Overview
TMX Historical Trading Data provides historical equity market data from Toronto Stock Exchange (TSX), TSX Venture Exchange (TSXV) and TSX Alpha Exchange (Alpha) and historical derivative data from Montreal Exchange (MX).
Key Benefits
Primary Source
TMX offers historical equity market data directly from our exchanges: TSX, TSXV, Alpha, and MX.
Comprehensive Data Points
Gain a clear understanding of market activity with detailed records, including full depth of book, timestamps in milliseconds, market share information, corporate actions data, and more.
Easy To Use Formats
Integrate our data seamlessly with your existing workflows through a variety of accessible formats such as TXT, CSV, Database files, and standard PCAP for Market Replay.
Multiple Delivery Channels
Access our data conveniently through secure SFTP transfers, web downloads, and email delivery for Normal Course Issuer Bids (NCIB) data, providing flexibility for your needs.
Datasets
Attributed Trading Summary
Provides comprehensive and accurate monthly market share information, on an aggregate basis, by broker, symbol, volume and value broken down by Anonymous Trading, Attributed Trading and Total Trading.
CFRMC Summary
The TSX-CFMRC (Canadian Financial Markets Research Centre) Summary Database provides the academic community with a comprehensive information package containing historical market data for securities traded on Toronto Stock Exchange.
Market Replay (Packet Capture)
Market Replay files are a recording of the entire day’s trading activity as it leaves TMX market data gateways. These files are recorded at the time of exit, and therefore do not have any network related timestamps, and are 100% complete with no risk of dropped packets. These files are delivered in standard PCAP file format and can be conveniently read by standard open-source packages. The files are available for TSX, TSXV and Alpha, and are offered for Level 1 and Level 2 feed content.
NCIB - Normal Course Issuer Bids
The nightly file provides a summary of the day's NCIB trades made on TSX or TSXV while the monthly file provides a summary of TSX NCIB programs active during the previous month.
Equities Trades & Quotes
Includes daily files containing all trades and quotes for exchange-listed issues on TSX, TSXV and Alpha. Details include buying and selling broker numbers, volume, price, stamp time, sequence number and trade markers. Quote records include bid price and volume, ask price and volume, timestamp and sequence number.
Equities Trading Summary
Includes essential end-of-day trading information for all listed securities. We offer separate products for Toronto Stock Exchange, TSX Venture Exchange and TSX Alpha Exchange.Historical data is also available dating back to September 1998 for Toronto Stock Exchange.
MX Futures & Options
Offers granular intra-day and end-of-day historical data for both Futures and Options, sourced from Montreal Exchange. This includes full depth of book, trades and quotes, and trading summaries with timestamps in milliseconds for intra-day data. These datasets support comprehensive analysis of market activity, trends, and execution strategies.
Specifications
Frequency
Varies by dataset; Daily, Monthly, Quarterly
Delivery
All datasets available by Web or FTP. NCIB also available by email.
Format
Varies by dataset; TXT, Database, CSV
Use Cases
Trading and Investment
A hedge fund may utilize MX Futures Trades and Quotes data to develop a quantitative trading strategy, backtesting it with historical data to optimize performance and manage risk.
Pricing
An investment bank could use Derivatives Trades and Quotes Information to facilitate greater accuracy in pricing complex options strategies and providing competitive quotes to clients.
Compliance
A brokerage firm may leverage Market Replay (Packet Capture) files and Attributed Trading Summary data to conduct comprehensive trade surveillance, enabling better compliance with regulatory requirements and identifying potential instances of market manipulation.
Resources
A university professor could use Trades and Quotes Information and Datalinx Trading Summary Information to conduct research on market efficiency and the impact of high-frequency trading on market volatility.
Clearing and Settlement
A clearinghouse may utilize Trades and Quotes Information to automate trade reconciliation and ensure more accurate settlement of transactions, reducing operational risk and improving efficiency.
Analysis
A portfolio manager could employ TMX Datalinx Trading Summary Information and NCIB data to analyze the performance of their portfolio, identify areas for improvement, and make data-driven decisions about future investments.
Resources
Request a FREE Trial or More Information
We offer substantial expertise to help you meet your historical data needs. Contact a member of our TMX Historical Data team to see how we can help.
