Friday 22 January 2016

Hiding (volume) in plain sight...Can we get some reform here!!

A little known detail about the TMXMoney website (the investor site for the TSX Group) is that when you type in a ticker symbol into their search bar, the default result is of the TSX feed.

What they never divulge and what we are left to discover ourselves is just how much volume is coming in over other exchanges. Which is what I did.

By trial and error I found some ways of uncovering the volume sources:

If you add :CC to your ticker, you see the consolidated tape which includes 100% of the trading volume

To split that amongst the various exchanges I could find info for, one can add the following suffixes to tickers.

 xxx:APH for Alpha
 xxx:CHI for Chi-X
 no suffix for TSX

Those 3 should normally cover off ~90% of the volume if not more and:

xxx + xxx:APH + xxx:CHI + other?? = xxx:CC

How big a difference does this make? Let's take an egregious example, Bombardier B Shares daily Volume for Jan 21, 2016:

on TSX: 18,940,000 shares

on Alpha: 1,530,000 shares

on Chi-X: 8,630,000 shares

other??: 11,490,000 shares

Consolidated Tape: 40,590,000 shares


Wonder what the suffixes for the rest of the exchanges are??

in any case, I don't think that website can keep using its current tagline: "Invest with Insight" The irony would be funny if it weren't so infuriating.

No comments:

Post a Comment