The TMX Fixed Income Trading Data (FITD) product suite offers comprehensive and detailed information on fixed income trading activity in Canada. Sourced directly from settled transactions from The Canadian Depository for Securities (CDS) and Montreal Exchange (MX) transactions, FITD provides granular, per-security data with daily aggregated transactions and derived calculations. This product suite is designed to support investment research, backtesting, risk management evaluation, market sizing, trade execution, and portfolio evaluation requirements.
Features
Comprehensive Coverage
Access data across a wide range of fixed income instruments, including corporate, provincial, and government bonds, covering cash, repo, and futures trading.
Granular Detail
Receive daily aggregated transactions on a per-security basis, along with associated derived calculations for liquidity, risk, valuation, and other reference categories.
Primary Sourced Data
Benefit from data sourced directly from CDS for cash and repo products and the Montreal Exchange for futures products, providing accuracy and reliability.
Datasets
Cash Trading
Corporate Bonds
Provides coverage of CDS settled transactions in Canada for all corporate bonds eligible for clearing via CDS. Details include daily aggregated transactions and derived calculations across liquidity, risk, and additional reference categories.
Government of Canada Bonds
Offers coverage of CDS settled transactions in Canada for all government of Canada bonds eligible for clearing via CDS. Includes daily aggregated transactions and derived calculations across liquidity, valuation, risk categories, and additional reference data specific to government bonds.
Provincial Bonds
Delivers coverage of CDS settled transactions in Canada for all provincial bonds eligible for clearing via CDS. Provides daily aggregated transactions and associated derived calculations across liquidity, risk, and additional reference categories.
Repo Trading
Government of Canada Bonds
Covers CDS settled repo transactions in Canada for government of Canada bonds. Details include daily aggregated transactions and derived calculations across liquidity, risk, tenor buckets, and additional reference categories.
Provincial Bonds
Includes CDS settled repo transactions in Canada for provincial bonds. Provides daily aggregated transactions and derived calculations across liquidity, risk, tenor buckets, and additional reference categories.
Futures Trading
Government of Canada Bonds
Provides coverage of Montreal Exchange (MX) transactions in Canada for futures government bond contracts. Details include daily aggregated transactions and associated derived calculations across liquidity, risk, and additional futures-oriented reference categories.
Specifications
Delivery Format
CSV
Delivery Channels
- SFTP
- Direct Download through TMX Webstore API
Coverage
CDS settled fixed income transactions in Canada
Frequency
Daily (End of Day)
History
Minimum 5 years
Use Cases
TMX Fixed Income Trading Data offerings provide extensive risk, liquidity, and reference data to evaluate the investable Canadian debt universe, and supporting:
Investment Research and Backtesting
Utilize comprehensive historical and daily data to identify trends, test investment strategies, and perform in-depth market analysis.
Risk Management Evaluation
Access detailed transaction data and derived risk metrics to assess and manage portfolio risk effectively.
Market Sizing and Scoping
Gain insights into market dynamics, trading volumes, and instrument availability to more accurately size and scope market opportunities.
Trade Execution and Portfolio Evaluation
Leverage granular data for informed trade execution and comprehensive portfolio performance evaluation.
Liquidity Monitoring
Track trading activity and volumes to understand market liquidity for different fixed income securities.
Valuation
Utilize transaction data, including VWAP and end-of-day prices, for more accurate valuation of fixed income securities.
Request a FREE Trial or More Information
We offer substantial expertise to help you meet your fixed income data needs. Contact a member of our TMX Fixed Income team to see how we can help.