Group Ticker Plant 2021-10-15 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 The purpose of this document is to provide a detailed guide to the various message types and message formats as employed by the interface of the Group Ticker Plant. It also provides information on the behaviour and characteristics of our service lines, including Level 1, Level 2 snapshot, Level 2 incremental and FTSE Indices as supported by the Group Ticker Plant protocol. GTP 002 – Technical Guide Atomic Wire Technology Limited LSEG, GTP, Market Data [Group Ticker Plant Technical Specifications](https://www.londonstockexchange.com/resources/security-trading-resources/gtp-technical-specifications) 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. A value with two choices: 0 or 1. A single byte used to hold up to eight 1-bit flags. Each bit will represent a Boolean flag. The 0 bit is the lowest significant bit and the 7 bit is the highest significant bit. A single byte used to hold one ASCII character. Date specified in the YYYYMMDD format using ASCII characters. Time specified in HHMMSS format using ASCII characters in a 24-hour clock format. 64 bit unsigned integer where; time stamp (in UTC) = (date time per second resolution in unix time format) * 1,000,000,000 + (nanoseconds component). Signed Little-Endian encoded 64 bit integer field with eight implied decimal places. Little-Endian encoded 64 bit unsigned integer with eight implied decimal places. Signed Little-Endian encoded 64 bit integer field with four implied decimal places. Little-Endian encoded 64 bit unsigned integer with four implied decimal places. 8 bit unsigned integer. Little-Endian encoded 16 bit unsigned integer. Little-Endian encoded 32 bit unsigned integer. Little-Endian encoded 64 bit unsigned integer. ISO 8601 date and time in the following string format:YYYY-MM- DDThh:mm:ss.ddddddZ.<br> - ‘YYYY’ is the year<br>- ‘MM’ is the month<br>- ‘DD’ is the day<br>- ‘T’ – means that the letter ‘T’ shall be used<br>- ‘hh’ is the hour<br>- ‘mm’ is the minute<br>- ‘ss.dddddd’ is the second and its fraction of a second<br>- Z is UTC time <br> Dates and times shall be reported in UTC. These fields use standard ASCII character bytes to represent numeric values. They are left justified and padded on the right with spaces.<br> {DECIMAL-n/m} – Decimal number of up to ‘n’ digits in total of which up to ‘m’ digits can be fraction digits. Decimal separator is ‘.’ (Full stop). Negative numbers are prefixed with ‘-’ (minus).<br> Where applicable, values shall be rounded and not truncated.<br> The default value that is populated when there is no valid value can be ‘0’ (zero) or ‘spaces’, dependent on the upstream system. For upstream system, TRADEcho it is always ‘spaces’. Agency Cross Trade (ACTX) No Agency Cross Trade ACTX Algorithmic Trade (ALGO) Not an Algorithmic Trade ALGO AMND Regular High Priority Low Priority Buy Imbalance No Imbalance Insufficient Orders for Auction Sell Imbalance Call Market (Specific to Turquoise Plato™ Order Book) Closing Auction Opening Auction AESP EDSP (Specific to LSE) Resume Auction Periodic Auction Frequent Lit Auctions BENC CANC Not Cleared Cleared Indicates the settlement mode of the security: COAF Internal Cross Internal BTF Committed Cross Committed BTF The type of the Cross/BTF Order. FULA DATF LMTF DATF VOLO FWAF IDAF VOLW FULF FULA FULV FULJ COAF Not Applicable/No Relevant Enrichment Type DUPL ORGN Duplicative Trade Report Unique Trade Report European Union Allowance Certified Emission Reductions Emission Reduction Units European Union Aviation Allowances Other End of Day Start of Day Start of Open (applicable to TRADEcho only) Start of Pre Close TPAC XFPH FULJ FWAF N/A Visible Hidden Buy Imbalance No Imbalance Insufficient Orders for Auction Sell Imbalance IDAF Normal Indicative Held Closed Part Calculated Value Pre Market As provided by FTSE. This field is only populated when the status is changed (as per FTSE practice). Blank when status is not changed. International Securities Identification Number Applicable to strategy instruments, specific to IDEM Market Instrument Identification Code Type. Only valid value will be ‘ISIN’. FULF LMTF Central Limit Order Book Quote Driven Market Dark Order Book Off Book Periodic Auction Request for Auction Any Other, Including Hybrid Used by the server, on the real-time service, to exercise the communication line during periods of inactivity. Used by the client to log in to the replay or recovery channel. Used by the server to accept or reject a login request to the replay or recovery channel. Used by the client to request a retransmission of messages on the replay channel. Used by the server to respond to a retransmission request on the replay channel. Used by the client to request data on the recovery channel. Used by the server to respond to a snapshot request on the Snapshot channel. Used by the server to indicate the successful completion of servicing a message replay or a recovery request. Sent to indicate the start and end of the day. For TRADEcho, recoverable to provide the trading session. Used to disseminate a common and limited set of data for all configured instrument types (except strategy instruments) on the real-time channels. Used to disseminate reference data information of equity instruments. Used to disseminate reference data information of derivative instruments. Used to disseminate reference data information of Fixed Income instruments. Used to disseminate reference data information of strategy (combination) instruments. Used to communicate scheduled and unscheduled session changes. When sent in the recovery channel, used to indicate the current trading status of an instrument. Indicates the first order of a given side of an MBO snapshot. Used to indicate individual orders of an MBO snapshot. Indicates the first price point of a given side of an MBP snapshot. Used to indicate individual price points of an MBP snapshot. 