Last Traded Price
Also written LTP · Last traded price (LTP)
The price at which the last contract of the session was traded — one print, and therefore routinely different from the Daily Settlement Price or Final Settlement Price, which follow a documented methodology.
In plain language
The Last Traded Price is exactly what it sounds like. It is the price at which the last contract of the day was traded.
One trade sets it. Nothing averages it, nothing polls it, nothing smooths it.
That is why it is not the price your position settles at. A commodity contract has two settlement prices, and neither of them is the LTP.
The Daily Settlement Price runs your daily mark-to-market. The Final Settlement Price settles the contract at expiry.
Both are arrived at by a documented methodology. The LTP is whatever the last print happened to be. The workbook says plainly that the two may differ.
So use the LTP for what it is good for. It tells you where the market just was. It does not tell you what you will be paid.
How it works
Where it comes from. All commodity exchanges continuously disseminate open, low, high and last traded prices on a real-time basis on their screens through the trading session.
Its neighbours on the market watch window, which are the fields it gets confused with:
| Field | What it shows |
|---|---|
| Last Traded Price | the price at which the last trade happened |
| Average Traded Price | the weighted average price of all trades executed during the day |
| High / Low | the highest and lowest price at which the instrument traded for the day |
| Close | the previous closing price of the instrument, not today's |
| Value | total value of contracts traded during the day |
| Percent Change from previous close | |
| Net Change (in Rs) | the absolute change in LTP compared with the previous day's closing price |
| LTP indicator | a blue or red arrow, showing a rise or fall in LTP |
| Net Change Indicator | a blue or red arrow tip, for a rise or fall in net change |
So the LTP has exactly one formal job in the screen arithmetic: it is the input to Net Change and Percent Change, both measured against the previous day's closing price.
Why settlement refuses to use it. The DSP, also called the closing price, is used to calculate the daily mark-to-market profit or loss and keeps losses from accumulating on a participant. The FSP, also called the Due Date Rate, is the price at which delivery or final cash settlement happens at expiry, and it also determines the delivery default penalty and the compensation worked out for the aggrieved buyer. The procedure for arriving at the FSP is defined in the contract specification, standardised to SEBI's guidelines, and built from polled spot prices. LTP at the end of the day or on expiry may therefore be different from the DSP, FSP or DDR — because the DSP and FSP are arrived at by documented methodology while the LTP is simply the price of the last contract traded.
And the next day's starting point is not the LTP either. Once a contract is listed, its base price changes from the second day of its launch to the official closing price of that contract on the preceding day.
The workbook attaches no threshold, band or tolerance to the LTP itself. The only arithmetic it puts on it is Net Change and Percent Change from the previous close.
A worked example
Gold December futures — a 1 kilogram contract quoted per 10 grams, with a tick size of Re 1 and therefore a tick value of Rs 100. The market watch window at the close on 12 November reads:
| Field | Value |
|---|---|
| Close (previous day) | Rs 71,250 |
| High | Rs 71,940 |
| Low | Rs 71,180 |
| Last Traded Price | Rs 71,600 |
| Average Traded Price | Rs 71,520 |
| Net Change (Rs) | +350 |
| Percent Change | +0.49% |
The two computed fields come straight off the LTP. Net Change is 71,600 - 71,250 = Rs 350, and Percent Change is 350 / 71,250 = 0.49%. Neither uses the Average Traded Price.
Now the settlement. The exchange declares the day's DSP at Rs 71,540, arrived at by its documented methodology rather than by the last print. A trader long 2 lots from Rs 71,300 is marked to market on the DSP:
(71,540 - 71,300) x 100 x 2 = Rs 48,000 credited.
Had he worked it out on the LTP of Rs 71,600 he would have expected:
(71,600 - 71,300) x 100 x 2 = Rs 60,000
A Rs 12,000 gap — 60 ticks across two lots — purely from using the wrong price.
The expiry version is worse. On the last day the LTP prints Rs 72,100 in a thin final minute, but the FSP is the simple average of polled spot prices on E, E-1 and E-2, at Rs 71,800. A seller of one kilogram invoices at 71,800 x 100 = Rs 71,80,000, not Rs 72,10,000 — Rs 30,000 less than the screen's last number suggested. And it is that FSP, not the LTP, which also drives any delivery default penalty.
