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Calculating Volume at Price (VAP)

Overview

To accurately convey market data sent from the exchange, the MX 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 MX 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 MX 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.

Default LTQ behavior

By default, the gateway accumulates LTQ for all trades that occur at that particular price. This behavior is configured in aconfg.xml with the Last-Traded-Quantity GAL setting, which is set to 0 by default.