The TSX/CFMRC Database
The TSX/CFMRC Database is a group of research databases compiled and published by the Canadian Financial Markets Research Center (CFMRC) from data provided by The Toronto Stock Exchange (TSX) and other sources. Currently, there are three databases: 1) Summary Information, 2) Toronto Stock Exchange Intra-daily Trade and Quote, and 3) TSX Venture Exchange Intra-daily Trade and Quote. For detailed information, please select a topic from the above menu. For subscription options and prices, please contact the TMX Group.
Features
Summary Information
The Summary Information database contains daily and monthly trading information from the Toronto Stock Exchange about listed securities as well as information on “price adjustments” such as dividends, stock splits, recapitalizations, etc. and ticker changes. The daily and monthly “index” files contain information on daily and monthly index levels as well as selected other financial markets information. Monthly data begins as early as December, 1949 and daily data begins on January 2, 1975.
Intra-day Trades and Quotes
The two trade and quote (TAQ) databases contain time-stamped and sequencing information on all trades and quotes that occurred on the TSX or TSXV. TAQ data currently begins on January 2, 2018.
Cloud Delivered
The TSX/CFMRC Databases are delivered and updated from the cloud and require the TSX/CFMRC Browser v2.3 (the browser), or later, for installation and updates.
Browser Software Included
Version 2.3 of the TSX/CFMRC Browser, which is included with all versions of the TSX/CFMRC Databases, runs under all current versions of Windows (Windows 7 and later, x86 and x64, are supported, including server versions) and is designed to make finding and extracting data from the TSX/CFMRC Database easy.
ASCII Text Files
The databases are made up of regular text (ASCII) files which may be read with a standard text editor such as Notepad. Some files may be too large to read entirely with some editors – please check your editor’s size limits. Although the files can be read with an editor, that is not the common way to use them. Most users will use the Windows-based TSX/CFMRC Browser to select the data of interest or will write specialized programs to access the databases.
The latter alternative is for users on non-Windows platforms or users who wish to tailor their computations. Most users will probably opt for the ease and simplicity of the browser.
News
2024-04-27: 2024 Q1 Quarterly Update is Available
The 2024 Q1 (Mar24) Database Update is now available for download by quarterly subscribers. Simply start your browser and check for updates to download it.
2023-01-21: How to Fix Missing Dates in TAQ Data?
After an update that includes new TAQ data for either the TSX or the TSXV, you may find that the new dates are not properly displayed in your browser. This can happen when legacy index files don’t get removed properly. To fix the issue, remove any files with a “.bin” (without the quotes) in both the TSX and TSXV subdirectories of your database installation directory. Restarting the browser will rebuild these files automatically.
2021-05-10: File Format Changes
On Monday, March 29th 2021, the TSX introduced expanded tickers in their data files resulting in a change to all files in the Summary Information Database. Please see the revised User’s Guide (in Documents) or the “CFMRC Database File Format Changes” announcement for complete details. The new file and record formats are effective for all databases and files published on, or after, the 2021 Q1 Update (Mar21).
2021-05-04: Announcements Added to Browser
To help notify you of important changes or updates that may affect your programs or research, new announcements posted online now appear when you start the CFMRC Browser. To update your browser, please start your current browser and check for updates or, download it from the DOWNLOADS section.
2021-05-04: Missing Daily Loan and FX Rates
The 2020 year-end version of the database was missing the daily Call Loan Rate from the Daily Calendar for much of the year. The daily FX Rate, although present, was not updated on each trading day. This error also affected the quarterly updates for the last two quarters of 2020. Please see the announcement “Missing Data in the Daily Calendar File” for more details.
Acknowledgments
Data on interest and foreign exchange rates has been made available through the generosity and kind assistance of the Bank of Canada and Statistics Canada. Selected data from Statistics Canada’s CANSIM data bank are published with authority of Statistics Canada. CANSIM is Statistics Canada’s official Time Series data bank service. For further information about the services contact your nearest Statistics Canada office or call 1-800-263-1136.
Disclaimer of Warranties
NEITHER CFMRC NOR ANY THIRD-PARTY SUPPLIERS OF DATA OR SOFTWARE TO CFMRC MAKE ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY SUBSCRIBER OR OTHERS FROM THE USE OF THE DATABASES OR ANY SOFTWARE PROVIDED HEREUNDER, AND THERE ARE NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. The information contained in the Databases shall be obtained from sources considered by CFMRC to be reliable, but the accuracy and completeness thereof are not guaranteed and CFMRC and its third-party suppliers shall have no liability for errors or omissions with respect to the Databases or their delivery, regardless of the cause or source of such error or omission.