Total Traded Quantity (TTQ) and Volume at Price (VAP)
Spread and Block Trades
- Include spread trades in their TTQ calculations
- Do not include spread 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.