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Calculating Volume at Price

Overview

MEFF Gateways forward both Last Traded Price (LTP) and Last Traded Quantity (LTQ) and Total Traded Quantity (TTQ) information directly from the exchange to client applications. By default LTP, LTQ, and TTQ 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 trade information. You cannot configure this behavior.

TTQ, VAP, and Spread Trades

On MEFF Gateways, VAP and TTQ update simultaneously. Therefore, TTQ should always equal VAP. An exception occurs if the Price Server experiences an unclean shutdown intra-day. In this instance, VAP resets to 0 and does not equal TTQ.

Configuring LTQ Behavior

You can configure whether the MEFF 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, MEFF Gateways install with Last-Traded-Quantity set to 0.

All MEFF Gateways store LTP and LTQ in physical memory. When the TT Gateway shuts down, the 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.