TSX Nethouse - Static

This is a summary report of the historical trade data.

The user can request a summary of trading for exchanges, symbols and brokers of interest over a particular time period. The report will accumulate trade volumes, values, number of trades, etc. over the user-specified time period.

Storing trade information

Associated with each equity trade is a set of several items: exchange, share's symbol, buy broker, sell broker, date/time of trade, share price and volume of shares.

Storing net house information involves accumulating trade items, so that a typical net house record would consist of: the exchange handling the trade, the share's symbol, broker, date, 'size' of trade, accumulated volume and values (for both the broker's buys and sells).

In addition it also stores a Volume Weighted Average Price for the share for both buys and sells.

If the share traded is a cross trade (i.e. the buy and sell brokers are the same), the accumulated crosstrade volumes and values are also stored.

An example will illustrate this.

The following shows four trades for symbol NT made over two days:

exsymbuyselldate/timepricevolume
TONT00707920061101 09:30:002.5412000
TONT00709220061101 09:31:002.3410000
TONT00707920061102 09:44:002.645000
TONT07900820061102 09:46:002.683000

The resultant net house information accumulated for both days is shown in the table below.

exsymbrkdateacc buyvol acc buyvalbuyVWAPacc sellvolacc sellvalsellVWAP
TONT0072006110122000538802.45000
TONT07920061101000 12000304802.54
TONT09220061101000 10000234002.34
TONT00720061102500013200 2.64000
TONT0082006110230008040 2.68000
TONT0792006110230008040 2.685000132002.64

Broker 007 has its two buy trades on 20061101 totalled into an accumulated buy volume of 22000 and accumulated buy value of 53880.

NetHouse Report

In requesting a NetHouse Report, the user can specify the exchange, symbol, broker and period of interest. The exchange and symbol could also be wild- carded in which case a certain pattern of exchanges and symbols will be selected for the report. A particular broker can be requested or the user can simply request all brokers.

Thus, a report for exchange TO, symbol BCE over the period 20061001 through 20061012 and for all brokers could be requested. Or the user can request the same exchange and symbol but only for broker 079.

A report for all exchanges starting with T and symbols starting with B and ending in Y over the period 20061001 through 20061012 is requested using the wildcard notation. In this case the user specifies the exchange as T* and the symbol as B*Y.

The report will contain the accumulated values for volume, value and effective VWAPs for each day in the requested period for the selected exchange(s) and symbol(s). Also shown will be the net volumes and values for each report line (the net volume is the buy volume - sell volume; similarly for value). At the end of the report the grand totals for each numeric column will be shown.