GTP Analytics Service
(LSEG) London Stock Exchange Group has launched a new service providing valuable insight into LSE and Turquoise cash market venue order books. The service leverages the existing Global Ticker Plant (GTP) market data distribution platform, reducing the time for customers to access the product. All statistics are calculated at source by LSEG.
Customers that subscribe to this service can benefit from:
- Greater insight into order book dynamics to fuel trading strategies.
- High-quality analytics to power customer offerings.
- Direct access to key analytics without overheads of storing, analysing and processing order book data.
How GTP Analytics messages are generated
LSEG will calculate and publish various order book statistics on a regular one-second interval basis via a separate GTP multicast channel. A new message type ‘a’ – Analytics will be used.
Analytics messages are published at the end of the interval and will relate to order book activity at an instrument level during the preceding time interval (the ‘calculation window’).
Note: This infographic is provided in both visual and text formats so that all users can access the information in the way that suits them best.
Order book activity for each instrument is captured in fixed one‑second calculation windows.
Within each second, all relevant events, such as new orders and cancellations, are recorded. When the interval ends, LSEG calculates order book statistics based on the activity in that window.
An Analytics message (message type ‘a’) is published immediately afterwards, providing a complete summary of the previous second’s order book activity.
This process runs continuously, delivering a near real‑time stream of analytics without customers needing to store or process raw order book data.
The GTP Analytics service provides the following real-time analytics:
- Number of buy/sell orders received within the calculation window.
- Cumulative quantity of all buy/sell orders received within the calculation window.
- Number of buy/sell orders cancelled by clients within the calculation window.
- Number of buy/sell limit orders cancelled by clients within the calculation window.
- Number of buy/sell market orders cancelled by clients within the calculation window.
- Most recent bid-ask spread at the time of publication of the message.
- Volume weighted average price (VWAP) for trades triggered by an aggressing buy/sell order within the calculation window.
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Group Ticker Plant
The Group Ticker Plant is the London Stock Exchange’s high performance real-time data feed that delivers exceptional levels of performance, scalability, product resiliency and a rich set of innovative and traditional market data services.
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