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Canadian Broker Analytics

Introduction Datasets Specifications Use Cases Resources Contact Us
Whether you are a hedge fund, ETF issuer or market maker, our unique Canadian Broker Analytics dataset package can save you valuable time from wrangling disparate information from various sources and provide a streamlined solution. Contact us to learn more or to receive trial access.

Comprehensive Canadian Broker Analytics Dataset Package

Daily Stats

Daily stats provides insights into market share by broker through a more detailed view into trade volume by broker for various trading sessions and order types, subject to broker attribution.Leveraging broker attribution, Daily Stats generates insights on the trading activities of a broker such as dark percentage of volume and how many shares are traded in Market-on-Close and Market-on-Open.

Liquidity

Liquidity contains broker-specific quoting analytics at multiple order book levels beyond top of the book. This unique dataset provides an enhanced view into displayed liquidity by brokers to help understand liquidity dynamics and market share contributed by each broker, subject to broker attribution.

Summary

Liquidity Summary contains ETFs only; Broker Summary contains spread and volume metrics segmented by broker on each ETF name.

Specifications

Delivery Format

Delivery Format

  • JSON
  • Hive Tables
Delivery Channels

Delivery Channels

  • API
  • Cloud (TMX Investments Analytics Workbench)
  • Google Workspace Marketplace (available Q1 2025)
Coverage

Coverage

  • All Canadian listed stocks and ETFs (4,300 equities)
Frequency

Frequency

  • Daily (T+1)
History

History

  • 5 years
Product Launch Date

Launch Date

  • 2019

Use Cases

ETF Issuers

How TMX Broker Analytics data addresses needs

Monitor the performance of market makers: Access the trusted source of information regarding broker-level trading activities and their performance including bid/ask spreads, volumes, and number of days traded for each ETF in a consolidated format. This helps ETF issuers gauge the performance of each market maker independently.

Asset Managers

How TMX Broker Analytics data addresses needs

Liquidity analytics at different levels of the order book: Gain insights into the liquidity measures including quoting percentage and bid/ask size at different notional values ($100K, $200K, $500K) of the order book. Portfolio managers can use these measures to make informed decisions regarding the ease of trading each asset in their portfolios.  

Resources

View Data Dictionary

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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.

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