TFX Gateway Documentation
- TT TFX Gateway And The Exchange
- Installing And Upgrading
- Configuring Global Settings
Configuring Market Data
- Understanding the Price Feed
- Configuring the Price Server Connection
- Tick Tables, Point Values, and Product Tables
- Support for Market Depth
- Support for Settlement Prices
- Total Traded Quantity (TTQ) and Volume at Price (VAP)
- Last Traded Quantity (LTQ) and Last Traded Price (LTP)
- Support for Implied Prices
- Configuring The Order Server
- TFX Gateway Recovery
Last Traded Quantity (LTQ) and Last Traded Price (LTP)
TFX 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 exception of spread trades, for which the exchange does not provide price data. You cannot configure this behavior.
Configuring LTQ Behavior
You can configure whether TFX 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, TFX Gateways install set to 1. The Price Server forwards price updates relevant only to the last trade.
All TFX 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.