TickSmith Market Insights for Trade Surveillance & Backtesting

Enhanced Market By Order Access

Ideal for trade surveillance teams and algo traders, the TickSmith Market Insights Solution provides advanced analytics as well as full access to the entire depth of book on Canadian equity ATS and exchanges. 

All trades, order inputs, system event messages, and stock status information that passes through all Canadian stock exchanges are readily available 24/7 starting from the end of the completed trading day with all events timestamped to a millisecond granularity. Historical data made available is January 4, 2016 onwards to the current date. All data can be returned within seconds of queries by point-and-click export, or  programmatic access via APIs.

Exporting Data From the Interface

ITS Canadian Venues

Market Insights Solution

The Market Insights Solution provides intelligence that supports exchanges, surveillance groups, compliance groups, and traders for looking for TCA & backtesting solutions. Advanced Insights returns actionable insights and visuals on the markets which ranges from evaluating performance between competitive brokers per exchange and stock to comparing liquidity between exchanges. 

This solution includes over 45 packaged analytics such as trade-through events or average prices at national best bid per broker.

Example Advanced Analytics: Heatmap on Average Price at the Best Bid per Broker

Average Price At Best Bid per Broker Formula

Book Replay

Book Replay is the ideal tool for market makers, trade surveillance teams, and regulators to support optimizing trading strategies, understand what happens in the markets during times of crises, identifying which trades are potential wash trades, conducting spoofing detection, etc.

The Book Replay allows users to playback granular point-in-time events and trading statistics for any active equity instrument on a millisecond granularity. Every day, TickSmith provides this information on an individual venue basis or on all exchanges giving users a point-in-time consolidated view of all activities on every major equity trading venue in Canada.

  • Select date, time, exchange, and stock symbol to query
  • Timestamp granularity is based on the original data timestamps, which is millisecond-level for the ITS Portal
  • Book by price provides an aggregate view of bids and ask for all prices ordered by price level
  • Book by order shows every order that currently exists on the book for the ticker and timestamp indicated
  • This panel shows point in time statistics. Default statistics include but are not limited to:
    1. Last Price
    2. VWAP
    3. Open, High, Low, Close prices
    4. Volume
    5. Total Trading Value
    6. Trade Initiator (Buyer / Seller)
  • The “Previous/Next” buttons allow you to move to the next or previous event and will update the Book view dynamically. The “Forward” feature can skip to the next Trade message, skip to the next order/trade of a specified broker ID, and skip to the next event after a specified time-length.  
  • The “All Events” section shows the message at the requested time or closest prior message
  • You can also click on the blue timestamp to move directly to that Book view.

Resources

Market Insights White Paper - Q3 2020

Download our Whitepaper for more outsights.

Analytics Solution

Learn more about our Analytics Solution.

Market Insights White Paper - Q3 2019

Download our Whitepaper for more outsights.

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