Overview
TMX Datalinx® provides high-resolution analytics-ready datasets from multiple sources, including TMX proprietary data and key North American markets. We can provide a customized solution specific to your needs, whether you are seeking data from a quant research, compliance, trading risk management or ETF issuer angle.
Key Benefits
TMX Investment Analytics provides from multiple sources, including TMX proprietary data and key North American markets.
High Quality Data
TMX Investment Analytics provides highly accurate historical data covering equities and derivatives.
Lower Cost of Ownership
We ingest, normalize, and curate high-quality datasets, potentially lowering the cost of building in-house infrastructure for our clients.
Multiple Delivery Options
We offer delivery via API or Cloud for easy integration.
Trusted Client-base
Our clients include leading Canadian banks and global investment firms that rely on our products to conduct their operations.
Specialized Support
In-house teams including big data architects, data engineers and data scientists provide continuous and expert-based support in a timely fashion.
Comprehensive Analytical Data at Your Fingertips
Dataset offerings detailed below will arm you with streamlined and comprehensive information to ultimately make more informed investment decisions. In addition, historical files are available for all datasets, with the majority dating back to 2018. Historical time frames vary per dataset, please contact us for specifics.
Canadian Broker Analytics
Canadian Broker Analytics streamlines the analysis of liquidity provided into the Canadian market by regenerating each brokers’ book per day per symbol. It gives a market-wide view of the total displayed liquidity available by symbol each day at multiple price levels beyond top of the book.
North American Equity Analytics
This dataset provides insights into Canadian and US equity markets by analyzing trades and National Best Bid and Offer pricing. The package includes essential daily statistics such as open, close, low, high, trade count, volume, and value aggregations, volatility metrics, and more.
Market-On-Close Imbalance (MOCI)
The newly updated dataset provides equal access and opportunity for investors looking to source liquidity and trade of TSX equities at the closing price, efficiency and accuracy in setting the closing price, and reducing volatility at the close.
Price Adjustment Curve (PAC)
PAC enables clients to create a corporate action adjustment time series for frequently traded North American equities. By combining the adjustment factors and tick data, PAC provides a comprehensive solution to building a highly accurate price adjustment curve that updates on a daily basis.
Canadian Derivatives Analytics
Canadian Derivatives Analytics contains information to analyze Canadian equity options, including daily statistics on Montreal Exchange data such as: Roll Volume, Put Call Ratio, Implied Volatility, Delta, Gamma, Rho, Vega, Theta, Reference Price, Last Price, Last Bid, Last Ask, and more.
Corporate Actions and Reference Data
This comprehensive package contains corporate action and reference data for a global universe of securities and provides full reference coverage for TSX and TSX Venture Exchange.
Delivery & Format
Data is accessible through Cloud or APIs. Clients can be provided with their own “sandbox” through a Virtual Private Cloud (VPC) implementation, from which they can create proprietary analytics using their own data and data sourced from the TMX Investment Analytics ecosystem. In Q1 2025, data will be available via Google Workspace Marketplace as well.
Insights
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We offer substantial expertise to help you meet your Analytics data needs. Contact a member of our TMX Analytics team to see how we can help.