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. Used to update the level 1 service following any change to the consolidated Best Bid and Offer. Sent to instruct recipients to remove all orders from the order book for the specified instrument. Sent to indicate trades executed on supported markets. Sent to indicate a cross trade execution. Contains a set of statistics that are updated frequently, usually as a result of executions. Contains a set of statistics that are not updated frequently. A snapshot of an instrument’s statistics that is used for recovery. Used to redistribute index values for a set of FTSE Russell indices. Used to disseminate announcements. Indicates the simple average of the bid and ask of a Request for Quote (RFQ) session. Sent to represent different types of MiFID compliant trades published by markets. Sent to report the MiFID compliant details of a privately negotiated trade. Sent to indicate a MiFID compliant cross trade. Publishing Systematic Internaliser (SI) Quotes Publishing Trade Summaries for both Multi- and Single-Fill Trades Analytics Message is used to disseminate additional statistics including order book activity statistics. Trade Cancellation (CANC) Trade Amendment (AMND) New Trade Negotiated Trade Negotiated Trade in Liquid Financial Instruments (NLIQ) Negotiated Trade in Illiquid Financial Instruments (OILQ) Negotiated Trade Subject to Conditions Other than the Current Market Price (PRIC) Not a Negotiated Trade TNCP NPFT NLIQ OILQ PRIC Off Book Non-Automated Off Book Automated Unspecified or does not apply UT AT Mid of BBO Last AT Last UT Manual VWAP n mins (not required for London Stock Exchange) Previous Close Normal Hours Closing Price European option style American option style Periodic option style Instrument’s option style: All Books Firm Quote Off-book Electronic Private RFQ No Side (only Hidden quantity executed) Buy Side Sell Side Limit Order/Firm Quote (default) Market Order Implied Order Named Limit Named Market Executable Quotes Non-Immediate Publication: Deferral for Large in Scale” (LRGS) Non-Immediate Publication: Deferral for “Illiquid Instrument” (ILQD) Non-Immediate Publication: Deferral for “Size Specific” (SIZE) Non-Immediate Publication: Deferrals of “ILQD” and “SIZE” Non-Immediate Publication: Deferrals of “ILQD” and “LRGS” Immediate Publication Plain-Vanilla Trade Non-Price Forming Trade (NPFT) Trade not Contributing to Price Discovery (TNCP) Pending Price RPRI Monetary value Percentage Yield Basis Points Indicates if the price is expressed in monetary value, in percentage or yield. ALGO5 AMND CANC SIZE LRGS ILQD RFPT Package Transaction Exchange for Physical Transaction Indicates the type of transaction. Package Transaction Exchange for Physical Transaction Benchmark Trade (BENC) Reference Price Trade (RFPT) Not a Reference Price Trade RFPT First time publication (default) Secondary publication IE International Equity Non-bond IT Italian Equity Non-bond FS Foreign Share Non-bond CN Convertible Bond Bond RT Right Non-bond WR Warrant Non-bond CF Closed End Fund Non-bond TA Tradable Active Fund Non-bond TC Tradable Commodities Non-bond TR Tradable in Regulated Segment Non-bond TF Tradable Fund Non-bond FX Fixed Rate Bond FR Floating Rate Bond ZC Zero Coupon Bond OC One Coupon Bond MC Multi Coupon Bond RV Reverse Bond SC Step Coupon Bond WC Leverage Products – Covered Warrant (call) Non-bond WP Leveraged Products – Covered Warrant (put) Non-bond LC Leveraged Products – Bull Non-bond LP Leveraged Products – Bear Non-bond LE Leveraged Products – Exotic Non-bond IP Investment Products Non-bond AI Automated Input Facility Notification Non-bond AL Allotment Letters Non-bond BD Bonds Bond BG Bulldogs Non-bond BO Bonds Non-bond CP Commercial Paper Non-bond CW Covered Warrants Non-bond DB Debenture Bond DE UK Equity Non-bond DR Deposit Receipts Non-bond EW Equity Warrants Non-bond FB Foreign Government Bonds Bond FC Financial Certificates Non-bond FL Fully Paid Letter Non-bond FT Foreign Unit Trusts Non-bond FU Fund Units Non-bond GT Gilts Bond GW Gilt Warrants Non-bond KR Kruger Rand Group Non-bond LS Loan Stock Bond ML Medium Term Loans Bond NA News Announcement Non-bond NL Nil Paid Letter Non-bond OS Provisional JSE Ordinary Share Non-bond PC Primary Capital Certificates Non-bond PL Partially Paid Letter Non-bond PN Portfolio Notification Non-bond PR Preference Shares Non-bond PU Package Units Non-bond RG Rights Non-bond SH Share Non-bond SP Structured Products Non-bond SU Stapled Unit Non-bond UT Unit Trust Non-bond WA Warrants Non-bond ZP Zero Coupon Commercial Paper Non-bond PS Professional Segment Bond CU Exchange Traded Currency Non-bond EQ Equity Non-bond CO Exchange Traded Commodity Non-bond Scheduled Transition Extended by Market Ops Shortened by Market Ops Market Order Imbalance Price Outside Range AESP/Circuit Breaker Tripped Unavailable RRG Express I Express II Clear stream Undefined Value T2S Settlement system type: Buy Order Sell Order 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) SDIV Special Dividend Trade (SDIV) No Special Dividend Trade Indicative Auction Uncrossing Data Official Opening Price Official Closing Price Trade High On-Book Trade Low On-Book Trade High All Trades Trade Low All Trades 52-week Trade High All Trades 52-week Trade Low All Trades Best Closing Bid Best Closing Ask Trade High Off-Book Trade Low Off-Book Open Interest Volatility Static Reference Price Dynamic Reference Price PBBO Midpoint Price – WFMCs have Passed Bookmark N/A Closing Price Cross (CPX) Trade at Last (TAL) Regular (or Continuous) Trade Auction Trade – Bulk Auction Trade – Individual Reserve Trade Cancellation Trade Correction RFQ Trade RFQ Trade Cancellation RFQ Trade Correction Undefined Auction Scheduled Opening Auction Scheduled Closing Auction Scheduled Intraday Auction Unscheduled Auction Continuous Trading At Market Close Trading Out of Main Session Trading Trade Reporting (On Exchange) Trade Reporting (Off Exchange) Trade Reporting (Systemic Internaliser) Halt Halt – Matching partition Suspended Halt – System Suspended Halt – Regulatory Regular Trading/Start Trade Reporting End Trade Reporting Opening Auction Call Post-Close Closed Closing Auction Call AESP Auction Call Resume Auction Pre-Mandatory Mandatory Post-Mandatory EDSP Auction Call Periodic Auction Call Intraday Level 1 Auction Call Inactive Suspended No Active Session End of Post Close Closing Price Crossing session Halt Halt – Matching partition Suspended Halt – System Suspended Halt – Regulatory Regular Trading/Start of TRQB Session End of Regular Trading, Turquoise Plato Lit AuctionsTM/End of Regular Trading, Turquoise LitTM/End of TRQB Session Closed Suspended No Active Session Halt – Regulatory Halt Inactive/Underlying Suspended Suspended Active Dark Trade Trade that has Received Price Improvement (RPRI) Package Trade, excluding Exchange for Physicals (TPAC) Exchange for Physicals Trade (XFPH) None apply No Yes Identifies if the firm intends to clear the transaction. ESMA field for derivatives. Underlying type is not codified in basic data Share Foreign currency Indices Commodity Foreign Indices Future Foreign Share Basket Exchange Rate Underlying Type: On Book Off Book Book Definition ID sent by the venue. OTC Systematic Internaliser Reported by RM/MTF/OTF (the MIC corresponding to the relevant venue) Identification of the venue where the transaction was executed. Published under UK APA Regulation Published under EU APA Regulation Reported by RM/MTF/OTF (the MIC corresponding to the relevant venue). Identification of the regulatory regime under which the transaction was published. The value sent by the source venue is passed on. Unspecified MTF OTF Regulated Market Type sent by the venue. FULV VOLO VOLW Not allowed Allowed Not allowed Allowed Not allowed Allowed Not allowed Allowed Not allowed Allowed No Yes Priority Lost Priority Retained No Yes No Yes No Yes No Yes No Yes No Yes No Yes End Continues in next message 52-week high price of all trades. 