Investor Flows
      Back to home
      1. Vettafi LOGICLY
      2. TMX
      3. Investor Flows

      Investor Flows Quick Start Guide

      Explore aggregated and anonymized insights into equity trading activity by investor categorizations.

               This article was last updated on 2/16/2023

      Applies to: TMX Logicly

      Introduction

      TMX LOGICLY's Investor Flows provides insights on retail and non-retail investment flows for ETFs and highly liquid stocks.

      This new product feature on TMX Logicly provides a unique perspective on market trends as it relates to investment flows. Using machine learning techniques, Investor Flows analyzes over 50 factors classifying items with high degrees of accuracy. 

      One of the highly anticipated outputs delivers retail vs. non-retail buying and selling activity.  The output also goes deeper by generating analysis that identifies active and passive sides of a trade for each symbol as well as by date.

      Additionally, Investor Flows allows you to create relevant and useful visualizations with a click of a button. 

       

      Using the Tool

      1. You can access the Investor Flows tool by either:

      • Clicking on the icon under Market Data on the Home Page.
      • Clicking the Left Navigation Menu, go to Market Data, and select Investor Flows.

      investor1v1

       

      2. Once inside Investor Flows, you can access the Filters by clicking the button in the top left corner. Filters allow you to narrow down the security universe in order to see the information on the subset of securities that you are looking for. 

      investor2v2

      NOTE: Your default filters show all listed Canadian ETF activity in the last month.

       

      3. In Investor Flows you can use various filtering options in the following three filter categories, in addition to searching by symbol, to aid in your data search.

      • General - Broad, commonly used filters that assist in the initial steps of narrowing down your search of the universe of securities.
        • Date - Adjust the timeframe for the trading activity data within Investor Flows.
        • Fund Issuer Name - Search for securities by any of the issuers in the system.
        • Total Trade Value - Set the parameters for the total dollar amount exchanged through trading a given security in the market to find those in the desired range for your search.
        • AUM Filter - Set the parameters for AUM of a security to find those in the desired range for your search.
        • CIFSC Category - Select categories given by the Canadian Investments Funds Standards Committee to search for securities that fall into the categories you are looking to get insights on.
        • Security Type - Choose between ETF and Stock trading activity. Only one can be selected a time. You can deselect this filter to see all datapoints on both ETFs and Stocks.

      if1

      • Analytics (Group By) - Filters that adjust the format in which you see data on each fund. The default format is raw data that displays one data point for each symbol and day we have information on. There will not be data available for securities on non-trading days. There will also be some symbols with no data because they were not listed or delisted on a certain date.
        • Symbol - Flow information is aggregated for each symbol to represent all data within the selected timeframe, as opposed to the default view of seeing it day-by-day for each symbol. 
        • Date - Data will represent the activity of the entire market on a day-by-day basis without specifications for each symbol within the selected timeframe.
        • Symbol-Month - Similar to the Symbol filter, this filter aggregates trading activity for each symbol on a month-by-month basis within the selected timeframe. 

      filters1

      • Charting - Filters that allow you to adjust the Y-Axis of the Charts view to include the data points you choose. All Investor Flows data points can be selected here. This filter allows you to customize the Charts view to see a graphical representation of any data available in Investor Flows. 

      if2

       

      4. In addition to the Filters provided within the tool, you can select Views that provide data overlays to show the trading activity data you care about for results of your filtered security search.investor3v3

      Views can be found at the top of the tool. You can add or remove certain views by clicking the Manage Views button. There are four preset views:

      • Overview - This view contains general security information and highlights a few key retail and non-retail trading activity data points.
      • Retail - This view contains trading activity data points on the retail buyer and seller side of the market. 
      • Non-Retail - This view contains trading activity data points on the non-retail buy and seller side of the market.
      • Charts - This view displays a graphical representation of trading activity data points based on the filters selected in Analytics (Group By) and Charting.

      To add or remove any preset or custom view from the top of the page, click Manage Views and press the + (to add) or - (to remove) icon to the left of the view in the pop up pane.

      To change the order that the views are displayed in, click on the right side of a view and drag the view to your desired position. 

      investor6v6

       

      You can also create your own custom view using any one of the 50+ datapoints within the tool by clicking the Create View button. Custom views allow you to create your own personalized dashboard made up of the specific data points that matter to you.

      investor4v4

       

      The default Overview view provides general fund information along with retail and non-retail trading activity. In order to use the Charts view (shown below) you have to select one of the Analytics (Group By) filters in the Filters section.

      if3

       

      Exploring the Data & Analytics

      Investor Flows data contains four types of trading-related information:

      • Trade Count - Number of trades for a security that are executed during the selected timeframe.
      • Participant count - Number of participants that bought or sold a security during the selected timeframe.
      • Share Volume - Number of shares of a security that was traded during the selected timeframe. 
      • Value Volume - Monetary value connected to the trading volume of a security during the selected timeframe.

      Each of these four data types contains information based on three different subsets:

      • Buy and Sell - Trading data that represents both the buyer and the seller sides of the market. 
      • Active and Passive - Active data represents trading activity tied to removing liquidity from the market via filling orders. Passive data represents trading activity tied to adding liquidity into the market via placing orders.  
      • Retail & Non-Retail - Data is displayed on the retail (individual investor) side and on the non-retail (all other market participants) side. 

       

      FAQ's

      What venues and symbols are covered?

      Our coverage encompasses securities from the following venues:

      • TSX
      • TSXV
      • ALPHA

      Symbol coverage entails around 2500 highly liquid stocks and 1100 ETFs from the above venues. Illiquid stocks are filtered out.

       

      How does the machine learning (ML) algorithm determine trading behavior?

      The model uses 59 features including trade count, frequency, account type, volume, value, etc. in an unsupervised machine learning algorithm to determine the trading behavior. The algorithm clusters similar investors together. Then we use the cluster characteristics to determine the retail/non-retail categorization.

       

      What is the availability and granularity of the Investor Flows data set?

      A daily data set is available on the third business day of each month. For example, the daily data for October is available on the third business day of November. The data set includes data from 01/03/2017 (6-year history and counting).