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TFX Gateway Documentation

Total Traded Quantity (TTQ) and Volume at Price (VAP)


You cannot configure VAP calculations on TFX Gateways.

Spread and Block Trades

TFX Gateways:

  • 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.