52-week low price of all trades. Indicative price of the quotes on the sell side of the RFQ. Will indicate the yield if the instrument is traded on yield. Average Daily Turnover as reported by the Source Venue. Applicable to TRADEcho only. The best offer price at the time the instrument moves into closing auction session. The best offer size at the time the instrument moves into closing auction session. The best bid price at the time the instrument moves into closing auction session. The best bid size at the time the instrument moves into closing auction session. Most Recent Bid/Ask spread at the time of publication of the message. If the value is set to zero, this means, either: 1) No sell/buy liquidity 2) Order book is locked or crossed 3) No orders on order book Indicative price of the quotes on the buy side of the RFQ. Will indicate the yield if the instrument is traded on yield. Price of the best buy limit order. The Implied Bid Price for an instrument only traded on yield. Aggregated size of all orders at the best buy limit price. Aggregated size of all bid market orders. Value will be 0 if there are no market orders. Yield of the best buy Limit order. Number of buy limit orders cancelled by clients within the calculation window. Number of buy market orders cancelled by clients within the calculation window. Number of buy orders cancelled by clients within the calculation window. Number of buy orders received within the calculation window. Cumulative quantity of all buy orders received within the calculation window. Indicates the settlement mode of the security: Please refer to Description in Statistics Update message for Country of Register. The unique ID of the Cross/BTF Order. The type of the Cross/BTF Order. Currency Code as per ISO 4217. For additional currencies supported refer to the Additional Field Values section of this document. Order Quantity deleted due to Self Execution Prevention (SEP) during an execution. Total number of orders disseminated including this one, on this side of the book as indicated by Side field. For Turquoise the MTF Common Symbol. Dynamic Circuit Breaker Tolerance (%) of the instrument. Reference Price as reported by the source venue. Emission Allowance Type. Time the calculation of the statistics on this message ended. The Exchange Market Size (EMS) is set to show the minimum size a market maker must quote in an individual security for all executable and non executable quotes. Size executed. The value of an Ex-Marker pertaining to a tradable instrument. Expiration date of the instrument. Far price is the highest price at which volume is depleted as part of the Matching Engine event in case of an aggressing buy order, or the lowest price at which volume is depleted in case of an aggressing sell order. Determined by considering all trades in one Matching Engine event. Segment the instrument is assigned to. Headline or subject of the announcement. For London Stock Exchange, during continuous trading and CPX session, Turquoise Lit™ Order Book 1[2] will be sent for execution of visible[hidden] quantities. For Turquoise Plato™ Order Book, it will be always set to 2 (Hidden). For London Stock Exchange Auction Trades, Turquoise Lit Auctions™ Order Book, Turquoise NYLON™ Cash Order Book, 0 will be sent indicating ‘Not Applicable’ (N/A). Quantity to be matched at the last reported indicative price. Contains the last reported Indicative Auction Crossing Price/Yield. Quantity that is eligible to be matched at the indicative price but will not be matched. Please refer to GTP006 – External Sources Guide. As provided by FTSE. This field is only populated when the status is changed (as per FTSE practice). Blank when status is not changed. As stamped by FTSE. As provided by FTSE. GTP Instrument identifier. GTP Instrument Identifier. (AW: changed from UInt64 to Alpha) Instrument identification number (ISIN code). Instrument Identification Code Type. Only valid value will be ‘ISIN’. Pipe separated Identification numbers of the securities for which the announcement has been sent for. ISIN code of the instrument. Last execution price in a session prior to the current trading day. Last execution date in a session prior to current trading day. Executed price at which the instrument was last traded. If no relevant trades have taken place the value ‘0’ will be populated. Executed quantity of the trade which set the ‘Last Trade Price’. If no relevant trades have taken place the value ‘0’ will be populated. Transaction time of the trade which set the ‘Last Trade Price’. If no relevant trades have taken place the value ‘0’ will be populated. Last validity date in the DDMMYYYY format. Length of message including this field. Leverage Certificates Barrier. Listing end date of the instrument. Listing start date of the instrument. Notation of the quantity in Measurement Unit. MiFID compliant Price field populated using either Price or Yield. Will contain the text “PNDG” (right aligned) when there is a pending price. {DECIMAL-18/13} in case the price is expressed as monetary value. {DECIMAL-11/10} in case the price is expressed as percentage or yield. Number of units of the financial instrument. {DECIMAL-18/17} Date and time when the transaction was executed/ agreed upon. If a trade is cancelled or amended, this field will contain the MiFID Trading Date and Time of the original trade. If the Trade is Aggregated this field will be populated with a Default of 27 spaces. Applicable to Daily Aggregated Transaction Flag (DATF), FWAF (Four Week Aggregation Flag), IDAF (Indefinite Aggregation Flag), COAF (Consecutive Aggregation Flag). Indicates the minimum quantity/nominal value tradable on the market for a security. Used to specify the minimum size of an iceberg peak for an instrument in conjunction with EMS. As provided by FTSE. New time the session will end. The field will contain only spaces if Session Change Reason is “0” or the Session Change Reason is not present. New End Time will be in terms of the local time on the server (i.e., not UTC). New price of the order. New displayed quantity of the order. New Yield, if the instrument trades in yield. Notional value relevant to the security. {DECIMAL-18/5} Currency in which the notional amount is denominated. Indicates the number of shares which constitute the share capital. A value is set for shares only. Count of all trades for the day. Count of trades for the day excluding off-book trades. Price of the best sell limit order. Implied Offer Price for an instrument only traded on yield. Aggregated size of all orders at the best sell limit price. Aggregated size of all offer market orders. Value will be 0 if there are no market orders. Yield of the best offer Limit order. Official Closing Price for the instrument. If the Closing Price is