Databases

TSX/CFMRC Databases

Currently, there are three databases: 1) Summary Information, 2) Toronto Stock Exchange Intra-daily Trade and Quote, and 3) TSX Venture Exchange Intra-daily Trade and Quote.

The Summary Information database contains daily and monthly trading information from the Toronto Stock Exchange about listed securities as well as information on “price adjustments” such as dividends, stock splits, recapitalizations, etc. and ticker changes. The daily and monthly “index” files contain information on daily and monthly index levels as well as selected other financial markets information. Monthly data begins as early as 1949-12 and daily data begins on 1975-01-02.

The two trade and quote (TAQ) databases contain time-stamped and sequencing information on all trades and quotes that occurred on the TSX or TSXV. TAQ data currently begins on 2018-01-02.

More information about the following fields and their meanings is available in the document TSX_CFMRC Database User’s Guide.pdf in the DOCUMENTATION section.

Summary Information Data

There are seven different types of data in the TSX/CFMRC Summary Information database:

Daily index data

  • Date
  • S&P/TSX Composite Daily Price Index
  • S&P/TSX Composite Daily Total Return Index
  • Energy Sector Daily Price Index
  • Energy Sector Daily Total Return Index
  • Materials Sector Daily Price Index
  • Materials Sector Daily Total Return Index
  • Industrials Sector Daily Price Index
  • Industrials Sector Daily Total Return Index
  • Consumer Discretionary Sector Daily Price Index
  • Consumer Discretionary Sector Daily Total Return Index
  • Consumer Staples Sector Daily Price Index
  • Consumer Staples Sector Daily Total Return Index
  • Health Care Sector Daily Price Index
  • Health Care Sector Daily Total Return Index
  • Financials Sector Daily Price Index
  • Financials Sector Daily Total Return Index
  • Information Technology Sector Daily Price Index
  • Information Technology Sector Daily Total Return Index
  • Telecommunications Services Sector Daily Price Index
  • Telecommunications Services Sector Daily Total Return Index
  • Utilities Sector Daily Price Index
  • Utilities Sector Daily Total Return Index
  • S&P/TSX 60 Daily Price Index
  • S&P/TSX 60 Daily Total Return Index
  • S&P/TSX Canadian Mid Cap Daily Price Index
  • S&P/TSX Canadian Mid Cap Daily Total Return Index
  • S&P/TSX Canadian Small Cap Daily Price Index
  • S&P/TSX Canadian Small Cap Daily Total Return Index
  • S&P/TSX Venture Composite Daily Price Index
  • S&P/TSX Venture Composite Daily Total Return Index
  • Call Loan Interest Rate
  • Daily Foreign Exchange Rate (Cdn$ per US$)
  • CFMRC Daily Equal Weighted Index
  • CFMRC Daily Value Weighted Index
  • CFMRC Equal Weighted Under $2 Index
  • CFMRC Value Weighted Under $2 Index
  • CFMRC Equal Weighted Over $2 Index
  • CFMRC Value Weighted Over $2 Index

Monthly Index Data

  • End of Month Date
  • 91 Day T-Bill Rate
  • 30-day Return on T-Bills
  • Long Term GoC Bond Rate
  • Corporate Bond Rate
  • Foreign Exchange Rate (Cdn$ per US$)
  • S&P/TSX Composite Monthly Price Index
  • S&P/TSX Composite Monthly Total Return Index
  • 10 Sectoral Monthly Price Indices
  • 10 Sectoral Monthly Total Return Indices
  • S&P/TSX 60 Monthly Price Index
  • S&P/TSX 60 Monthly Total Return Index
  • S&P/TSX Canadian Mid Cap Monthly Price Index
  • S&P/TSX Canadian Mid Cap Monthly Total Return Index
  • S&P/TSX Canadian Small Cap Monthly Price Index
  • S&P/TSX Canadian Small Cap Monthly Total Return Index
  • S&P/TSX Venture Composite Monthly Price Index
  • S&P/TSX Venture Composite Monthly Total Return Index
  • CFMRC Monthly Equal Weighted Index
  • CFMRC Monthly Value Weighted Index
  • 30 Day Return on Long-Term GoC Bonds

Security Header Data

  • Ticker
  • Usage Number
  • CUSIP
  • Name
  • Business
  • Foreign Flag
  • Daily data start date
  • Number of daily data records
  • Monthly data start date
  • Number of monthly data records
  • Number of price adjustments

Summary Daily Data

  • Opening price
  • Opening bid
  • Opening ask
  • Closing price
  • Closing bid
  • Closing ask
  • High
  • Low
  • Transactions
  • Volume
  • Quotes
  • Quote changes
  • Return

Summary Monthly Data

  • Closing price
  • Total transactions
  • Total volume
  • Shares outstanding
  • Earnings per share
  • Beta
  • Monthly return
  • Dividend flag

Price Adjustment Data

  • Dividend
  • Dividend Type flag 1
  • Dividend Type flag 2
  • Dividend Type flag 3
  • Ex-dividend date

Ticker Data

  • Ticker
  • Usage Number
  • Header Record Number in Data.tse
  • Name
  • Business
  • Common Flag
  • Listing Date
  • Delisting Date

Intra-Daily Trade and Quote Data

The two TAQ databases contain all trades and quotes for securities listed on 1) the TSX and 2) the TSXV, beginning on January 2, 2018. For each security on each day, the following data is available:

Date Records

  • Date
  • Ticker
  • Name
  • CUSIP
  • Business

Trade Records

  • Time
  • Sequence Number
  • Price
  • Shares
  • Buyer
  • Seller
  • Odd Lot
  • Trade Session (Continuous Market, Open Trade, Market On Close Trade, Crossing Session)
  • Cancellation
  • Cancelled
  • Correction
  • Delayed Delivery
  • Cash
  • Non Net
  • Special Terms
  • Specialty Cross (Basis Cross, VWAP Cross, Contingent Cross, Internal Cross, Special Trading Session Cross)

Quote Records

  • Time
  • Sequence Number
  • Bid Price
  • Ask Price
  • Bid Size
  • Ask Size
  • Halted