Real Time Data

The solution to your market data needs.

The London Stock Exchange broadcasts several levels of data, including trade prices, sizes, and a fully visible, complete tick by tick order book. The different levels are designed to suit the needs of different users, whether actively trading on the markets or using the service to inform trading, investment or other business decisions.

Real time data is offered in three levels:

• Off book
  Provides off book, on Exchange and OTC trade reports for both domestic and international stocks.
• Level 1
  Offers real-time best prices, trade reporting data and a range of key added value information including enhanced best price, allowing users to understand more about the underlying market depth and liquidity of securities.
• Level 2
  Our most comprehensive service providing the full depth of the market, tick by tick – essential for market professionals.

• Level 1

A range of key added-value information and other market data.

Opening price
Automatic Trade Based Opening Price: Contains the opening price for order-based securities based on automatic trade prices. Best Based Opening Price: Contains the opening price for quote-driven securities based on mid-prices.

Trade high and low
Contains the highest and the lowest trade price for a tradable instrument.

Mid price high and low
Contains the highest and the lowest mid-prices for a tradable instrument.

VWAP from Trades
A volume-weighted average price message based on volume traded at each price for order book trades.

All trades VWAP
Contains a cumulative Volume-Weighted Average Price (VWAP) for all publishable tradable instruments during the current day. The FIX/Fast feed currently distributes a VWAP message (5VW) for all automatic trades, whereas this message will perform calculations for all configured trade types. Cumulative Volumes The cumulative number and volume of automatic and manual trades for all instruments (exc. SETSqx).

Uncrossing Price and Volume
The indicative uncrossing price and corresponding uncrossing volume broadcast during auction calls and immediately following uncrossing.

Best Price and Volume
Contains volume and number of orders at best bid and best offer prices.

UK Orders and Quotes
Comprehensive quote and order details for all UK markets, maintained for over 3,500 tradeable instruments including equities, covered warrants, ADRs and the International Retail Service (IRS).

Italian Orders and Quotes
Comprehensive quote and order details for MTA and Expandi, ETF Plus, MOT and SeDeX.

International Orders
Comprehensive order details for the International Order Book (IOB).

The Level 2 service also includes all existing Level 1 content.