cleared manually by the venue ‘-1’ will be stamped. Official Opening Price for the instrument. If the Opening Price is cleared manually by the venue ‘-1’ will be stamped. Populated if the Statistic Type is 2 or 3. This will be empty for the IDEM market. Please refer to the Additional Field Values section for valid values. Please refer to Description in Statistics Update message for valid values. This will be blank if no Opening Price is contained within the snapshot. Total of unsettled derivatives contracts. Instrument’s option style: Please refer to the Additional Field Values section for valid values Unique identifier of the order. (AW: changed from UInt64 to Alpha) The parity of the instrument. Identity of trading participant that submitted the order. Closing price reported for the previous trading day. Previous price of the order. Previous displayed quantity of the order. Previous Yield (if traded in yield) of the order. Executed price. Price Band Tolerance (%) of the instrument. Currency in which the price is expressed (applicable if the price is expressed as monetary value). Currency Code as per ISO 4217. For additional currencies supported, refer to the Additional Field Values section of this document. Indicates if the price is expressed in monetary value, in percentage or yield. Indicates the type of transaction. Indicates the type of transaction. Date and time when the transaction was published. The Quantity in Measurement Unit. Reserved field. Reserved for future use. Unique ID assigned to a particular RFQ by the system. This field informs Participants of the maximum spread allowable for an instrument when submitting quote messages, calculated as a percentage of mid-price. Different instrument security subset types. Please refer to the Additional Field Values section for valid values. Type of security. Please refer to the Additional Field Values section for valid values. SEDOL code of the instrument. Number of sell limit orders cancelled by clients within the calculation window. Number of sell market orders cancelled by clients within the calculation window. Number of sell orders cancelled by clients within the calculation window. Number of sell orders received within the calculation window. Cumulative quantity of all sell orders received within the calculation window. Settlement date in the DDMMYYYY format. Settlement system type: The side of the order. Displayed size of the order. Venue from which market data is received for the instrument. Please refer the Additional Field Values section for valid values. Number of orders at this price point. Time the calculation of the statistics on this message began. Static Circuit Breaker Tolerance (%) of the instrument. Reference Price as reported by the source venue. The value of price type statistics. If the Opening or Closing Price is cleared manually by the venue, ‘-1’ will be stamped. Contains the PBBO Midpoint Price when Statistic Type =18. Price should be ignored when Statistic Type = 19. The value of size type statistics. The statistic that is disseminated with this message instance: Strike Price (exercise price for warrants). Symbol of the instrument. Text of the announcement. The tick structure applicable for the instrument. Time the message was generated Total quantity executed (visible & hidden quantity). Total hidden order quantity executed (hidden quantity). As provided by FTSE. Current trading day high price of all trades. Current trading day high price excluding off-book trades. Current trading day high price of off-book trades. Unique identifier of the trade. Current trading day low price of all trades. Current trading day low price excluding off-book trades. Current trading day low price of off-book trades. Date and time when the transaction was executed/agreed upon. Please refer to the Additional Field Values section for valid values. A unique trade identifier. The value will be right aligned. Execution timestamp as reported by the supported market. Indicates whether the trade will be cleared. Turnover of all trades for the day. Turnover for the day excluding off-book trades. Pipe separated Identification numbers of the underlying securities/markets for which the announcement has been sent for. Venue specified instrument ID of the underlying instrument. Underlying ISIN code. Book Definition ID sent by the venue. Instrument identifier used by the source venue. For Turquoise, the MTF symbol will contain the suffixes as specified in the table below: Notation of the Quantity in Measurement Unit. Identification of the venue where the transaction was executed. Identification of the regulatory regime under which the transaction was published. The value sent by the source venue is passed on. Type sent by the venue. Venue specified instrument ID of the underlying. Derivatives volatility. Cumulative volume of all trades for the trading day. Cumulative volume for the trading day excluding off-book trades. Volume weighted average price for the day for all trades. Volume weighted average price for the day excluding off- book trades. Volume Weighted Average Price for trades triggered by an aggressing buy order. Calculated within the calculation window for trades executed in continuous trading. Volume Weighted Average Price for trades triggered by an aggressing sell order. Calculated within the calculation window for trades executed in continuous trading. Yield, if the instrument trades in yield. All Firm Quote Book Off-book Electronic Order Book Private RFQ Inverse Order Book Priority Flag Bid Depth Offer Depth Trade Cancellation Trade Correction Pending Price Cross Trade Cancellation Cross Trade Correction Continue Marker Reserved for future use. Reserved for future use. Reserved for future use. Reserved for future use. All Firm Quote Book Off-book Electronic Order Book Private RFQ Defines the order-book types that are allowed for the instrument. Each designated bit represents a book type. ‘0’ means not allowed and ‘1’ means allowed. Inverse Order Book Priority Flag Bid Depth Offer Depth Trade Cancellation Trade Correction Pending Price Cross Trade Cancellation Cross Trade Correction Continue Marker Defines the flags that are allowed for the instrument. Each designated bit represents a book type. ‘0’ means not allowed and ‘1’ means allowed. 1 Length of message including this field. 2 0x53=System Event 3 Time the message was generated. 4 5 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. System event messages sent at SOD will contain a source venue field with a value of 13 to represent the Turquoise NYLON™ Cash Order Book. Sent to indicate the start and end of the day. For TRADEcho, recoverable to provide the trading session. 1 Length of message including this field. 2 0x70=Instrument Directory 3 Time the message was generated. 4 GTP Instrument identifier. 5 ISIN code of the instrument. 