Real-Time Market Data
The depth and breadth of our data offerings reflect our highly liquid and rapidly growing markets including:
- FTSE 100
- AIM
- London Stock Exchange’s International Order Book
- Over 4500 traded securities from our UK and pan European trading venue Turquoise.
- Data promotions for private investors and customers in APAC and the UAE to access LSE data affordably are available.
We distribute our data to a global network of financial information providers, banks, brokers, trading firms, listed companies, index providers and venues.
Customers have the choice of sourcing our real-time data directly from our high-performance Group Ticker Plant (GTP) market data platform or through our network of licensed market data vendors.
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 / A1 | Level 2 / A2-5 | Off book | |
|---|---|---|---|
| UK orders and quotes | NA | ✔ | NA |
| On-book trade reports | ✔ | ✔ | NA |
| Best prices and volumes | ✔ | ✔ | NA |
| Time-weighted average spread | ✔ | ✔ | NA |
| Opening price | ✔ | ✔ | NA |
| Trade high and low | ✔ | ✔ | NA |
| Mid-price high and low | ✔ | ✔ | NA |
| Closing prices | ✔ | ✔ | NA |
| Order book VWAP | ✔ | ✔ | NA |
| All trades VWAP | ✔ | ✔ | NA |
| Cumulative volumes | ✔ | ✔ | NA |
| Value traded | ✔ | ✔ | NA |
| Uncrossing price and volume | ✔ | ✔ | NA |
| Daily Official List prices | ✔ | ✔ | NA |
| Off book trades | ✔ | ✔ | ✔ |
Level 1
The Level 1 service includes 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.
- Volume-weighted average price (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 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).
- International orders - Comprehensive order details for the International Order Book (IOB).
Level 2
The Level 2 service also includes all existing Level 1 content, as well as full depth of the order book.
Contact us
Interested in LSEG Real-Time Data? Complete the form below and a member of our team will be in touch.