LSEG Delayed Market Data

LSEG Delayed Market Data

Delayed Market Data

London Stock Exchange Group Limited

LSEG Delayed Market Data

Message Set Overview

The following table lists all messages described in this report.

Name | Description
AddOrderIncremental | Sent to instruct recipients to add a new displayable order to the retrospective order book.
DeleteOrder | Sent to instruct recipients to delete an order from the retrospective order book.
ModifyOrder | Sent to instruct recipients to update an order’s price and/or size on the retrospective order book.

AddOrderIncremental

Category: MarketData

Message Functionality

Sent to instruct recipients to add a new displayable order to the retrospective order book.

Structure

Name | Mult. | Type | Description
Timestamp | [1..1] | UDT | Time the message was generated.
RecNo | [1..1] | Alpha |
GroupID | [1..1] | Alpha |
DSSID | [1..1] | Alpha |
MessageType | [1..1] | CodeSet | Add
OrderID | [1..1] | Alpha | Unique identifier of the order.
InstrumentID | [1..1] | Alpha | GTP Instrument Identifier.
InstrumentIdentificationCode | [1..1] | Alpha | Instrument identification number (ISIN code).
Currency | [1..1] | Alpha | Currency code as per ISO 4217.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Side | [1..1] | CodeSet |
Size | [1..1] | Size | Displayed Size of the order.
Price | [1..1] | Price | Limit price of the order. Implied price if instrument trades in yield.

DeleteOrder

Category: MarketData

Message Functionality

Sent to instruct recipients to delete an order from the retrospective order book.

Structure

Name | Mult. | Type | Description
Timestamp | [1..1] | UDT | Time the message was generated.
RecNo | [1..1] | Alpha |
GroupID | [1..1] | Alpha |
DSSID | [1..1] | Alpha |
MessageType | [1..1] | CodeSet | Delete
OrderID | [1..1] | Alpha | Unique identifier of the order.
InstrumentID | [1..1] | Alpha | GTP Instrument Identifier.
InstrumentIdentificationCode | [1..1] | Alpha | Instrument identification number (ISIN code).
Currency | [1..1] | Alpha | Currency code as per ISO 4217.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Side | [1..1] | CodeSet |
PreviousPrice | [1..1] | Price | Price of the order that was deleted from the book.
PreviousQuantity | [1..1] | Size | Quantity of the order that was deleted from the book.

ModifyOrder

Category: MarketData

Message Functionality

Sent to instruct recipients to update an order’s price and/or size on the retrospective order book.

Structure

Name | Mult. | Type | Description
Timestamp | [1..1] | UDT | Time the message was generated.
RecNo | [1..1] | Alpha |
GroupID | [1..1] | Alpha |
DSSID | [1..1] | Alpha |
MessageType | [1..1] | CodeSet | Modify
OrderID | [1..1] | Alpha | Unique identifier of the order.
InstrumentID | [1..1] | Alpha | GTP Instrument Identifier.
InstrumentIdentificationCode | [1..1] | Alpha | Instrument identification number (ISIN code).
Currency | [1..1] | Alpha | Currency code as per ISO 4217.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Side | [1..1] | CodeSet |
Size | [1..1] | Size | Displayed Size of the order.
Price | [1..1] | Price | Limit price of the order. Implied price if instrument trades in yield.
PreviousPrice | [1..1] | Price | Previous price of the order.
PreviousQuantity | [1..1] | Size | Previous displayed quantity of the order.

Message Elements

Data Types

Data type | Description
Alpha | These fields use standard ASCII character bytes. They are left justified and padded on the right with spaces.
Byte | A single byte used to hold one ASCII character.
Price | Signed Little-Endian encoded 64 bit integer field with eight implied decimal places.
Size | Little-Endian encoded 64 bit unsigned integer with eight implied decimal places.
UDT | 64 bit unsigned integer where; time stamp (in UTC) = (date time per second resolution in unix time format) * 1,000,000,000 + (nanoseconds component).
UInt16 | Little-Endian encoded 16 bit unsigned integer.

Data Dictionary

Currency

Type: Alpha

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

DSSID

Type: Alpha

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

GroupID

Type: Alpha

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

InstrumentID

Type: Alpha

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

InstrumentIdentificationCode

Type: Alpha

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

MessageType

Type: Byte

Allowed values in MessageTypeCodeSet:

Code | Name | Description
Add | AddOrderIncremental | Sent to instruct recipients to add a new displayable order to the retrospective order book.
Delete | DeleteOrder | Sent to instruct recipients to delete an order from the retrospective order book.
Modify | ModifyOrder | Sent to instruct recipients to update an order’s price and/or size on the retrospective order book.

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

OrderBookType

Type: Alpha

Allowed values in OrderBookTypeCodeSet:

Code | Name | Description
0 | AllBooks | All Books
1 | FirmQuote | Firm Quote
2 | OffBook | Off-book
3 | Electronic | Electronic
4 | PrivateRFQ | Private RFQ

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

OrderID

Type: Alpha

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

PreviousPrice

Type: Price

Used in messages: DeleteOrder, ModifyOrder

PreviousQuantity

Type: Size

Used in messages: DeleteOrder, ModifyOrder

Price

Type: Price

Used in messages: AddOrderIncremental, ModifyOrder

RecNo

Type: Alpha

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

Side

Type: Byte

Allowed values in SideCodeSet:

Code | Name | Description
B | BuyOrder | Buy Order
S | SellOrder | Sell Order

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

Size

Type: Size

Used in messages: AddOrderIncremental, ModifyOrder

SourceVenue

Type: UInt16

Allowed values in SourceVenueCodeSet:

Code | Name | Description
1 | LondonStockExchange | London Stock Exchange
11 | TRADEcho | TRADEcho
12 | TurquoisePlatoLitAuctionsOrderBookTGHL | Turquoise Plato Lit Auctions Order Book (TGHL)
13 | TurquoiseNYLONCashOrderBook | Turquoise NYLON Cash Order Book
14 | TurquoiseLitOrderBookTGHE | Turquoise Lit Order Book (TGHE)
15 | TurquoisePlatoOrderBookTGHE | Turquoise Plato Order Book (TGHE)
16 | TurquoisePlatoLitAuctionsOrderBookTGHE | Turquoise Plato Lit Auctions Order Book (TGHE)
5 | TurquoiseLitOrderBookTGHL | Turquoise Lit Order Book (TGHL)
6 | TurquoisePlatoOrderBookTGHL | Turquoise Plato Order Book (TGHL)

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder

Timestamp

Type: UDT

Used in messages: AddOrderIncremental, DeleteOrder, ModifyOrder