# TSX level II quotes



## james4beach (Nov 15, 2012)

Which brokerages give TSX level II quotes for free? I just noticed that I see them in Scotia iTrade, which is awesome.

Does TDDI have this as a hidden feature somewhere? It's immensely useful for trading thousands of shares, or in poor liquidity.


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## james4beach (Nov 15, 2012)

For those unfamiliar, Level II quotes will show you the order book and the buyers & sellers lined up, along with their prices and number of shares. This lets you set an appropriate limit price, for example to not leave unfilled shares. It also lets you spot for example a solitary buyer of a smaller number of shares, revealing lower prices lined up behind him.

I moved close to 9000 iShares & BMO shares today on the TSX. Whew. Time for a drink!


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## Beaver101 (Nov 14, 2011)

^^ Would be hard to find any brokerage offering level II quotes for "free" ... BMOIL requires something like $500K in assets before getting the feature so clients can trade away!


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## Spudd (Oct 11, 2011)

At TDDI you can pay for them, or I think they give them to you for free if you have enough $$$. I do not. 

If Scotia offers them for free to everyone that is a huge selling point.


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## james4beach (Nov 15, 2012)

Spudd said:


> If Scotia offers them for free to everyone that is a huge selling point.


I have a little over 100k with them, in case that triggered it. Would be interesting if another iTrade user can confirm, in the quote panel below the chart, do you see "Show Level II Quotes" ?


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## john.cray (Dec 7, 2016)

Hey James,

Funny you should ask. I was just playing with this.

I am an iTrade user and I confirm I see Level II quotes for free.
I only see this feature available for TSX traded stocks/etfs though. Just checked a few non-canadian and didn't see that.

For whatever is worth you can also see last 25 trades (with 15 minutes delay) on the TSX at http://www.tmxmoney.com/en/

Cheers


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## like_to_retire (Oct 9, 2016)

james4beach said:


> Which brokerages give TSX level II quotes for free? I just noticed that I see them in Scotia iTrade, which is awesome.
> 
> Does TDDI have this as a hidden feature somewhere? It's immensely useful for trading thousands of shares, or in poor liquidity.


I enjoyed the advantage that Level II quotes offered at TDDI for many, many years, until they changed to their new cartoon like website this last year. 

Once the new website was active, I lost my free Level II quotes and was invited to start paying for them through their silly new Advanced Dashboard system. 

It would seem that securities on deposit don't trigger free Level II, as I certainly have 7 figures in my accounts, so my answer about TDDI and Level II is that the feature is available in their Advanced Dashboard system at a price, and I'll be damned if I'll pay for it.

Myself, I just trade less after losing this feature, because trading without Level II is like driving blind.

ltr


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## john.cray (Dec 7, 2016)

like_to_retire said:


> Myself, I just trade less after losing this feature, because trading without Level II is like driving blind.
> ltr


ltr,

I was wondering ... if Level II presents good value for you, but would like to save on the extra charge, would it make sense to open a Scotia iTrade account for free and keep it empty just so that you can use the feature? Every time you want to trade you'll have to login to iTrade, check Level II then put the trade in your main TDDI?


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## james4beach (Nov 15, 2012)

john.cray said:


> I am an iTrade user and I confirm I see Level II quotes for free.
> I only see this feature available for TSX traded stocks/etfs though. Just checked a few non-canadian and didn't see that.


So there we have it! Scotia iTrade gives Level II quotes for free. Definitely a special feature and a strong selling point. I used this quote access in iTrade today to help my trading in TDDI.



> For whatever is worth you can also see last 25 trades (with 15 minutes delay) on the TSX at http://www.tmxmoney.com/en/


Yes I use that too, and it's useful. Today for example I was about 98% of the day's volume on a thinly traded ETF, and I used tmxmoney's trade log as well as iTrade Level II to verify that the broker gave me a good price. This is where I spotted that TDDI took my order, made it an internal-only trade which bypasses the TSX, filled it at a _better_ price than the TSX order book (which is required when brokers bypass the exchange). Basically TDDI playing market maker, but actually giving me a good fill as a result.

http://web.tmxmoney.com/quote.php?qm_symbol=ZDB

Just keeping the brokerages honest.


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## john.cray (Dec 7, 2016)

> 12/28/2016 2:32 PM EST	W	15.78	5,000	0.04	TSX	007	007



W == bypass trade
007 == TD

Was that you?


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## james4beach (Nov 15, 2012)

Yes that's me buying. There's a couple interesting things here. My fill was actually 5,300 shares at 15.77

Notice that 300 of those shares never show up on the TSX, I presume because it was traded internally at TD. Additionally, because the broker made a trade happen internally and my order didn't hit the exchange, they had to offer a tick price improvement, which is probably why I got 15.77 versus 15.78 on the TSX.


