Orchimate 1.3.2 /

LSEG Group Ticker Plant20.8

Orchestra Hub

Length of message including this field.

0x61=Analytics

Time the message was generated.

GTP Instrument identifier.

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

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

Time the calculation of the statistics on this message began.

Time the calculation of the statistics on this message ended.

Number of buy orders received within the calculation window.

Number of sell orders received within the calculation window.

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

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

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

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

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 sell limit orders cancelled by clients within the calculation window.

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

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

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