S&P/TSX Equity Index Products

Provider: TMX Group

Please sign-in with your TMX Webstore account to view pricing information.
  • Frequency:
    Daily
  • License:
    Individual
  • REST API:
    Yes
  • Format:
    N/A
TMX Datalinx is pleased to offer a comprehensive suite of S&P/TSX Index product packages which provide investable indices for the Canadian equity markets and international global mining and preferred share markets. Index data provided includes comprehensive index level files, index constituent data files, index corporate action files, and index notices (upcoming changes). Clients may choose from four product packages offered.
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S&P/TSX Index Product Subscription Options:

Clients can select one of the S&P/TSX equity index product options described below to get the data sets that best fit their needs.

Subscription Options Files Included 

Subscription Option 1:

ALL S&P/TSX INDEX LEVELS FILES 

 

Description: 

Index Level Data Only

S&P/TSX Index Level File Package, Daily (SDL.zip)

S&P/TSX Global Index Level File Package, Daily (SDL.zip)

S&P/TSX 60 Daily Risk Control Index File, Daily (60SDRC.txt)

S&P/TSX Index End of Month Files (SDL.zip)

S&P/TSX 60 Dividend Points Index End of Month File (SDL.zip)

Subscription Option 2:

ANY SINGLE CONSTITUENTS PACKAGE

Description: 

Index Members and Weights (1 of 9 packages)

Any single S&P/TSX Index Constituents File Package, Daily (CLS.zip and ADJ.CLS.zip)

S&P/TSX Proforma Index Consituent Files (SDC.zip)

Subscription Option 3:

ANY SINGLE CONSTITUENTS PACKAGE & INDEX NOTICES

Description: 

Index Members and Weights & Index Notices

Any single S&P/TSX Index Constituents File Package, Daily (CLS.zip and ADJ.CLS.zip)

S&P/TSX Notices

S&P/TSX Index Corporate Events Files, Daily (SDE.zip)

S&P/TSX Proforma Index Consituent Files (SDC.zip)

Subscription Option 4:

ALL INDEX CONSTITUENTS PACKAGES, INDEX LEVELS FILES & NOTICES

 

Description: 

Index Level Data, Index Members and Weights & Index Notices

S&P/TSX Index Level File Package, Daily (SDL.zip)

S&P/TSX Global Index Level File Package (SDL.zip)

S&P/TSX 60 Daily Risk Control Index File (60SDRC.txt)

S&P/TSX Index End of Month Files (SDL.zip)

All S&P/TSX Index Constituents File Packages (1-9), Daily (CLS.zip and ADJ.CLS.zip)

S&P/TSX Index Notices

S&P/TSX Index Corporate Events Files, Daily (SDE.zip)

  

Index Levels File Descriptions

S&P/TSX Index Level Files, Daily (Canadian and Global)

Coverage includes price return, total return, net total return, Canadian dollar and US dollar indices.

Data includes: Index Name, Index Code, Unique Index Key, GICS Industry Classifications (where applicable), ISO Currency Code, Index Level Values, Market Capitalization At Close, Close Divisor, Number Of Index Securities (Close Count), Daily Index Return, Index Dividend (If Applicable), Adjusted Market Capitalization, Adjusted Close Divisor, Adjusted Number Of Index Securities For Next Trading Day.

 

S&P/TSX 60 Daily Risk Control Index File, Daily

The S&P/TSX 60 Risk Control Indices represent portfolios consisting of the S&P/TSX 60 index and a cash component accruing interest. The indices are dynamically adjusted to target a level of volatility (5%, 8%, 10%, 12%, 15%).

 

End of Month Index Level Files (Canadian and Global)

Coverage includes: Same data the S&P/TSX Index Level File (see above), Current price earnings ratio (FYO P/E), 1 Year Forward P/E, 2 Year Forward P/E, 12 Month , Trailing P/E, Price/Book Value, Price/Cash flow, Price/Sales, Return on Equity, Dividend Yield, Indicated Yield, Value Traded.

 

S&P/TSX 60 Dividend Points Index, Daily File

 

Index Constituent Package File Descriptions 

S&P/TSX Index Constituent File Packages (1 through 9 packages)

Nine S&P/TSX Index Constituent File Packages provide index constituent data for all of the S&P/TSX indices. Each package includes close and adjusted close files (next day pre-market open) index constituent data for specific groups of indices.

 

S&P/TSX Proforma Index Constituent Files

The S&P/TSX Proforma Index Constituent files provide advance notice of index rebalancings throughout the year. Data provided is the same as data provided in the S&P/TSX Index Constituent File packages, except that it reflects upcoming updates of shares outstanding, investable weight factors and changes in index constituents that reflect upcoming index rebalancings.

 

Clients can select one of the S&P/TSX consituent package product options described below to get the data sets that best fit their needs:

 Index Constituents Packages

Indices Included

Package 1:

S&P/TSX Composite Index Series

S&P/TSX Composite Index

Package 2: 

S&P/TSX 60, Completion, Small Cap & Capped Sector Index Series

S&P/TSX 60 Index

S&P/TSX Completion Index

S&P/TSX SmallCap Index

S&P/TSX Capped Consumer Discretionary Index

S&P/TSX Capped Consumer Staples Index

S&P/TSX Capped Energy Index

S&P/TSX Capped Financial Index

S&P/TSX Capped Health Care Index

S&P/TSX Capped Industrials Index

S&P/TSX Capped Information Technology Index

S&P/TSX Capped Materials Index

S&P/TSX Capped Real Estate Index

S&P/TSX Capped Telecommunication Services Index

S&P/TSX Capped Utilities Index

S&P/TSX Composite Equal Weight Index

S&P/TSX 60 Equal Weight Index

S&P/TSX Equal Weight Diversified Banks Index

S&P/TSX Equal Weight Oil & Gas Index

S&P/TSX Equal Weight Industrials Index

Package 3:

S&P/TSX Capped Index Series

S&P/TSX 60 Capped Index

S&P/TSX Capped Composite Index

Package 4:

S&P/TSX Strategy Index Series

S&P/TSX 60 Canada Revenue Exposure Index

S&P/TSX 60 U.S. Revenue Exposure Index

S&P/TSX Income Trust Index

S&P/TSX Capped REIT Index

S&P/TSX Capped REIT Income Index

S&P/TSX 60 ESG Factor Weighted Index

S&P/TSX Composite Buyback Index

S&P/TSX Composite Dividend Index

S&P/TSX Canadian Dividend Aristocrats Index

S&P/TSX Composite High Dividend Index

S&P/TSX Composite Focused Canada Revenue Exposure Index

S&P/TSX Composite High Beta Index

S&P/TSX High Income Energy Index

S&P/TSX Composite Low Volatility Index

S&P/TSX Preferred Share Index

S&P/TSX Composite Canada Revenue Exposure Index

S&P/TSX Composite Shareholder Yield Index

Package 5:

S&P/TSX All Canada Index Series

 

Description: 

All Canadian S&P/TSX Indices

The indices included in Packages 1, 2, 3, 4, 7,8, & 9.

*This package requires you to be licensed under All Index Constituents package, Index Level file, and Notices. 

Package 6:

S&P/TSX Global Index Series

 

Description: 

All Global S&P/TSX Indices

S&P/TSX Equal Weight Global Base Metals Index

S&P/TSX Equal Weight Global Gold Index

S&P/TSX Global Base Metals Index

S&P/TSX Global Gold Index

S&P/TSX Global Mining Index

S&P/TSX North American Preferred Stock Index 

Package 7:

S&P/TSX Venture Index Series

S&P/TSX Venture Composite Index

Package 8:

S&P/TSX ESG Index Series

S&P/TSX 60 Shariah Index

S&P/TSX Renewable Energy and Clean Technology Index

S&P/TSX 60 Carbon Efficient Index

S&P/TSX 60 Carbon Efficient Select Index

S&P/TSX 60 Fossil Fuel Free Index

S&P/TSX 60 Fossil Fuel Free Carbon Efficient Index

S&P/TSX 60 Fossil Fuel Free Carbon Efficient Select Index

Package 9:

S&P/TSX Composite Factor Index Series

S&P/TSX Composite Enhanced Value Index

S&P/TSX Composite Enhanced Value - Lowest Quintile Index

S&P/TSX Composite High Beta Index

S&P/TSX Composite Low Volatility Index

S&P/TSX Composite Low Volatility High Dividend Index

S&P/TSX Composite Momentum Index

S&P/TSX Composite Momentum - Lowest Quintile Index

S&P/TSX Composite Quality Index

S&P/TSX Composite Quality - Lowest Quintile Index

S&P/TSX Composite Volatility - Highest Quintile Index

 

Corporate Events Files and Notice Descriptions 

S&P/TSX Index Corporate Events Files, Daily (SDE) (Canadian and Global files)

The Index Corporate Events file consists of comprehensive index event, country event and stock event details (including corporate actions) impacting the index constituents and thus the index. Events in the file are as of the current file date and up to the following thirty (30) calendar days. Data provided includes:

Index Name, Index Code, Index Key, Index Currency, Action Type, Action Group, Status, Last Updated Date, Close Of Business Date, Effective Date, Reference Date, Announcement ID, Sequence No., Stock Key FX Rate, Ratio Received, Ratio Held, Subscription Price, Price Adjustment, Dividend Currency, Dividend, Net Dividend, Franking Rate, Acquirer Name, Cash Amount, Spin/Target Name, Spin/Target Ticker, Spin/Target Stock Key, Spin/Target MIC, Spin/Target Is Index Co, Replacement Stock Key, Comments, as well as: Changes (current & new values) to Company Name, RIC, Bloomberg Ticker, CUSIP (optional, subject to licensing), ISIN, SEDOL (optional, subject to licensing), Ticker, GV Key, GICS Code, DJI Industry Code, market identification code (MIC), Country Of Domicile, Country Of Listing, Currency Code, Shares Outstanding, IWF, AWF, Index Shares, Price, Tax Rate.

 

S&P/TSX Index Notices

Receive critical and timely information on our indices with S&P/TSX Index Notices.

Index Email Notice, End-of-day (Issued only if index changes announced), MS Word, Advance notice of index changes, via email

Index Email Notice, End-of-day (Issued only if index changes announced), HTML, 12 month history of above Index Notices on TMXDatalinx.com

Index Report, Monthly, PDF, Index statistics, including index changes, via email

Quarterly Changes, Quarterly, MS Word, Summary of index changes, via email

  

Delivery Format:

S&P/TSX Index Files: FTP pick-up and email
S&P/TSX Index Notices: email

 

File Specifications:

S&P/TSX Index Files Specifications
Risk Control Index Specifications
UFF 2.0 Data Item Specifications

 

Proforma Rebalance Calendar:

Proforma Rebalance Calendar Link 

 

Sample files:

S&P/TSX Index Level File Daily Sample
S&P/TSX End of Month Index Level File Sample
S&P/TSX Corporate Events Daily Sample:
S&P/TSX 60 Daily Risk Control Index File Sample:
S&P/TSX Index Constituent Stock File Sample
S&P/TSX Proforma Index File Sample
Index Notice Sample
Index Notice Quarterly Update (MS Word) Sample
Index Notice Report Sample

 

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