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## like_to_retire (Oct 9, 2016)

john.cray said:


> ltr,
> 
> I was wondering ... if Level II presents good value for you, but would like to save on the extra charge, would it make sense to open a Scotia iTrade account for free and keep it empty just so that you can use the feature? Every time you want to trade you'll have to login to iTrade, check Level II then put the trade in your main TDDI?


Yeah, I did toy with an idea like this, but decided to keep to my _"simple is best"_. After retiring I made sure everything I had was with one broker for simplicity - including the end of playing the HISA game and only using TDDI HISA. It's not the most efficient, but it makes my life easier.

The loss of Level II has the biggest effect with preferred shares because of liquidity. I do swaps once in a while and it has made it extremely difficult, but I"ve found ways to work around it. I'll be darned if I'll beg TDDI for Level II back.


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## scorpion_ca (Nov 3, 2014)

Why L2 quote is so important if you are buying? I check the lowest price for the last 30 days and a year (available free) and put a limit price based on those info. 

L2 might be helpful if you are a seller. 

Let me know if I am missing something that I should learn.


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## like_to_retire (Oct 9, 2016)

scorpion_ca said:


> Why L2 quote is so important if you are buying? I check the lowest price for the last 30 days and a year (available free) and put a limit price based on those info.
> 
> L2 might be helpful if you are a seller.
> 
> Let me know if I am missing something that I should learn.


Sure, Level II is great if you're a seller. But, assume you wish to purchase 500 shares that shows Level I of 100 shares offered at $25. You have no depth information available, but you would like to get your 500 shares with one commission. You've decided you would go up to $25.10 to make that happen, but you don't know if 1000 shares @$25.01 is hiding behind the 100 @$25 or if the next offer is 400 @$25.11 or @$26.11.

Wouldn't Level II be useful to you at this point?

ltr


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## AltaRed (Jun 8, 2009)

like_to_retire said:


> Sure, Level II is great if you're a seller. But, assume you wish to purchase 500 shares that shows Level I of 100 shares offered at $25. You have no depth information available, but you would like to get your 500 shares with one commission. You've decided you would go up to $25.10 to make that happen, but you don't know if 1000 shares @$25.01 is hiding behind the 100 @$25 or if the next offer is 400 @$25.11 or @$26.11.
> 
> Wouldn't Level II be useful to you at this point?
> 
> ltr


Agree that is a good example of what Level II does for you. Over the long haul, it makes very little difference to the buy and hold investor, i.e. what is a nickel or a dime 'too high' on buy price long term? Getting buys at the best possible price is more important for frequent traders. 

FWIW, I have a big enough account size at Scotia iTrade to have dynamic Level II quotes via their FlightDesk trading plafform. Similarly at BMO IL with their Market Pro Trader (I think that is what it is called). But most familiar with Scotia's offering and that is what is loaded on my PC. FlightDesk is where I also have my Watchlist and Alerts. Very convenient.


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## agent99 (Sep 11, 2013)

We get Level 2 at BMOIL. Use it whenever trading. You do need to be part of the 5 Star program - Requires $250k in assets across all your accounts. Active traders also qualify (30+trades/qtr).

This link explains to some extent:
https://www.bmo.com/self-directed/fees-investment-account-types/fees#online-flat-fee-trading


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## birdman (Feb 12, 2013)

Qtrade and Credential both offer it for free.


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## scorpion_ca (Nov 3, 2014)

like_to_retire said:


> Sure, Level II is great if you're a seller. But, assume you wish to purchase 500 shares that shows Level I of 100 shares offered at $25. You have no depth information available, but you would like to get your 500 shares with one commission. You've decided you would go up to $25.10 to make that happen, but you don't know if 1000 shares @$25.01 is hiding behind the 100 @$25 or if the next offer is 400 @$25.11 or @$26.11.
> 
> Wouldn't Level II be useful to you at this point?
> 
> ltr


I only buy ETFs (ZAG, ZRE, ZPR, VCN, VUN, XEF and XEC). If an ETF trades at $25 and I usually put day limit price of $24.90....the price goes ups or downs throughout the days or weeks.... I never had any issue to fill up my order previously. I trade less than 10x in a year. I am with TD but very soon I will be qualified for free L2 quote with BMO. However, I have not decided to switch my account yet.


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## james4beach (Nov 15, 2012)

james4beach said:


> Yes that's me buying. There's a couple interesting things here. My fill was actually 5,300 shares at 15.77


Adding something: just because an ETF has poor volume and wide bid/ask spreads doesn't mean you can't a fair fill at NAV.

