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Daily Volume Summary Report

Provider: TMX Group

  • Frequency:
    Daily
  • License:
    Individual
  • REST API:
    No
  • Format:
    CSV, JSON, XML

The Daily Volume Summary Report is based off of Fixed Income Data reported to CDS. The report contains the total volume of a fixed income security (by ISIN) aggregated from trades reported to CDS on a given business date.

Please with your TMX Webstore account to view pricing information.

The Daily Volume Summary Report is based off of Fixed Income Data reported to CDS. The report contains the total volume of a fixed income security (by ISIN) aggregated from trades reported to CDS on a given business date.

Value Add: 

  • Basis for liquidity analysis and regulatory stress testing
  • Useful in assessment of liquidity for trade decision making 
  • Issuers can use in assessment of new issue releases 

Notes:  

  • One volume summary report file to be provided at the end of each business day (around 9 p.m.  ET).  
  • Where a security trades only once in a given day, the volume summary report for the security will be reported 14 calendar days after the date the transaction was reported to CDS. Securities that have multiple trades on a given day will be reported on the day the transactions were  reported to CDS.  
  • Where there is only one trade for an ISIN over 2MM, the entry will be reported but the sum value will be left empty.  
  • The total par quantity (volume) per security, includes trades in Unconfirmed and Confirmed status and calculated from the fixed income price service (FIPS) data set.  

File Format:  

The file is a tab delimited file with ASCII characters.

There is no specifications file available at this time. Please contact us for more details.

There is no sample file available at this time. Please contact us for more details.

Please with your TMX Webstore account to view pricing information.