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
An example will illustrate this.
The following shows four trades for symbol NT made over two days:
The resultant net house information accumulated for both days is shown in the table below.
||acc buyval||buyVWAP||acc sellvol||acc sellval||sellVWAP
Broker 007 has its two buy trades on 20061101 totalled into an accumulated buy volume of 22000
and accumulated buy value of 53880.
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.