Equity Analytics

Introduction Datasets Specifications Resources Contact Us

North American Equity Analytics provide a deep dive into US and Canadian market dynamics by analyzing trades and National Best Bid and Offer pricing data, arming you with insights to make informed investment decisions.

With this dataset, you can uncover hidden patterns and trends in equity trading activity, access real-time pricing data to identify optimal trading opportunities, and track essential daily statistics. Furthermore, you can measure market volatility to assess risk effectively. Contact us to learn more or to receive trial access.

Comprehensive North American Equity Analytics Dataset Package

Advanced Daily Statistics (CA/US)

Contains advanced daily statistics such as open, close, secondary close, high, low price; trade count, volume, and value aggregations, volatility metrics, shares outstanding, market capitalization, average top of the book bid/ask volume, quoted spreads, effective spreads and more across Canadian and US venues.
Covers trading activity across all Canadian marketplaces. Symbol coverage extends to all Canadian symbols.

TSX Daily Statistics (CA)

Contains premium TSX/TSX Venture Exchange (TSXV) specific daily statistics such as open price, close price, time of price movement extension, time of market state change and time of market imbalance message.
Covers trading activity across TSX/TSXV and TSX Alpha Exchange. Symbol coverage extends to all listed symbols.

Liquidity Analytics (CA)

Provides a Canadian market-wide view of the total displayed (on book) liquidity available by symbol each day at multiple price levels beyond the top of book.
The dataset aggregates the consolidated market-wide order book to build these calculations to provide a robust input into assessing market-wide quoted liquidity and determining an appropriate order/trade execution strategy.

Liquidity Summary (CA)

Contains pre-calculated spread with the following specifications:
1. Metrics are calculated using the consolidated order book from all Canadian venues
2. The bid/ask is calculated as the volume weighted average price that would be realized assuming the execution of a $50,000 marketable sell/buy order
3. The effective spread is calculated at each one-second interval between 09:45 - 15:45 ET
4. The reported average bid-ask spread is computed by taking the time-weighted average of all one-second effective spreads for each day.