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Exchange Information

Location

The London Stock Exchange (LSE), located in London, merged with Borsa Italiana in 2007 to create the LSEG (London Stock Exchange Group). In 2008, LSEG formed a partnership with Oslo Bors to provide access to the Norwegian derivatives markets.

Exchange API Interface

The exchange’s SOLA electronic trading platform provides access to Borsa Italiana IDEM, Turquoise Russian and UK derivatives (LSE Derivatives), and Oslo Børs Norwegian Derivatives markets.

The LSE Gateway provides access to the LSE, Oslo Bors, and IDEM exchange products via the SOLA platform by connecting to the following interfaces:

  • SOLA® Access Information Language (SAIL): The Order Server connects via the SAIL protocol to the SOLA Routing Engine, which runs as an interface to the SOLA Trading Engine server for order management.
  • High Speed Vendor Feed (HSVF): The Price Server connects to the SOLA Routing and Trading Engines for prices via HSVF, which is a TCP-based market data protocol.

Matching and Clearing

UnaVista is located in London and is the London Stock Exchange Group's global hosted platform for all matching, validation and reconciliation needs. LSE matches orders by price/time priority (FIFO) matching algorithms.

LSE Connectivity Options

The exchange’s connectivity options are described at: http://www.lseg.com/areas-expertise/technology/market-connectivity

Contact TTNET if you want to use the Customer Managed Connectivity (CMC) option.

Supported Products

The LSE Gateway supports the following equity derivatives products available at the LSE and Oslo Bors: http://www.lseg.com/markets-products-and-services/our-markets/london-stock-exchange/equity-derivatives

For contract specifications for LSE products, refer to: http://www.lseg.com/sites/default/files/content/documents/LSEDM%20-%20Contract%20Specification%20Document%20v1.0.pdf

In addition, the gateway supports products available at the following Borsa Italiana (IDEM and IDEX) derivatives markets: http://www.lseg.com/areas-expertise/our-markets/borsa-italiana/derivatives-markets

Supported Product Types

The following product types are supported by the gateway:

  • Futures
  • Options
  • Spreads
  • Strategies
  • Energy Products

Supported Exchange Functionality

The LSE Gateway supports the following exchange functionality:

  • Change and cancel/replace order actions (position in queue is not maintained)
  • The number of orders at each level of aggregated depth
  • Implied prices (implied-in for LSE; implied-out for IDEM and LSE)
  • Request for Quotes (RFQ)
  • Wholesale orders: Cross Orders (trades within the same membership) and Committed Orders (trades between different memberships)
  • Flexible Combination (FLEXCO) strategies.
  • Threshold Prices
  • Circuit breaker

Unsupported Exchange Functionality

The LSE Gateway currently does not support the following:

  • Cancel on Disconnect
  • Bulk Quotes
  • “While Connected” order type

Trading Hours

LSE trading hours:

LSE Trading Hours
Product CategoryHours CET (UTC+01:00)
Trade Reporting07:15 AM - 07:50 AM
Opening Auction07:50 AM - 08:00 AM
Continuous Trading08:00 AM - 16:20 PM
VWAP (Volume Weighted Average Price)16:20 PM - 16:30 PM
Closing Auction16:30 PM - 16:35 PM
Order Maintenance16:35 PM - 17:00 PM
Trade Reporting Only17:00 PM - 17:15 PM

For LSE derivatives trading hours, refer to: http://www.lseg.com/sites/default/files/content/documents/Trading%20Calendar%202014-2015_1_0.pdf

For IDEM trading hours, refer to: http://www.borsaitaliana.it/borsaitaliana/calendario-e-orari-di-negoziazione/tradinghour7may2012.en_pdf.htm

For Oslo Bors, refer to: http://www.oslobors.no/ob_eng/Oslo-Boers/About-us/Opening-hours

Market States

The TT market states occur during the regular and extended trading sessions for LSE, IDEM, and Oslo Bors. The following table describes the exchange states and how they map to the TT market states.

Exchange State Mapping
Exchange StateTT Market StateDescription
Pre-OpeningPRE-OPEN

Order Entry: Traders can enter, change, and cancel orders, but no matching occurs. Market on Open (MOO) orders are accepted, but not required to calculate a Theoretical Opening Price (TOP).

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange provides a Theoretical Opening Price (TOP) that the LSE Gateway sends as the Indicative Open Price, a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity. The gateway also sends the PRE-OPEN market state to X_TRADER®, which displays it in the S column of the Market Grid.

State Changes: Occurs prior to the Opening phases of the early and regular trading sessions.

OpeningOPENING AUCTIONOrder Entry: Traders can enter orders, but cannot delete or change orders. No matching occurs.

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange provides a Theoretical Opening Price (TOP) that the LSE Gateway sends as the Indicative Open Price, a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity.

State Changes: Occurs prior to the Opening phases of the early and regular trading sessions.

Trading SessionOPEN

Order Entry: Normal order entry, modification, and cancellation permitted and matching occurs.

Market Data: All filled orders update Last Traded Price and Last Traded Quantity. In addition, only prices in the Open state affect the High/Low prices for the trading day. Resting market and limit orders are matched at the price calculated by the exchange when the market moves from Pre-Open and No-cancellation to Open.

State Changes: Remains open until end of trading session (Closing state).

ReservedRESERVEOrder Entry: Order cancellations only.
Closing, Forbidden, ConsultationCLOSE

Order Entry: No order actions (new, change, delete) permitted and no matching occurs.

Market Data: The daily closing price is the price at which the greatest possible volume can be matched in the respective contract.

State Changes: The trading period ends with the Closing state, then moves to Closed.

Post TradingPOST-TRADING

Gateway Minimum Supported Versions

The LSE Gateway has the following TT Client dependencies (also refer to the gateway Release Notes):

  • X_TRADER® 7.17 (7.17.35 for Wholesale Trades)
  • FIX Adapter 7.17.21: For lower versions, a configuration change is required for bias settings.
  • X_TRADER® API 7.17.35
  • TT API 7.17.35.