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LSE Gateway Documentation

Support for Implied Prices


Implied-in prices sent by the exchange via the HSVF for LSE products only. However, implied-out prices are sent for both LSE and IDEM.

Implied prices are supported by the LSE Gateway and sent to the client trading applications. Users can configure X_TRADER® to display the implied prices in the Market Grid window.

TTQ, VAP, and Implied Trades

The LSE Gateway includes trades with implied prices to calculate the following:

  • Total Traded Quantity (TTQ) and Volume at Price (VAP)
  • Last Traded Quantity (LTQ)
  • Last Traded Price (LTP)