TSX teams with Nexa Technologies to deliver trade and quote database

Source: Nexa Technologies

Nexa Technologies' Tick Data division, provider of value added historical intraday financial data, and Toronto Stock Exchange (TSX) today announced the availability of ready-to-use trade and quote data for equities traded on TSX.

This offering, the result of an agreement between Nexa and TSX Datalinx, the market data operation of TSX Group, is the newest addition to Tick Data's Tick Equity Database, a research-quality historical intraday equity database launched in April, 2004. The TSX product includes cleaned and filtered trade and quote data as of January 1, 2001, and was developed for quantitative investment professionals who require researchready historical equity data to design, test, and validate trading strategies and order execution systems.

Tick Data combines software-based analytics and human analysis to ensure its data sets are truly ready-to-use. The proprietary, multi-step process includes the following key components:
  • Ticker Mapping – a proprietary software-driven process that adjusts historical data for corporate actions, including symbol and CUSIP changes, mergers/acquisitions, exchange listing changes, divestitures, etc.
  • Condition Code Filtering - underlying trade and quote data is filtered for various condition codes that denote out of sequence trades/quotes, cancelled trades, and other conditions that require data points to be removed prior to use by a trader.
  • Price Filtering - a series of algorithmic filters that flag trades that appear to be non-representative of market conditions (bad ticks) and suggest corrected values.
  • Data Validation – Tick Data has built daily bars for each symbol and compared them against third party sources to ensure accuracy of Ticker Mapping, stock splits, and prices.
  • Custom Symbol Sets and File Configurations - Tick Data allows clients to choose the entire universe of TSX equities or select a custom symbol subset across a custom date range. Clients also have flexibility in choosing the final format in which they'd like to receive the data.
  • Survivor Bias Free Database - data is available on inactive companies allowing researchers to remove survivorship bias from their research.

    "The financial services industry has many investment firms who trade on TSX," said Neal Falkenberry, SVP of Nexa's Tick Data Division. "Being able to include such a rich market in our equity data offering increases the reach of TSX's trade and quote data by making it available for the first time in a truly research-ready format, and continues the expansion of our Tick Equity Database to include exchanges worldwide."

    "As it has done with U.S. and London Equity data, and throughout its long history, our Tick Data group continues to innovatively serve the historical data industry," said Eric Stoop, President of Nexa Technologies, Inc. "Tick Data responds to the needs of active traders of all sizes, and now provides the data required to trade another robust exchange. This is yet another milestone in our objective of providing tools to traders of all global markets."

    "Building a high frequency trade and quote database is a large, complex task," said Eric Sinclair, Senior Vice-President, TSX Datalinx. "With Nexa's newest addition of Toronto Stock Exchange historical data to the Tick Equity Database, customers now can better analyze and review the issues on our senior market."
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