More on the TMX Close != Last

In the post TMX “Last” != “Close” I pointed out that the data published all over the web overnight does not actually represent closing quotations: it represents “Last” quotations, which differ mainly in that cancellations during the extended trading session can make the quote worse than it really was. In some (rare) cases, they can shift dramatically, if the closing bid (ask) is also the Last Sale Price and it is hit (lifted) by orders exceeding those available to fill it during the extended session (e.g., 25.00-10, 5×5 “Close”, with Last Sale = 25.10, could turn into 25.10-20, 10×5 “Last” if a bid for 1500 at 25.10 came in during the extended session and nothing else happened.

Anyway, as explained, this is important not just for quantitative back-test purposes, but for accounting reasons, as many funds use the “Last” quote thinking it is the same as the “Close” quote, and in any case are required to reconcile to the most recent active market quote for financial statement purposes.

So I asked an accountant – what would be the reconciliation bid for GWO.PR.J on December 2 – And I got this:

Click for big

So Bloomberg is clearly reporting the “Last” – not the “Close” – which is hilarious, as the extreme laziness of most portfolio managers has rendered them helpless and confused without a Bloomberg terminal. As previously explained:

A closing quote is considered to be the quote at the close of the regular trading session at 4pm. Market Maker responsibilities end at 4pm. The actual closing quote at 4pm on Dec.2 for this issue was 27.04 – 27.54.

So are these reconciliations what they purport to be? Does anybody care? Stay tuned!

Update, 2014-5-30: For more, see TMX to Report Closing Quotes … Someday.

11 Responses to “More on the TMX Close != Last”

  1. prefhound says:

    presume you meant quote of Dec 31 not Dec 27. Confusion from stock price of 27 perhaps? 😉

  2. jiHymas says:

    Actually, it was a question mark, not a 7 ! December Second is the date of interest.

    I have copy-edited the post anyway, to avoid further confusion.

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  4. […] will remember that quotes provided by the TMX at the “end of the day” are not closing quotes: they are “last” quotes, measured at 4:30. They will differ from the Closing Quotes measured at 4:00 because in the interim […]

  5. […] shares in a range of 26.81-00 before “lasting” at 25.12-27.00. Remember that given the shoddy data dissemination of the TMX, “lasting” is not necessarily the same as “closing” … but I […]

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  7. […] as well that these are actually “last” quotes, not “closing” quotes and there’s a difference … maybe. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-15 Maturity […]

  8. […] a real loss … the Last Quote was 17.23-18.60, but the issue traded 21,495 shares in a range of 18.00-20. Virtually all the […]

  9. […] the closing quote on GWO.PR.I yesterday …. it turns out that most of the problem was the ridiculous TMX Close != Last issue. Some very expensive data purchased from the TMX has revealed that the closing quote was 21.75-21, […]

  10. […] not clear whether the “last” bid of 23.16 was effective at the close, but either way this isn’t a ‘real’ loss. The issue traded 6,598 shares in a […]

  11. […] after trading 31,415 shares in a range of 24.25-50. So this is either a lazy market maker or stupid dumb reporting by the Toronto Stock Exchange – I can’t be bothered to work out which. The Performance Highlights table is extremely […]

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