6 Defines the order-book types that are allowed for the instrument. Each designated bit represents a book type. ‘0’ means not allowed and ‘1’ means allowed: 7 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 8 Instrument identifier used by the source venue. For Turquoise, the MTF symbol will contain the suffixes as specified in the table below: 9 The tick structure applicable for the instrument. 10 Price Band Tolerance (%) of the instrument. 11 Dynamic Circuit Breaker Tolerance (%) of the instrument. 12 Static Circuit Breaker Tolerance (%) of the instrument. 13 Segment the instrument is assigned to. 14 ISIN of the underlying instrument. This field will contain only spaces if the instrument is not a derivative. 15 Venue specified instrument ID of the underlying instrument. 16 Currency Code as per ISO 4217. For additional currencies supported refer to the Additional Field Values section of this document. 17 Reserved for future use. 18 Reserved for future use. 19 Average Daily Turnover as reported by the Source Venue. Applicable to TRADEcho only. 20 Reserved for future use. 21 22 Reserved for future use. 23 Reserved for future use. Used to disseminate a common and limited set of data for all configured instrument types (except strategy instruments) on the real-time channels. 1 Length of message including this field. 2 0x52=Instrument Directory – Equities 3 Time the message was generated. 4 GTP Instrument identifier. 5 ISIN code of the instrument. 6 SEDOL code of the instrument. 7 Defines the order-book types that are allowed for the instrument. Each designated bit represents a book type. ‘0’ means not allowed and ‘1’ means allowed: 8 Please refer to the Additional Field Values section for valid values. 9 Instrument identifier used by the source venue. For Turquoise, the MTF symbol will contain the suffixes as specified in the table below: 10 Segment or instrument group ID as identified by the trading market. 11 Currency code as per ISO 4217. For additional currencies supported refer to the Additional Field Values section of this document. 12 The tick structure applicable for the instrument. 13 Closing price reported for the previous trading day. 14 Price Band Tolerance (%) of the instrument. 15 Dynamic Circuit Breaker Tolerance (%) of the instrument. 16 Static Circuit Breaker Tolerance (%) of the instrument. 17 Reserved for future use. 18 Different instrument security subset types. Please refer to the Additional Field Values section for valid values. 19 Expiration date of the instrument. 20 Listing start date of the instrument. 21 Listing end date of the instrument. 22 Indicates the minimum quantity/nominal value tradable on the market for a security. 23 Last execution price in a session prior to the current trading day. 24 Last execution date in a session prior to current trading day. 25 Settlement system type: 26 Last validity date in the DDMMYYYY format. 27 Settlement date in the DDMMYYYY format. 28 The value of an Ex-Marker pertaining to a tradable instrument. 29 Type of security. Please refer to the Additional Field Values section for valid values. 30 Country of Register. 31 The Exchange Market Size (EMS) is set to show the minimum size a market maker must quote in an individual security for all executable and non executable quotes. 32 Used to specify the minimum size of an iceberg peak for an instrument in conjunction with EMS. 33 This field informs Participants of the maximum spread allowable for an instrument when submitting quote messages, calculated as a percentage of mid-price. 34 Indicates the settlement mode of the security: 35 Strike Price (exercise price for warrants). 36 Venue specified instrument ID of the underlying. 37 Underlying ISIN code. 38 Underlying Type: 39 Indicates the number of shares which constitute the share capital. A value is set for shares only. 40 Leverage Certificates Barrier. 41 Instrument’s option style: 42 The parity of the instrument. 43 Reserved for future use. 44 Reserved for future use. 45 Reserved for future use. 46 Symbol of the instrument. 47 For Turquoise the MTF Common Symbol. Used to disseminate reference data information of equity instruments. 1 Length of message including this field. 2 0x76=Instrument Directory – Derivatives Used to disseminate reference data information of derivative instruments. 1 Length of message including this field. 2 0x6e=Instrument Directory – Fixed Income Used to disseminate reference data information of Fixed Income instruments. 1 Length of message including this field. 2 0x6f=Instrument Directory – Strategies Used to disseminate reference data information of strategy (combination) instruments. 1 Length of message including this field. 2 0x48=Instrument Status 3 Time the message was generated. 4 GTP Instrument identifier. 5 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 6 Please refer to the Additional Field Values section for valid values. 7 8 New time the session will end. The field will contain only spaces if Session Change Reason is “0” or the Session Change Reason is not present. New End Time will be in terms of the local time on the server (i.e., not UTC). 9 Please refer to the Additional Field Values section for valid values. Used to communicate scheduled and unscheduled session changes. When sent in the recovery channel, used to indicate the current trading status of an instrument. 1 Length of message including this field. 2 0x41=Add Order – MBO 3 Time the message was generated. 4 Unique identifier of the order. 5 6 Displayed size of the order. 7 GTP Instrument identifier. 8 Limit price of the order. Implied price if instrument trades in yield. 9 Yield, if the instrument trades in yield. 10 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 11 Please refer to the Additional Field Values section for valid values. 12 Identity of trading participant that submitted the order. 13 Total number of orders disseminated including this one, on this side of the book as indicated by Side field. Indicates the first order of a given side of an MBO snapshot. 1 Length of message including this field. 2 0x65=Add Order Short – MBO 3 Unique identifier of the order. 4 Displayed size of the order. 5 Limit price of the order. Implied price if instrument trades in yield. 6 Yield, if the instrument trades in yield. 7 Identity, if trading participant that submitted the order. Used to indicate individual orders of an MBO snapshot. 1 Length of message including this field. 2 0x66=Add Order MBP 3 Time the message was generated. 4 5 Displayed size of the order. 6 GTP Instrument identifier. 7 Limit price of the order. Implied price if instrument trades in yield. 8 Yield, if the instrument trades in yield. 9 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 10 Please refer to the Additional Field Values section for valid values. 11 Number of orders at this price point. 12 Total number of orders disseminated including this one, on this side of the book as indicated by Side field. Indicates the first price point of a given side of an MBP snapshot. 