March 8, 2021
Datalinx Notice 2021-001

TMX Group

TMX Product Announcement

Derived Market Close and Derived Last Quote

TMX Datalinx is pleased to announce a new message type on select feeds which will publish the "Derived Market Close" and "Derived Last Quote" values. This new message type will utilize both Toronto Stock Exchange ("TSX") or TSX Venture Exchange ("TSXV") Top of Book bid / ask order data, and TSX / TSXV Last Sale Price data, as applicable, to publish derived values each day at approximately 4:10pm EST. The "Derived Market Close" and "Derived Last Quote" are indicative values that clients may, at their option, choose as reference values for ETFs and less liquid securities.

This message type will not impact, nor will it replace, the official last sale price for the purposes of index calculations, Last Sale Trading Session, or determining the following day's board lot size.

Implementation Details

Services Impacted TL1, CL1, TRD, VRD
New Message Type "R" - Derived Data
GTE Implementation Date (Testing) April 1, 2021
Production Implementation Date June 28, 2021

The new "Derived Market Close" and "Derived Last Quote" values will be calculated using the methodology found here.

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 - Director, Commercial Management -
Evan Hum - Squad Lead, Equities Trading -
Emma Moogk - Product Analyst, Subscription Data Services - 

Appendix - Derived Price Calculation