Data vendor Activ Financial has launched a new datafeed service, Canadian US Interlisted ActivFeed, to provide Canadian firms executing arbitrage strategies with price data for securities listed on both the Canadian and US markets.
The feed, which went live in the fourth quarter of last year, captures data on around 200 Canadian equities traded on US markets from Activ’s points of presence in the New York metro area—including NYSE Euronext’s Mahwah and Nasdaq OMX’s Carteret datacenters in New Jersey, and Equinix’s NY4 facility in Secaucus, NJ, which houses trading venues including the Chicago Board Options Exchange’s markets, the BOX Options Exchange and Direct Edge—and delivers it to co-location provider Equinix’s 151 Front Street datacenter in Toronto.
Officials say the feed is aimed at Canadian firms with arbitration at the core of their strategies, who require a view of Canadian stocks trading on US markets to have a complete picture of their universe, particularly as a significant portion of trading in Canadian companies now takes place on US stock exchanges. However, higher data volumes in the US make it costly for Canadian traders to harness that data in their systems.
Not only would a firm need to connect to the fastest and most voluminous direct exchange feeds, such as Nasdaq TotalView and NYSE’s ArcaBook, but they need sufficient bandwidth to consolidate and deliver these to Canada, says Activ president Frank Piasecki. “And if you ship raw data up there, you have to filter it, arbitrate and normalize it—so that’s quite a footprint of infrastructure.”
Activ developed the Canadian US Interlisted feed to address these costs and inefficiency issues by providing proprietary trading firms, market makers and hedge funds using arbitrage strategies with a consolidated feed delivering “direct feed-like performance” that is filtered to deliver only those interlisted securities in which they are interested, Piasecki adds.
Will Kennedy, global head of business development at Activ, says the vendor first developed the feed to address the needs of a few specific clients, but decided to productize it after recognizing the opportunity to help Canadian firms reduce the cost of receiving US data. “We’ve been proactive in Canada for a number of years and this is just another product to serve Canadian customers and to broaden our offering,” Kennedy says.
The new feed is part of a broader push in Canada, where Activ recently completed its coverage with the addition of data from alternative trading systems Chi-X Canada, CNSX Markets’ Pure Trading and TMX Group’s TMX Select, as well as TMX’s Canadian Best Bid and Offer and Consolidated Last Sale feeds (IMD, June 12, 2012), having already provided data from the Toronto Stock Exchange, TSX Venture Exchange, the Montreal Exchange and ATS-turned-exchange Alpha Exchange.