1 Length of message including this field. 2 0x67=Add Order Short – MBP 3 Displayed size of the order. 4 Limit price of the order. Implied price if instrument trades in yield. 5 Yield, if the instrument trades in yield. 6 Number of orders at this price point. Used to indicate individual price points of an MBP snapshot. 1 Length of message including this field. 2 0x46=Add Order Incremental 3 Time the message was generated. 4 Unique identifier of the order. 5 6 Displayed Size of the order. 7 GTP Instrument identifier. 8 Limit price of the order. Implied price if instrument trades in yield. 9 Yield, if the instrument trades in yield. 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 Identity of trading participant that submitted the order. 13 14 Unique ID assigned to a particular RFQ by the system. Only relevant when Order Book Type is 4 = Private RFQ. Sent to instruct recipients to add a new displayable order to the retrospective order book. 1 Length of message including this field. 2 0x44=Delete Order 3 Time the message was generated 4 Unique identifier of the order. 5 GTP Instrument identifier. 6 7 Please refer to the Additional Field Values section for valid values 8 Please refer to the Additional Field Values section for valid values. 9 Price of the order that was deleted from the book. 10 Quantity of the order that was deleted from the book. 11 Yield of the order (if traded in yield) that was deleted from the book. Sent to instruct recipients to delete an order from the retrospective order book. 1 Length of message including this field. 2 0x55=Modify Order 3 Time the message was generated. 4 Unique identifier of the order. 5 GTP Instrument identifier. 6 7 8 Please refer to the Additional Field Values section for valid values. 9 New displayed quantity of the order. 10 New price of the order. 11 New Yield, if the instrument trades in yield. 12 Please refer to the Additional Field Values section for valid values. 13 Previous price of the order. 14 Previous displayed quantity of the order. 15 Previous Yield (if traded in yield) of the order. Sent to instruct recipients to update an order’s price and/or size on the retrospective order book. 1 Length of message including this field. 2 0x69=TOB 3 Time the message was generated. 4 GTP Instrument identifier. 5 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 6 Aggregated size of all bid market orders. Value will be 0 if there are no market orders. 7 Price of the best buy limit order. The Implied Bid Price for an instrument only traded on yield. 8 Yield of the best buy Limit order. 9 Aggregated size of all orders at the best buy limit price. 10 Aggregated size of all offer market orders. Value will be 0 if there are no market orders. 11 Price of the best sell limit order. Implied Offer Price for an instrument only traded on yield. 12 Yield of the best offer Limit order. 13 Aggregated size of all orders at the best sell limit price. 14 Please refer to the Additional Field Values section for valid values. 15 Used to update the level 1 service following any change to the consolidated Best Bid and Offer. 1 Length of message including this field. 2 0x79=Order Book Clear 3 Time the message was generated. 4 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 5 GTP Instrument identifier. 6 Please refer to the Additional Field Values section for valid values. Sent to instruct recipients to remove all orders from the order book for the specified instrument. 1 Length of message including this field. 2 0x50=Trade 3 Time the message was generated. 4 Execution timestamp as reported by the supported market. If a trade is cancelled or amended, this field will contain the transaction time of the original trade. 5 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 6 Total executed quantity. 7 GTP Instrument identifier. 8 Executed price. Will be set to 1 if the price is pending. Implied price if instrument is traded in yield. 9 Yield at which the trade was done, if the instrument trades in yield. Blank if not. 10 Unique identifier of the trade. 11 12 The value in this field is only relevant when Trade Type is 1: 13 14 For London Stock Exchange, during continuous trading and CPX session, Turquoise Lit™ Order Book 1[2] will be sent for execution of visible[hidden] quantities. For Turquoise Plato™ Order Book, it will be always set to 2 (Hidden). For London Stock Exchange Auction Trades, Turquoise Lit Auctions™ Order Book, Turquoise NYLON™ Cash Order Book, 0 will be sent indicating ‘Not Applicable’ (N/A). 15 Sent to indicate trades executed on supported markets. 1 Length of message including this field. 2 0x71=Trade Cross 3 Time the message was generated. 4 Execution timestamp as reported by the supported market. If a trade is cancelled or amended, this field will contain the transaction time of the original trade. 5 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 6 Size executed. 7 GTP Instrument identifier. 8 Executed price. Implied price if instrument is traded in yield. 9 Yield at which the trade was done, if the instrument trades in yield. 10 Unique identifier of the trade. 11 The unique ID of the Cross/BTF Order. 12 The type of the Cross/BTF Order. 13 Sent to indicate a cross trade execution. 1 Length of message including this field. 2 0x77=Statistics 3 Time the message was generated. 4 GTP Instrument identifier. 5 Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. 6 Cumulative volume of all trades for the trading day. 7 Cumulative volume for the trading day excluding off-book trades. 8 Volume weighted average price for the day for all trades. 9 Volume weighted average price for the day excluding off- book trades. 10 Count of all trades for the day. 11 Count of trades for the day excluding off-book trades. 12 Turnover of all trades for the day. 13 Turnover for the day excluding off-book trades. Contains a set of statistics that are updated frequently, usually as a result of executions. 1 Length of message including this field. 2 0x6A=Statistics Update 3 Time the message was generated. 4 GTP Instrument identifier. 5 Venue from which market data is received for the instrument. Please refer the Additional Field Values section for valid values. 6 The statistic that is disseminated with this message instance: 7 The value of price type statistics. If the Opening or Closing Price is cleared manually by the venue, ‘-1’ will be stamped. Contains the PBBO Midpoint Price when Statistic Type =18. Price should be ignored when Statistic Type = 19. 8 The value of size type statistics. 9 Populated if the Statistic Type is 1: 10 Quantity that is eligible to be matched at the indicative price but will not be matched. 11 Populated if the Statistic Type is 1: 12 Populated if the Statistic Type is 2 or 3. This will be empty for the IDEM market. Please refer to the Additional Field Values section for valid values. Contains a set of statistics that are not updated frequently. 