LSEG Delayed Market Data 2022-05-23 London Stock Exchange Group Limited [Orchestra v1.0](https://www.fixtrading.org/packages/fix-orchestra-technical-specification-v1-0/) Copyright 2024 Atomic Wire Technology Limited London Stock Exchange Group ("LSEG") makes pre-trade and post-trade data available 15 minutes after its initial publication ("Delayed Data") in accordance with the requirements of Regulation (EU) No.600/2014 and Directive 2014/65/EU (MiFIR and MiFID) and all relevant supplementary regulations and guidance. Delayed Market Data Atomic Wire Technology Limited LSEG, Market Data, Delayed Data, MiFID, MiFIR [Delayed Market Data Documents](https://dmd.lseg.com/dmd/delayed-market-data-documents.html) and [Notes to Assist with Interpretation](https://dmd.lseg.com/delayed-market-data/delayed-market-data-notes.pdf) Infrastructure messages for application sequencing, business reject, network and user management. Post trade messages including trade reporting, allocation, collateral, confirmation, position maintenance, registration instruction, and settlement instructions. A description added to the PreTrade section. Session level messages to establish and control a FIX session. Order handling and execution messages. These fields use standard ASCII character bytes. They are left justified and padded on the right with spaces. Little-Endian encoded 16 bit unsigned integer. A single byte used to hold one ASCII character. 64 bit unsigned integer where; time stamp (in UTC) = (date time per second resolution in unix time format) * 1,000,000,000 + (nanoseconds component). Little-Endian encoded 64 bit unsigned integer with eight implied decimal places. Signed Little-Endian encoded 64 bit integer field with eight implied decimal places. Sent to instruct recipients to add a new displayable order to the retrospective order book. Sent to instruct recipients to delete an order from the retrospective order book. Sent to instruct recipients to update an order’s price and/or size on the retrospective order book. London Stock Exchange Turquoise Lit Order Book (TGHL) Turquoise Plato Order Book (TGHL) TRADEcho Turquoise Plato Lit Auctions Order Book (TGHL) Turquoise NYLON Cash Order Book Turquoise Lit Order Book (TGHE) Turquoise Plato Order Book (TGHE) Turquoise Plato Lit Auctions Order Book (TGHE) All Books Firm Quote Off-book Electronic Private RFQ Buy Order Sell Order The DSS id shows the order in which messages relating to a Market Data Group must be processed. This ordering will generally be consistent with the message timestamps. Note that the DSS id has gaps (relating to messages in the real time feed that are for orders outside the top 5 price levels as described in the previous bullet) and duplicates (where messages can be processed in either order as they relate to the same underlying event). TBC A RecNo has been added to the DMD pre trade files as a unique identifier for each of the records they contain in order to give customers a means of ensuring they have processed all of the data. It is not disseminated by GTP in the real time feed. TBC Dummy field to work around Tablature losing un-referenced base types Time the message was generated Segment the instrument is assigned to. Unique identifier of the order. (AW: changed from UInt64 to Alpha) GTP Instrument Identifier. (AW: changed from UInt64 to Alpha) Instrument identification number (ISIN code). Currency Code as per ISO 4217. For additional currencies supported refer to the Additional Field Values section of this document. Venue from which market data is received for the instrument. Please refer the Additional Field Values section for valid values. Please refer to the Additional Field Values section for valid values The side of the order. Displayed size of the order. Executed price. Previous price of the order. Previous displayed quantity of the order. 1 Time the message was generated. 2 3 4 5 Add 6 Unique identifier of the order. 7 GTP Instrument Identifier. 8 Instrument identification number (ISIN code). 9 Currency code as per ISO 4217. 10 Please refer to the Additional Field Values section for valid values. 11 Please refer to the Additional Field Values section for valid values. 12 13 Displayed Size of the order. 14 Limit price of the order. Implied price if instrument trades in yield. Sent to instruct recipients to add a new displayable order to the retrospective order book. Notes Specific to Pre Trade Files for LSE plc and Turquoise UK * For LSE, the first file published each day will show the opening order book, which contains the orders brought forward from the previous business day. This is published on the real time feed at 05:00 local UK time (in the summer 04:00 UTC, in the winter 05:00 UTC). * For Turquoise the first file will contain orders published on the real time feed at 07:59 when order entry becomes permitted, as no orders are brought forward from the previous day. * The pre trade files show incremental messages only therefore, in order to establish the status of the order book for a particular instrument at any given time, it is necessary to process all messages for that instrument between the start of day and that time. 1 Time the message was generated. 2 3 4 5 Modify 6 Unique identifier of the order. 7 GTP Instrument Identifier. 8 Instrument identification number (ISIN code). 9 Currency code as per ISO 4217. 10 Please refer to the Additional Field Values section for valid values. 11 Please refer to the Additional Field Values section for valid values. 12 13 Displayed Size of the order. 14 Limit price of the order. Implied price if instrument trades in yield. 15 Previous price of the order. 16 Previous displayed quantity of the order. Sent to instruct recipients to update an order’s price and/or size on the retrospective order book. Notes Specific to Pre Trade Files for LSE plc and Turquoise UK * For LSE, the first file published each day will show the opening order book, which contains the orders brought forward from the previous business day. This is published on the real time feed at 05:00 local UK time (in the summer 04:00 UTC, in the winter 05:00 UTC). * For Turquoise the first file will contain orders published on the real time feed at 07:59 when order entry becomes permitted, as no orders are brought forward from the previous day. * The pre trade files show incremental messages only therefore, in order to establish the status of the order book for a particular instrument at any given time, it is necessary to process all messages for that instrument between the start of day and that time. 1 Time the message was generated. 2 3 4 5 Delete 6 Unique identifier of the order. 7 GTP Instrument Identifier. 8 Instrument identification number (ISIN code). 9 Currency code as per ISO 4217. 10 Please refer to the Additional Field Values section for valid values. 11 Please refer to the Additional Field Values section for valid values. 12 13 Price of the order that was deleted from the book. 14 Quantity of the order that was deleted from the book. Sent to instruct recipients to delete an order from the retrospective order book. Notes Specific to Pre Trade Files for LSE plc and Turquoise UK * For LSE, the first file published each day will show the opening order book, which contains the orders brought forward from the previous business day. This is published on the real time feed at 05:00 local UK time (in the summer 04:00 UTC, in the winter 05:00 UTC). * For Turquoise the first file will contain orders published on the real time feed at 07:59 when order entry becomes permitted, as no orders are brought forward from the previous day. * The pre trade files show incremental messages only therefore, in order to establish the status of the order book for a particular instrument at any given time, it is necessary to process all messages for that instrument between the start of day and that time.