LSE Millennium Exchange API

When to Use

Use this skill when building or auditing the last step before an order message leaves your process for the London Stock Exchange order book (Millennium Exchange, via FIX or the native binary gateway). It covers the checks that are yours to make client-side:

• Is this mnemonic actually a TIDM, or a vendor symbol (SHEL.L, SHEL LN) that will not resolve?
• Is the price expressed in the currency this instrument is quoted in?
• Is the price a legal increment for this instrument, not for an average LSE share?
• What is the order worth in pounds?

The two errors this skill exists to prevent are structurally different, and conflating them is what makes them expensive:

When NOT to Use

• Not a transport, and not an acceptance. Nothing here opens a session, logs on to a gateway, or sends an order. ready_to_send means "passed the checks modelled here", never "the Exchange has the order".
• Not a reference-data service. DEFAULT_INSTRUMENTS is a four-instrument worked example, and its liquidity bands are inferred from published quote increments, not read from an FCA publication. Load real records from the LSE Reference Data Service (MIT401) before trading on it.
• Not the identifier you put on the wire. Millennium Exchange identifies instruments by a unique InstrumentID, carried as FIX Tag 48 SecurityID (MIT201 §4.6). The TIDM is a display mnemonic; validating it does not give you a routable order.
• Not an FX converter. A USD- or EUR-quoted LSE line gets a notional in its own currency and notional_gbp = None. This module holds no rate and will not invent one.
• Not a full pre-trade risk gate. Price collars, dynamic and static circuit breakers, order value limits, minimum/maximum quantities, order-to-trade ratios and short-selling checks are separate controls, none of them implemented here.
• Not for off-book trade reports. Price format codes "have no relevance for the price field of manual trade reports" (MIT201 §5.5).

Prerequisites

• Per-instrument reference data from the LSE Reference Data Service (MIT401): TIDM, InstrumentID, Currency, and the instrument's Price Tick Table ID with its Min Value / Max Value / Tick Value rows.
• When the instrument's own tick table is not loaded: its RTS 11 liquidity band, derived from the FCA's annual ADNT calculation published through FITRS. liquidity_band_for_adnt() maps a published ADNT onto bands 1–6.
• Python 3.10+. Standard library only (decimal, dataclasses, enum, logging).

Workflow

1. Resolve the instrument before validating anything about the order. Currency and tick are properties of the instrument, not of the venue. resolve_instrument() raises on an unregistered TIDM rather than defaulting to GBX — an unknown symbol is missing reference data, not a GBX share.
2. Check the mnemonic against the field the Exchange actually defines. TIDM is STRING(4) (MIT401 §2.7) and is not restricted to A–Z: BP., BT.A, RR. and 3IN are all live mnemonics. A five-character symbol is almost always a vendor code.
3. Compare the payload currency against the instrument's Currency field. LSE is not a GBX-only venue: Currency is ISO 4217 "except that, for SEAQ compatibility, GBX has been retained" (MIT401 §2.7), and lines such as the iShares Physical Gold ETC (IGLN) are quoted in USD. A GBP payload on a GBX line is rejected on currency, before it can be priced 100× low.
4. Take the tick from the instrument's price tick table when you have it. That is the increment the matching engine enforces, and it may be static or dynamic (MIT201 §5.5). If a loaded table has no band covering the price, fail closed — do not extrapolate the top band.
5. Fall back to the UK RTS 11 grid only with a liquidity band, and treat it as a floor. The tick is a cell in a 19 price ranges × 6 liquidity bands table; Article 2(1) requires venues to apply a tick "equal to or greater than" that cell, so the grid can be too fine but never too coarse. Price alone does not determine the tick: at 3,385 GBX a band-6 share ticks at 0.5 GBX and a band-1 share at 20 GBX.
6. Flag a reference-data tick finer than the floor rather than rejecting it. Since 28 April 2023 UK RTS 11 Article 2(2A) lets a venue apply the tick of the third-country venue where the instrument was first admitted, when that tick is smaller. A finer tick is therefore legitimate for an overseas-primary line — and a symptom of stale data for anything else. The report carries tick_below_rts11_floor and a warning either way.
7. Check positivity separately from the tick. Decimal("-3385.0") % Decimal("0.5") is zero, so a negative price passes the modulo test on its own.
8. Value the order in the quoted unit, then convert only pence. notional_quoted is price × quantity in the quoting unit — pence for a GBX line. notional_gbp divides by 100 for GBX, passes GBP through, and is None for every other currency.

Full procedure: see references/workflows.md. Rule and specification citations: see references/standards.md. Printable pre-flight checklist: see assets/checklist.md.

Common Pitfalls

• Citing RTS 28 for tick sizes. RTS 28 (Delegated Regulation (EU) 2017/576) is the best-execution top-five-venue report. Tick sizes are RTS 11, Delegated Regulation (EU) 2017/588, assimilated into UK law and hosted in the FCA Handbook technical standards. Building a control to the wrong instrument means the evidence you file cannot support it.
• Deriving the tick from price alone. This is the headline defect. The RTS 11 grid is two-dimensional; the second axis is the instrument's ADNT liquidity band. A price-only ladder gives Shell a 1.00 GBX tick when the Exchange quotes it in 0.5 GBX — every legal half-penny price is rejected by your own gateway before the Exchange ever sees it.
• Treating the regulatory grid as the venue's tick. RTS 11 is a floor. The binding value is the instrument's Price Tick Table ID, and a UK venue may legitimately be finer under Article 2(2A) or coarser under Article 2(1).
• Assuming the liquidity band tracks your own trade counts. The band comes from the FCA's published ADNT for the most relevant market in terms of liquidity, and it changes once a year, from the first Monday of April. A stock moves up and down the price rows intraday, but sideways across liquidity bands only on that date.
• Validating TIDMs with isalpha(). It rejects BP., BT.A and 3IN — real instruments, refused by your own validator.
• Putting the TIDM on the wire. Trading messages carry InstrumentID (Tag 48), not the mnemonic. The TIDM can also change, and when it does the instrument is deleted and re-added, so a TIDM cached across a corporate action can point at nothing.
• Testing the tick in floating point. 2650.35 / 0.05 is 53006.99999999999 and 205.3 is not exactly representable. Convert through the shortest repr into Decimal and test price % tick == 0 exactly.
• Reading a GBX notional as pounds. price × quantity on a GBX line is pence. 1,000 Shell at 3,384.5 GBX is £33,845, not £3,384,500.

Verification

• Route a Shell order (tidm="SHEL", price=3384.5, quantity=1000, currency="GBX") ⟹ LSE_ORDER_VALIDATED, applicable_tick_size == 0.5, notional_gbp == 33845.00. The same price against the previous price-only ladder was rejected as off-tick.
• Route the same order at price=3385.25 ⟹ INVALID_TICK_SIZE.
• Route it at price=33.845, currency="GBP" ⟹ INVALID_CURRENCY, with the 100× warning.
• Route tidm="IGLN" (USD-quoted ETC, no tick table) ⟹ REFERENCE_DATA_REQUIRED, not a guessed share tick.
• Route tidm="SHEL.L" ⟹ INVALID_TIDM; route tidm="BT.A" ⟹ accepted.
• Run python -m unittest discover -s skills/lse-millennium-exchange-api/scripts.

Related Skills

• exchange-tick-size-regime-tracking
• currency-pair-quoting-convention-normalization
• reference-data-symbol-mapping-across-vendors
• multi-currency-pnl-and-fx-conversion