1 Length of message including this field. 2 0x6b=Statistics Snapshot 3 Time the message was generated. 4 GTP Instrument identifier. 5 Please refer to the Additional Field Values section for valid values. 6 Cumulative volume of all trades for the trading day. 7 Cumulative volume for the trading day excluding off-book trades. 8 Volume weighted average price for the day for all trades. 9 Volume weighted average price for the day excluding off- book trades. 10 Count of all trades for the day. 11 Count of trades for the day excluding off-book trades. 12 Turnover of all trades for the day. 13 Turnover for the day excluding off-book trades. 14 Official Opening Price for the instrument. If the Opening Price is cleared manually by the venue ‘-1’ will be stamped. 15 Official Closing Price for the instrument. If the Closing Price is cleared manually by the venue ‘-1’ will be stamped. 16 Current trading day high price excluding off-book trades. 17 Current trading day low price excluding off-book trades. 18 Current trading day high price of all trades. 19 Current trading day low price of all trades. 20 52-week high price of all trades. 21 52-week low price of all trades. 22 Please refer to Description in Statistics Update message for valid values. This will be blank if no Opening Price is contained within the snapshot. 23 Please refer to Description in Statistics Update message for 24 Contains the last reported Indicative Auction Crossing Price/Yield. 25 Quantity to be matched at the last reported indicative price. 26 Quantity that was eligible to be matched at the indicative price but was not matched at the last indicative price. 27 28 The best bid price at the time the instrument moves into closing auction session. 29 The best offer price at the time the instrument moves into closing auction session. 30 The best bid size at the time the instrument moves into closing auction session. 31 The best offer size at the time the instrument moves into closing auction session. 32 Current trading day high price of off-book trades. 33 Current trading day low price of off-book trades. 34 Total of unsettled derivatives contracts. 35 Derivatives volatility. 36 37 Executed price at which the instrument was last traded. If no relevant trades have taken place the value ‘0’ will be populated. 38 Executed quantity of the trade which set the ‘Last Trade Price’. If no relevant trades have taken place the value ‘0’ will be populated. 39 Transaction time of the trade which set the ‘Last Trade Price’. If no relevant trades have taken place the value ‘0’ will be populated. 40 Reference Price as reported by the source venue. 41 Reference Price as reported by the source venue. A snapshot of an instrument’s statistics that is used for recovery. 1 Length of message including this field. 2 0x6c=FTSE Indices Update 3 Time the message was generated. 4 Please refer to GTP006 – External Sources Guide. 5 As provided by FTSE. 6 As provided by FTSE. This field is only populated when the status is changed (as per FTSE practice). Blank when status is not changed. 7 As provided by FTSE. 8 As provided by FTSE. 9 As stamped by FTSE. Used to redistribute index values for a set of FTSE Russell indices. 1 Length of message including this field. 2 0x75=Announcements 3 Time the message was generated. 4 Value 5 Headline or subject of the announcement. 6 Text of the announcement. 7 Pipe separated Identification numbers of the securities for which the announcement has been sent for. 8 Pipe separated Identification numbers of the underlying securities/markets for which the announcement has been sent for. 9 Used to disseminate announcements. 1 Length of message including this field. 2 0x80=Indicative Quote Information 3 Message dissemination time. 4 Please refer to the Additional Field Values section for valid values. 5 Indicative price of the quotes on the buy side of the RFQ. Will indicate the yield if the instrument is traded on yield. 6 Indicative price of the quotes on the sell side of the RFQ. Will indicate the yield if the instrument is traded on yield. 7 GTP Instrument Identifier. 8 Unique ID assigned to a particular RFQ by the system. Indicates the simple average of the bid and ask of a Request for Quote (RFQ) session. 1 Length of message including this field. 2 0x51=MiFID Trade 3 Message dissemination time. 4 Please refer to the Additional Field Values section for valid values. 5 GTP Instrument identifier. 6 A unique trade identifier. The value will be right aligned. 7 8 The value in this field is only relevant when Trade Type is 1. 9 MiFID compliant Price field populated using either Price or Yield. Will contain the text “PNDG” (right aligned) when there is a pending price. {DECIMAL-18/13} in case the price is expressed as monetary value. {DECIMAL-11/10} in case the price is expressed as percentage or yield.[1] 10 Number of units of the financial instrument. {DECIMAL-18/17} 11 Date and time when the transaction was executed/agreed upon. If a trade is cancelled or amended, this field will contain the Trading Date and Time of the original trade. 12 Instrument Identification Code Type. Only valid value will be ‘ISIN’. 13 Instrument identification number (ISIN code). 14 Indicates if the price is expressed in monetary value, in percentage or yield. 15 Currency in which the price is expressed (applicable if the price is expressed as monetary value). Currency Code as per ISO 4217. For additional currencies supported refer to the Additional Field Values section of this document. 16 Notional value relevant to the security. {DECIMAL-18/5} Only relevant for non-equity instruments. 17 Currency in which the notional amount is denominated. Only relevant for non-equity instruments. 18 Identification of the venue where the transaction was executed. 19 Date and time when the transaction was published. 20 21 22 23 24 25 26 Indicates whether the trade will be cleared. 27 Notation of the quantity in Measurement Unit. 28 The quantity of the Measurement Unit for commodity derivatives. 29 Indicates the type of transaction. 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 Sent to represent different types of MiFID compliant trades published by markets. 1 Length of message including this field. 2 0x54=MiFID Trade Report 3 Time the message was generated. 4 GTP Instrument Identifier. This field will be populated with 0 for Non-Exchange listed instruments 5 A unique trade identifier. The value will be right aligned. 6 Reserved for future use. 7 Reserved for future use. 8 Please refer to the Additional Field Values section for valid values. 9 MiFID compliant Price field populated using either Price or Yield. Will contain the text “PNDG” (right aligned) when there is a pending price. {DECIMAL-18/13} in case the price is expressed as monetary value. {DECIMAL-11/10} in case the price is expressed as percentage or yield. 