Trade data

As volume and velocity of trading data continue to grow, access to the right information at the right time can give you a competitive edge.

Being at the heart of the financial markets, the London Stock Exchange captures indispensable trade data and tailors it for professionals in financial services and corporate markets. Our information is relied upon for its robustness and accuracy, and often used as the benchmark to drive decisions. We have developed a range of products to help meet your differing information and analytical needs.

Rebuild Order Book
Provides an end-of-day download file of the day’s Order Book activity, including all trades, orders and deletions in Order Book securities since October 1997. With the launch of the new enhanced trading system TradElect, data from 18 June 2007 is time-stamped to the millisecond. Rebuild Order Book provides the data necessary to understand the underlying liquidity in a security at any point in time, enabling better measurement of execution cost or “slippage”.

Tick Data and Best Prices
Our Tick Data covers every UK security traded on the Exchange since September 1996, including price and volume information for every trade alongside the best prices.

Enhanced Best Prices
Best price information with additional information detailing volume and number of orders at the top of the order book.

End Of Day Summary
Provides details of key daily trading data for each security, including opening price, closing price, trade high/low, price high/low and volume information for every security traded on the Exchange’s markets. This information enables you to perform high-level analytics and also aids the formulation of trading strategies and algorithms.

Participant Trading Data
The Participant Trading Data provides intraday, tick-by-tick trading data filtered specifically for individual member firms. The data, delivered at the end of each business day, details all the trades that have been executed (for all UK listed securities traded on the London Stock Exchange) by the member firm for that day as well as any open orders by the member firm. This consolidated information not only reduces the costs and complexity of collecting and validating in-house trade data but also assists in end-of-day reconciliation and settlement processes.

Market Share
The Market Share service provides member firms with information to determine their performance versus the competition. The service provides detailed, flexible and timely market share statistics on trading volumes and associated market share rankings.

Named Market Share
In an increasingly competitive environment, access to accurate sell-side market share information is of key importance. Our Named Market Share service provides one of the most efficient methods of analysing sell-side trading volumes. The service benchmarks sell-side market share data as well as providing a range of analytical tools, helping to source liquidity, particularly in small to mid-cap securities. As volume and velocity of trading data continue to grow, access to the right information at the right time gives you a competitive edge.

Broker Ranking Service
Find out which brokers have been trading in your company’s stock with the Broker Ranking Service, which provides companies listed on the Exchange with web-based reports detailing the most active brokers trading in their securities.

Electronic Data Services (EDS)
Provides historical turnover data for individual securities in a report format on a daily, weekly and ad hoc basis.

Individual Turnover Report (ITR)
A comprehensive, historical trading volume report for individual stocks in an easy-to-follow format.

For more information on any of our Trade Data services please contact Information Sales on:

Tel: +44 (0)20 7797 1220, STX 31220

Email: datalect@londonstockexchange.com

Downloads
Trade Data fact sheet (file pdf - 133 KB)