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LSEG Group Ticker Plant20.8

Y

Length of message including this field.

Y

0x61=Analytics

Y

Time the message was generated.

Y

GTP Instrument identifier.

Y

Please refer to the Additional Field Values section for valid values.

Applicable to London Stock Exchange, Turquoise and Turquoise Europe Source Venues only.

Y

Time the calculation of the statistics on this message began.

Y

Time the calculation of the statistics on this message ended.

Y

Number of buy orders received within the calculation window.

Y

Number of sell orders received within the calculation window.

Y

Cumulative quantity of all buy orders received within the calculation window.

Y

Cumulative quantity of all sell orders received within the calculation window.

Y

Number of buy orders cancelled by clients within the calculation window.

Y

Number of sell orders cancelled by clients within the calculation window.

Y

Number of buy limit orders cancelled by clients within the calculation window.

Y

Number of buy market orders cancelled by clients within the calculation window.

Y

Number of sell limit orders cancelled by clients within the calculation window.

Y

Number of sell market orders cancelled by clients within the calculation window.

Y

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

Y

Volume Weighted Average Price for trades triggered by an aggressing buy order. Calculated within the calculation window for trades executed in continuous trading.