Why NISM asks about it
Chapter 6 (Trading Mechanism), section 6.2.4 on trading parameters, where open, high, low and last traded prices are introduced alongside the two settlement prices, and section 6.6 on tracking commodity futures and options prices, which lists LTP among the market watch fields.
The question is almost always a distinguishing one. Which price is arrived at by a documented methodology — the DSP and the FSP. Which is simply the last print — the LTP. What does Net Change in rupees display — the absolute change in LTP against the previous day's closing price. A second favourite pairs LTP against the Average Traded Price, which is the weighted average of the day's trades.
Common exam traps
- LTP is not the Daily Settlement Price. The DSP, also called the closing price, runs mark-to-market and follows a documented methodology.
- LTP is not the Final Settlement Price or the Due Date Rate. The FSP comes from polled spot prices on E, E-1 and E-2 and settles the contract.
- LTP is not the Average Traded Price. ATP is the weighted average of every trade in the day; LTP is one trade.
- Close on the market watch window is the previous day's close, not today's. Today's equivalent is the LTP, until the DSP is declared.
- Net Change is measured from the previous day's closing price, not from the day's open or from the average traded price.
- A thin final minute can set the LTP, which is exactly why settlement does not use it. See spot price polling and FSP fallback methods.
- The next day's base price is the preceding day's official closing price, not the preceding day's LTP.
- The workbook attaches no threshold or tolerance to the LTP. If a question offers a numerical limit on how far the LTP may sit from the DSP, there is none in this paper.
Check yourself
1.Why can the Last Traded Price of a contract on expiry day differ from its Final Settlement Price?
- a)Because the LTP includes taxes while the FSP does not
- b)Because FSP is arrived at by a documented methodology using polled spot prices, while LTP is simply the price of the last trade of the day
- c)Because the FSP is always the previous day's closing price
- d)Because LTP is calculated on futures while FSP is calculated on spot options
Show the answer
Answer: (b) Because FSP is arrived at by a documented methodology using polled spot prices, while LTP is simply the price of the last trade of the day
"LAST TRADED PRICE at the end of the day or on expiry of contract MAY BE DIFFERENT FROM THE DSP/FSP/DDR. This is because DSP OR FSP IS ARRIVED AT BY USING A DOCUMENTED METHODOLOGY, WHILE LTP IS ACTUALLY THE PRICE AT WHICH THE LAST CONTRACT OF THE DAY WAS TRADED."
The reason this matters is manipulation. A single last trade could be one lot, placed by anybody, seconds before the bell. Settling an entire market's delivery and payment obligations on that number would invite abuse — which is why FSP rests on polled spot prices across the expiry day plus at least two prior days.
The two settlement prices and their jobs:
DSP (Daily Settlement Price) FSP (Final Settlement Price / Due Date Rate) Purpose "To calculate the DAILY MARK-TO-MARKET profit or loss" "The price at which DELIVERY OR FINAL CASH SETTLEMENT IS DONE at expiry" Why "Helps the clearing corporations TO AVOID ACCUMULATION OF LOSSES" Also fixes the DELIVERY DEFAULT PENALTY and options obligations ⚠️ The cross-reference worth memorising: "FSP in case of OPTIONS ON FUTURES IS THE DSP OF THE UNDERLYING FUTURES ITSELF, while in the case of OPTIONS ON GOODS, IT IS THE SAME AS THE FSP OF FUTURES EXPIRING ON THE SAME DAY."
2.How is the base price of a newly launched commodity futures contract decided on its first day of trading, and what is it from the second day onwards?
