March 8, 2021
Datalinx Notice 2021-001
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 兔子先生 ("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 . 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 - Dave.Hill@TMX.com
Evan Hum - Squad Lead, Equities Trading - Evan.Hum@TMX.com
Emma Moogk - Product Analyst, Subscription Data Services - Emma.Moogk@TMX.com