London Stock Exchange historical and reference data products
As the volume and velocity of trading data continue to grow, access to the right information at the right time can give you a competitive edge. We have developed a range of products to help meet your differing information and analytical needs.
Our historical data products provide straight from source, unnormalised data to enhance your back-testing capabilities and provide a clear insight into the London Stock Exchange’s cash markets (including UK and European Securities, International Order Book Securities and Turquoise MTF) as well as trade reporting via TRADEcho. Our reference data products provide a golden source of instruments that are available for trading on London Stock Exchange markets.
Customers are able to subscribe to daily updates for these historical data and reference data products or can download one-off history as required.
These products are now available from the London Stock Exchange Data Shop.
London Stock Exchange Data Shop factsheet
London Stock Exchange Data Shop - is a one-stop self-service platform allowing clients
to find and download high-quality historical and analytical data products from
the London Stock Exchange in seconds, to power trading strategies and analysis.
| Product | Description | London Stock Exchange | Turquoise | TRADEcho |
|---|---|---|---|---|
|
Tick Data
|
The Tick Data product provides customers with an end-of-day download of time and sales data, including price and volume information for each transaction executed on our markets. Customers can choose to subscribe to an ongoing daily service (available at the end of each trading day) or to download a one-time historical dataset covering a certain date period. |
X | X | X |
|
Best Prices
|
The Best Prices product provides customers with an end-of-day download of top of book prices, including:
Customers can choose to subscribe to an ongoing daily service (available at the end of each trading day) or to download a one-time historical dataset covering a certain date period. |
X | ||
|
Rebuild Order Book
|
The Rebuild Order Book product provides customers with an end-of-day download of all order book updates, including:
Customers can choose to subscribe to an ongoing daily service (available at the end of each trading day) or to download a one-time historical dataset covering a certain date period. |
X | X | X |
|
End of Day Summary
|
The End of Day Summary Data Service provides summarised trading activity for instruments listed on the London Stock Exchange at the close of each trading day. It covers daily statistics, volume data and yearly cumulative figures including opening prices, closing prices, daily and yearly mid price high/low, daily and yearly trade price high/low, cumulative volumes and value traded. Customers can choose to subscribe to an ongoing daily service (available at the end of each trading day) or to download a one-time historical dataset covering a certain date period. |
X | ||
|
Total Market Volume report
|
The Total Market Volume report provides customers with a daily, per instrument download of total volume transacted across all market venues (primary exchange, MTFs, SIs and OTC), for UK securities. There is no charge for subscribing to this product. This service is available as an ongoing daily service, available to customers at 8am the following trading day. |
X | X | X |
|
Daily Tradeable Instruments Report
|
The Daily Tradeable Instruments Report provides customers with a full list of instruments that can be traded on the London Stock Exchange. |
X | ||
|
Daily Official List
|
The Daily Official List (DOL) is a daily publication of official quotations for all securities traded on the London Stock Exchange. It is presented in a standardised easily consumable format and is widely used in a variety of calculations including pension portfolio valuations and for probate, as recommended by HM Revenue and Customs. Customers can choose to subscribe to an ongoing daily service (available at the end of each trading day) or to download a one-time historical dataset covering a certain date period. |
X | ||
|
Participant Trading Data
|
The Participant Trading Data Service provides intraday, tick-by-tick trading data filtered specifically for you participant. The data, which is delivered at the end of each business day, will detail all the trades that have been executed (for all UK listed securities traded on the London Stock Exchange) by the market participant for that day. The data will only show trades involving your specific member firm. Customers can choose to subscribe to an ongoing daily service (available at the end of each trading day) or to download a one-time historical dataset covering a certain date period. |
X | X | |
|
Datasync
|
Datasync is a reference data solution which enables London Stock Exchange market participants to synchronise their trading database with that of the Exchange. With advance warning of revisions to Exchange reference data, customers can improve efficiency and avoid missed trades. Datasync ensures customer databases are up to date in readiness for the next day’s trading, providing:
The service aids efficient trading and minimises the risk of missing crucial trades due to inaccurate trading data. New securities are admitted to trading on the London Stock Exchange every week. It is critical that these new securities are monitored by all market participants to create an efficient and liquid market. Similarly, existing securities on the Exchange are amended daily, typically as a result of corporate actions. If these amendments are not tracked, the most likely result is trade failures, which are expensive and time consuming to correct. Failed trades due to incorrect reference data are still common occurrences with serious repercussions. Datasync has been designed for both market participants and vendors to minimise this risk. Hourly from 10:00 to 18:00, subscribers to the Datasync service will receive an email detailing updates to the trading system, which are effective the following trading day. Each email contains a user-friendly report in an Excel format to facilitate the transfer of data into other software applications. Failed trades due to incorrect reference data are still common occurrences. Datasync has been designed to help you eradicate this risk. |
X | ||
|
Packet Capture |
Cloud-based solution providing complete set of lossless, top-of book and full-depth data in raw PCAP format for the London Stock Exchange and Turquoise markets, as captured from the Group Ticker Plant feed. Timestamps to nanosecond precision are attached to each raw packet captured from the feed. Messages are collected in the LSE data centre using low-latency connectivity, representing the same latency would be seen by a customer collocated in the LSEG data centre. |
X | X |
If you are an existing customer and have a query regarding one of our historical data products, please contact the Market Data Support Team at support@marketdata.londonstockexchange.com
INTERESTED IN FINDING OUT MORE ABOUT MARKET DATA?
If you'd like to find out more about Market Data, please contact us via the form and a member of our team will be in touch.