- a)On day one it is the previous contract's final settlement price; from day two it is the polled spot price
- b)On day one it is fixed by SEBI; from day two it is fixed by the clearing corporation
- c)On day one it is determined from a few minimum number of trades in the first half hour (or up to an extended total of one hour); from day two it is the preceding day's official closing price
- d)On day one it is the midpoint of the Daily Price Limit; from day two it is the preceding day's last traded price
Show the answer
Answer: (c) On day one it is determined from a few minimum number of trades in the first half hour (or up to an extended total of one hour); from day two it is the preceding day's official closing price
The workbook's words: "When a new future contract is made available for trading, THE EXCHANGE DECIDES ITS BASE PRICE, which is USED TO DECIDE DAILY PRICE LIMIT ON FIRST DAY. This price is determined on the basis of A FEW MINIMUM NUMBER OF TRADES HAPPENING DURING FIRST HALF AN HOUR of trading OR UP TO AN EXTENDED PERIOD OF TOTAL ONE HOUR. Once the contract is listed..., the base price keeps changing FROM THE SECOND DAY... as per the OFFICIAL CLOSING PRICE of that contract on the exchange ON THE PRECEDING DAY." So option (c) is right.
Why the others are wrong:
- (a) The previous contract's FSP and the polled spot price are settlement concepts. They are not how the base price is set.
- (b) It is the exchange, not SEBI, that decides the base price. The clearing corporation plays no part in it.
- (d) turns the relationship round. The base price is what the DPL is calculated from, not a result of the DPL. From day two the base is the official closing price. That is not the same as the last traded price: the workbook points out elsewhere that LTP can differ from the DSP.
Why it matters: circuit filters are applied to the base price. A new contract needs some real trades before a sensible band can be fixed.
3.On the expiry day of a commodity index futures contract, the Final Settlement Price is determined:
- a)After 5:00 pm, from the weighted average traded price of the constituents' futures contracts between 4:00 pm and 5:00 pm
- b)At 11:30 pm, from the closing prices of the constituents' futures contracts
- c)After 5:00 pm, from the last traded price of each constituent futures contract
- d)From the weighted average spot price of the constituent commodities on the expiry day
Show the answer
Answer: (a) After 5:00 pm, from the weighted average traded price of the constituents' futures contracts between 4:00 pm and 5:00 pm
On the expiry day, the Final Settlement Price (FSP) of the index is determined after 5:00 pm. It is based on index calculation on weighted average traded price of constituents' future contract during 4:00 pm to 5:00 pm.
Note the two elements that get swapped in distractors: it is a weighted average over a one-hour window, not a last traded price (option c); and it is built on constituent futures, not spot prices (option d).
In case of no trade in any constituent, an appropriate method as in the close price calculation should be used to arrive at the FSP.
And the settlement itself: the difference between the previous day's DSP of index futures and the FSP will be used to do daily cash settlement on the next day morning.
This is also why, although trading hours of index futures otherwise match those of the constituent futures — deliberately, so that arbitrage opportunities can be captured — on expiry date the index futures trade only up to 5:00 pm.
Where this is taught
Free preparation for NISM Series XVIRelated terms
- Base priceThe reference price a contract starts each trading day from — the theoretical futures price on the day it is introduced, and the previous day's daily settlement price on every day after.
- Daily Settlement PriceThe price at which every open futures position is marked and reset at the end of each day — the last 30 minutes' volume weighted average price of that contract, computed separately for each expiry.
- Final Settlement PriceThe price at which a commodity derivative is finally settled at expiry — a simple average of the polled spot prices of the expiry day and the two days before it.
- Daily Price LimitThe band around the previous close within which a contract may trade during a day — a circuit filter that caps volatility, imposes a cooling-off pause, and can halt the contract for the session.
- FSP fallback methodsThe ladder an exchange climbs down when polled spot prices are missing at expiry — a shortened average back to E-3, an alternate basis-centre price, extrapolation, futures prices, then the last available poll.
- Good-Till-Date and Good-Till-CancelledTwo time-related order types: a GTD order lives until a date the trader names, and a GTC order lives until it executes, the trader cancels it, or the contract expires, whichever is earlier.
- Screen Based Trading SystemThe nation-wide automated trading platform on which commodity derivatives are traded, matching orders anonymously on strict price-time priority rather than by negotiation.
- Weighted average priceTotal cost of a day's aggregated purchases (or sales) divided by total quantity — the price at which a portfolio manager must allocate aggregated trades to clients, pro rata.
- Principle of least errorThe rule behind the spot polling algorithm — the final polled price is the figure with the least standard deviation against the set of polled prices, similar to the least square method of regression.