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NYSE Liffe Gateway

Calculating Volume at Price

Overview

TT Gateways forward both Last Traded Price (LTP) and Last Traded Quantity (LTQ) information directly from the exchange to client applications. By default LTP and LTQ automatically update for all trades that occur in the market with the following exceptions:

  • Outrights on spread trades: When a spread trade occurs, TT Gateways only update LTP and LTP for spreads themselves but not the related outright contracts.
  • Over-the-counter (OTC) trades: TT Gateways do not update LTP and LTQ for OTC/block trades.

trades but not and over-the-counter (OTC) trades, for which the exchange does not provide price data. You cannot configure this behavior.

Enabling Volume at Price (VAP)

You can configure whether TT Gateways 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.
  • 1: Do not accumulate LTQ. The TT Gateway only sends price information relevant to the last trade.

By default TT Gateways install set to 1. The Price Server does not accumulate LTQ for each consecutive trade and does not include it with its price updates.

All TT Gateways store LTP and LTQ in physical memory. When the TT Gateway shutdowns, 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.

Last Traded Price/ Last Traded Quantity (LTP/LTQ)

TT Gateways:

  • Do not include block trades in their TTQ calculations
  • Do not include spread and block trades in their VAP calculations.

In most cases, TTQ equals VAP. However, TTQ will not equal VAP when a spread or a block trade occurs. When a block trade or a spread trade occurs, the Price Server updates TTQ to include the trade but does not generate a price update. For this reason, VAP, LTQ, and LTP do not update and can cause TTQ to be greater than VAP.