10 Number of units of the financial instrument. {DECIMAL-18/17} 11 Date and time when the transaction was executed/ agreed upon. If a trade is cancelled or amended, this field will contain the MiFID Trading Date and Time of the original trade. If the Trade is Aggregated this field will be populated with a Default of 27 spaces. Applicable to Daily Aggregated Transaction Flag (DATF), FWAF (Four Week Aggregation Flag), IDAF (Indefinite Aggregation Flag), COAF (Consecutive Aggregation Flag). 12 Instrument Identification Code Type. Only valid value will be ‘ISIN’. 13 Instrument identification number (ISIN code). 14 Indicates if the price is expressed in monetary value, in percentage or yield. 15 Currency in which the price is expressed (applicable if the price is expressed as monetary value). Currency Code as per ISO 4217. For additional currencies supported, refer to the Additional Field Values section of this document. 16 Notional value relevant to the security. {DECIMAL-18/5} 17 Currency in which the notional amount is denominated. 18 Identification of the venue where the transaction was executed. 19 Date and time when the transaction was published. 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 Type sent by the venue. 49 Book Definition ID sent by the venue. 50 Notation of the Quantity in Measurement Unit. 51 The Quantity in Measurement Unit. 52 Identifies if the firm intends to clear the transaction. ESMA field for derivatives. 53 Emission Allowance Type. 54 Identification of the regulatory regime under which the transaction was published. The value sent by the source venue is passed on. 55 56 57 58 59 60 61 62 63 64 65 66 67 68 Sent to report the MiFID compliant details of a privately negotiated trade. 1 Length of message including this field. 2 0x56=MiFID Trade Cross 3 Message dissemination time. 4 Please refer to the Additional Field Values section for valid values. 5 GTP Instrument identifier. 6 A unique trade identifier. The value will be right aligned. 7 The unique ID of the Cross/BTF Order. 8 The type of the Cross/BTF Order. 9 MiFID compliant Price field populated using either Price or Yield. Will contain the text “PNDG” (right aligned) when there is a pending price. {DECIMAL-18/13} in case the price is expressed as monetary value. {DECIMAL-11/10} in case the price is expressed as percentage or yield. 10 Number of units of the financial instrument. {DECIMAL-18/17} 11 Date and time when the transaction was executed/ agreed upon. If a trade is cancelled or amended, this field will contain the MiFID Trading Date and Time of the original trade. 12 Instrument Identification Code Type. Only valid value will be ‘ISIN’. 13 Instrument identification number (ISIN code). 14 Indicates if the price is expressed in monetary value, in percentage or yield. 15 Currency in which the price is expressed (applicable if the price is expressed as monetary value). 16 Notional value relevant to the security. {DECIMAL-18/5} Only relevant for non-equity instruments. 17 Currency in which the notional amount is denominated. Only relevant for non-equity instruments. 18 Identification of the venue where the transaction was executed. 19 Date and time when the transaction was published. 20 21 22 23 24 25 26 Indicates whether the trade will be cleared. 27 Notation of the Quantity in Measurement Unit. 28 The quantity of the Measurement Unit for commodity derivatives. 29 Indicates the type of transaction. 30 31 32 33 34 35 36 37 38 39 40 41 42 43 Sent to indicate a MiFID compliant cross trade. 1 Length of message including this field. 2 0x47=SI Quote 3 Time the message was generated. 4 Unique identifier of the order. 5 6 Displayed Size of the order. 7 GTP Instrument identifier. 8 Limit price of the order. Implied price if instrument trades in yield. 9 Yield, if the instrument trades in yield. 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 Identity of trading participant that submitted the order. 13 14 Reserved field. 15 Currency of the SI Quote price. 16 Identification of the regulatory regime under which the transaction was published. The value sent by the source venue is passed on. Publishing Systematic Internaliser (SI) Quotes 1 Length of message including this field. 2 0x57=Trade Summary 3 Time the message was generated. 4 GTP Instrument identifier. 5 Please refer to the Additional Field Values section for valid values. Applicable to Source Venue London Stock Exchange and Turquoise Lit™ Order Books only. 6 Execution timestamp reported by the supported Source Venue. 7 Far price is the highest price at which volume is depleted as part of the Matching Engine event in case of an aggressing buy order, or the lowest price at which volume is depleted in case of an aggressing sell order. Determined by considering all trades in one Matching Engine event. 8 Total quantity executed (visible & hidden quantity). 9 Total hidden order quantity executed (hidden quantity). 10 Order Quantity deleted due to Self Execution Prevention (SEP) during an execution. 11 The side of the visible passive order(s) that triggered the trade summary. Publishing Trade Summaries for both Multi- and Single-Fill Trades 1 Length of message including this field. 2 0x61=Analytics 3 Time the message was generated. 4 GTP Instrument identifier. 5 Please refer to the Additional Field Values section for valid values. Applicable to London Stock Exchange, Turquoise and Turquoise Europe Source Venues only. 6 Time the calculation of the statistics on this message began. 7 Time the calculation of the statistics on this message ended. 8 Number of buy orders received within the calculation window. 9 Number of sell orders received within the calculation window. 10 Cumulative quantity of all buy orders received within the calculation window. 11 Cumulative quantity of all sell orders received within the calculation window. 12 Number of buy orders cancelled by clients within the calculation window. 13 Number of sell orders cancelled by clients within the calculation window. 14 Number of buy limit orders cancelled by clients within the calculation window. 15 Number of buy market orders cancelled by clients within the calculation window. 16 Number of sell limit orders cancelled by clients within the calculation window. 17 Number of sell market orders cancelled by clients within the calculation window. 18 Most Recent Bid/Ask spread at the time of publication of the message. If the value is set to zero, this means, either: 1) No sell/buy liquidity 2) Order book is locked or crossed 3) No orders on order book 19 Volume Weighted Average Price for trades triggered by an aggressing buy order. Calculated within the calculation window for trades executed in continuous trading. 20 Volume Weighted Average Price for trades triggered by an aggressing sell order. Calculated within the calculation window for trades executed in continuous trading. Analytics Message is used to disseminate additional statistics including order book activity statistics.