GTP Analytics Service
London Stock Exchange Group (LSEG) has launched a new service providing valuable insight into LSE and Turquoise cash market venue order books. The service leverages the existing Global Ticker Plant (GTP) market data distribution platform, reducing the time for customers to access the product. All statistics are calculated at source by LSEG.
The benefits to customers that subscribe to this service include:
- Greater insight into order book dynamics to fuel trading strategies.
- High-quality analytics to power customer offerings.
- Direct access to key analytics without overheads of storing, analysing and processing order book data.
LSEG will calculate and publish various order book statistics on a regular one second interval basis via a separate GTP multicast channel. A new message type 'a' - Analytics will be used.
Analytics messages are published at the end of the interval and will relate to order book activity at an instrument level during the preceding time interval (the 'calculation window').
Phase 1 of the GTP Analytics Service launched on 1 November 2021, providing the following real-time analytics:
- Number of buy/sell orders received within the calculation window
- Cumulative quantity of all buy/sell orders received within the calculation window
- Number of buy/sell orders cancelled by clients within the calculation window
- Number of buy/sell limit orders cancelled by clients within the calculation window
- Number of buy/sell market orders cancelled by clients within the calculation window
- Most recent bid-ask spread at the time of publication of the message
- Volume Weighted Average Price (VWAP) for trades triggered by an aggressing buy/sell order within the calculation window.
Further releases are planned in 2022 to add additional analytics content to the service.
A factsheet laying out the service details and features can be found here.
Technical specifications, including message formats and how to access the analytics service channels on GTP, can be found here.
For more details on how to access this service and pricing, including a free trial period, please contact email@example.com.