (TTQ)
- Last Traded Quantity (LTQ)
- Last Traded Price (LTP)
TTQ, VAP, and Strategy Trades
The LSE Gateway includes Strategy trades in VAP and TTQ calculations, but excludes them from LTP, LTQ, and non-trade data (i.e., it’s not be available in Time and Sales in X_TRADER®).
TTQ, VAP, and OTC Trades
The exchange sends OTC trades on the HSVF feed, but the LSE Gateway does not use this market data to update LTP, LTQ, TTQ, and VAP. The gateway makes OTC trade data available for contracts in the X_TRADER Time and Sales window.