The London Stock Exchange (LSE) has expanded its range of real-time data with the first products to become available through the exchange's corporate data warehouse, which provides standardised market data from a central source.
The Level 1 Plus products include the number and volume of orders at best bid/offer updated in real time; total order volumes on each side of the book expressed as percentages in real time; cumulative value of trades executed and the value of orders residing on each side of the order book for each security in real time, and average spread calculated hourly and weighted by the length of time a spread applies.