Hi,
I can the family on two passenger lists, slightly different info. on each. Both found at Ancestry . but if you are not a member then here is a transcription of the UK Outward Passenger List.
Ship: Athenia
Departure: 23rd September 1927
Bound for Montreal
British passengers embarked at Glasgow
SHERIDAN
Alexander Occupation: Flesher Age: 54
Mrs Isabella " Housewife Age: 49
Sydney " Mechanic Age: 23
Miss Martha " Clerkess Age: 21
Last Residence: 5 Gateside Avenue, Greenock
Country of Intended Permanent Residence: Canada
Then you can see the image of the Canadian Passenger list by searching here, (I found it quite a long way round to find them, maybe someone else could tell me if there is an easier way)
http://www.rootschat.com/links/01kyc/To find the microfilm number I searched the database to find the microfilm no. for Alexander here,
http://www.rootschat.com/links/01kyb/Then I had to follow the link in "How to Obtain Copies" to get here,
http://www.collectionscanada.gc.ca/microform-digitization/006003-110.01-e.phpThen find the passenger list to Quebec that included 1927,
http://www.rootschat.com/links/01kyd/Then put click on the microfilm no. for Alexander to get here,
http://www.rootschat.com/links/01kye/The page search doesn't help so you have to find the right volume and page number by skipping through the images, Alexander and his family are on page 557 here
http://www.rootschat.com/links/01kyf/Sorry to write out all of my search path I just thought it might help everyone find him without going round in as many circles as I did

The immigration record gives some helpful info. the name of his cousin in Canada and his brother in Scotland.
Regards,
Daisy