LSE Folds Level 1 Plus Into Top-of-Book Feed
Many of the additional analytics included in Level 1 Plus are calculated using full depth-of-market data, providing a better indication of liquidity. For example, the feed includes an Enhanced Best Price field, which supplements best bid and offer prices with the total volume of shares and number of orders awaiting execution at both the bid and the offer.
Other analytics include: a Buy/Sell Percentage indicator, which calculates the volume of orders on each side of the book and expresses them as
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