ZDB was a great example. There was no volume (I was the entire day's volume!) but my fill at 15.77 was quite good vs the fund NAV of 15.7617 (as published by BMO). I only paid 0.05% higher -- within one penny of NAV.

However, I suggest that you calculate the NAV in real-time yourself so that you can assess whether you're paying a fair price.


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## like_to_retire (Oct 9, 2016)

scorpion_ca said:


> I only buy ETFs (ZAG, ZRE, ZPR, VCN, VUN, XEF and XEC). If an ETF trades at $25 and I usually put day limit price of $24.90....the price goes ups or downs throughout the days or weeks.... I never had any issue to fill up my order previously. I trade less than 10x in a year. I am with TD but very soon I will be qualified for free L2 quote with BMO. However, I have not decided to switch my account yet.


OK, makes sense with ETF's. They usually enjoy high volume and high liquidity. But, I'm sure you can appreciate with very low volumes and liquidity that buying and selling large quantities of individual shares is quite difficult without Level II. It helps you form an educated bid. Trying to sell or purchase 2000 shares when you can only see the price of 100 shares puts you at a disadvantage in a game where you're already at a disadvantage. The bid/offer limits often show 100 lonely shares placed there to simply beat the best price on the spread, but you don't know that for sure because you can't see what's behind the curtain. If there's nothing behind the curtain, your 2000 share request will get you 100 shares and a commission. Rinse and repeat and you can see how it can end up costing you a lot of commissions and wasted time.

ltr


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## scorpion_ca (Nov 3, 2014)

james4beach said:


> However, I suggest that you calculate the NAV in real-time yourself so that you can assess whether you're paying a fair price.


How to calculate NAV in real-time?


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## james4beach (Nov 15, 2012)

For a stock ETF you can simply make a spreadsheet of its holdings, and the % change of the day... directly tells you the % change in the ETF (this is why plain vanila stock ETFs are great)

Bonds are more difficult since pricing is not transparent. For valuing something like ZDB, I used another liquid bond ETF as a proxy. ZDB has more or less the same exposure as XBB. (Same with HBB, VAB, ZAG)

I start with the last day's NAV as posted on the web site, 15.70 ... so that is the known NAV. Then I looked at the movement in XBB that day, and it was up +0.40%. So I estimated that ZDB was worth 15.70*(1.004)=15.763

At the end of the day BMO posted that the NAV was 15.7617 so you can see that this method works quite well


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## agent99 (Sep 11, 2013)

james4beach said:


> For a stock ETF you can simply make a spreadsheet of its holdings, and the % change of the day... directly tells you the % change in the ETF (this is why plain vanila stock ETFs are great)


Not really another way to get a quick number, but it could be inaccurate due to tracking errors. http://canadiancouchpotato.com/2013/04/18/how-well-does-your-etf-track-its-index/


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## scorpion_ca (Nov 3, 2014)

james4beach said:


> For a stock ETF you can simply make a spreadsheet of its holdings, and the % change of the day... directly tells you the % change in the ETF (this is why plain vanila stock ETFs are great)
> 
> Bonds are more difficult since pricing is not transparent. For valuing something like ZDB, I used another liquid bond ETF as a proxy. ZDB has more or less the same exposure as XBB. (Same with HBB, VAB, ZAG)
> 
> ...


If I want to buy VUN or XEF, which has more than 2400 holdings. It will take a day or two to calculate NAV. By that time, NAV will be published on the issuer's website. Do not understand why simple thing needs to make so complicated...not sure how much you would save or gain by doing this. How about your time? If you include your time's value, does it worth it?


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## AltaRed (Jun 8, 2009)

scorpion_ca said:


> If I want to buy VUN or XEF, which has more than 2400 holdings. It will take a day or two to calculate NAV. By that time, NAV will be published on the issuer's website. Do not understand why simple thing needs to make so complicated...not sure how much you would save or gain by doing this. How about your time? If you include your time's value, does it worth it?


With high(er) volume ETFs, the market maker arbitrages the difference. It simply is not worth worrying about NAV on 'normal' trading days.


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## james4beach (Nov 15, 2012)

It's probably not worth your time, but if you want to trade something that's illiquid or has very wide spreads, you probably should at least take a stab at estimating the NAV. Ditto for trading during thin times like pre market or after hours.

But regular market hours on a regular volume day, with normal volume and liquidity... just go with the market pricing


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## scorpion_ca (Nov 3, 2014)

Thanks for your explanation. It makes more sense now.


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