January 26, 2023
Datalinx Notice 2023-001
TMX Product Announcement
TSX ETF Indicative Midpoint & Timestamp Granularity Enhancements
TMX Datalinx is pleased to announce the TSX ETF Indicative Midpoint and TimeStamp Granularity enhancements on select market data feeds, effective May 1, 2023, as described below:
TSX ETF Indicative Midpoint Message Type
This new indicative real time pricing service will include: i) the midpoint between the bid and ask top of book orders on TSX-listed ETFs, ii) a High and Low based on this new midpoint, and iii) a new ETF change based on the midpoint to the TSX Closing Price implemented in September 2021. This new message type will be published every 10 seconds from 7:00 a.m. - 9:27 a.m. and 9:33 a.m. - 3:57 p.m. (all times in ET), where a change occurs.
Timestamp Granularity
Providing enhanced nanosecond trading system timestamp granularity to select message types on the Toronto Stock Exchange, TSX Venture Exchange and TSX Alpha Exchange Quantum Level 1 Feeds (TQL1, VQL1 and AQL1).
Implementation Details
|
ETF Indicative Midpoint |
TimeStamp Granularity |
|
|
Services Impacted |
TL1, CL1, TRD, VRD |
TQL1, VQL1, AQL1 |
|
Description |
New Message Type: ‘F' – ETF Derived Price |
Updated the following business messages: ‘Trade', ‘Trade Canceled' and ‘Quote' message types - Added the 8-byte ‘Trading System Time Stamp' |
|
GTE Implementation Date (Testing) |
January 27, 2023 |
TQL1, VQL1 - January 27, 2023 AQL1 - March 01, 2023 |
|
Production Implementation Date |
May 1, 2023 |
May 1, 2023 |
Updated specifications and technical details of this change can be found on the TMX Webstore. We recommend that clients use the testing environment to ensure a seamless consumption of data.
For more information regarding this notice, please contact the TMX Datalinx Product team:
Dave Hill - Managing Director, Core Products Dave.Hill@TMX.com
Manik Dhingra- Product Owner, Equities Trading Manik.Dhingra@tmx.com
Emma Moogk - Associate Product Manager, Subscribers Emma.Moogk@TMX.com
Vyasan Pillay - Product Manager, Datafeeds Vyasan.Pillay@TMX.com
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