TMX to Report Closing Quotes … Someday

Readers 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 orders may be cancelled, but not added, during the extended trading session – the one exception being that you can add as many orders as you like at the Closing Price.

I brought this to the attention of the TMX (I don’t think they’d ever really thought about it; my suspicion is that the code that worked perfectly well when there was not extended trading session simply got overlooked when the ETS was invented … put that is pure speculation on my part). The TMX took a survey of their customers and:

While we are not in a position to disclose survey results, we can tell you that there was limited interest from our clients with respect to the 4:00 PM closing bid/ask information. We are following up on adding 4:00 PM close bid/ask data to our end-of-day Trading Summary products and Market Data Web – Custom Query product. However, due to other development commitments and priorities, we can not say when this will be implemented.

I’m rather surprised and can only assume that the surveys were completed by database dorks rather than end users, because the Last Quote is only useful insofar as it reflects the Closing Quote – it has absolutely zero independent value.

I’m also surprised that there will be a potentially significant delay in giving users the option. I’ve never had the chance to examine the TMX code, so obviously I’m speculating again … but retrieval, storage and dissemination of Closing Quotes seems like a fairly trivial database operation. I don’t understand how implementation could possibly take more than a day.

I will, on occasion, spend some actual money to buy the “Trades and Quotes” output from the TMX – but not very often, because there is a charge for each quote and there can, conceivably, be several thousand quotes per minute. However, this will rarely be reported on PrefBlog in a timely manner, because I am separately advised that my problems nailing down IAG.PR.C on March 25 and CM.PR.K on March 28 were due to uploading schedules – detailed quote data is only put on DataLinx overnight, not within a few hours of the close.

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