TT CME Gateway System Administration Manual - Trading ...

4 Configuring Market Data
Approaches to TTQAP The following table shows the possible configurations and their effect on the TT
CME Gateway:
IncludeSpreadTradesInVap
Setting
IncludeSpreadTrades
Setting
Gateway Behavior
Y N The Gateway exhibits the
following behaviors:
• VAP: Always updates and
includes spread trades. VAP
exactly matches TTQ.
• LTQ and LTP: Does not
include spread trades. This
provides a more accurate
picture of actual market
activity.
Y Y
This is the current default
behavior.
The Gateway exhibits the
following behaviors:
• VAP: Always updates and
includes spread trades. VAP
exactly matches TTQ.
• LTQ and LTP: Always
updates even when a spread
trade occurs. This can cause
LTQ and LTP to equal values
away from the inside
market.
N N
This is the default behavior for
previous versions of the Gateway.
The Gateway exhibits the
following behaviors:
• VAP: Updates only for legs
and not for spreads. VAP on
legs does not equal TTQ.
• LTQ and LTP: Does not
include spread trades. This
provides a more accurate
picture of actual market
activity.
N Y The Gateway exhibits the
following behaviors:
• VAP: Updates only for legs
and not for spreads. VAP on
legs does not equal TTQ.
• LTQ and LTP: Always
updates even when a spread
trade occurs. This can cause
LTQ and LTP to equal values
away from the inside
market.
Table 10. Approaches to TTQAP
74 TT CME Gateway System Administration Manual
Trading Technologies International, Inc.