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TMX Equity Markets
Order Types and
Functionality Guide
April 2013
Toronto Stock Exchange | TSX Venture Exchange | TMX Select | Alpha Exchange
Document Management
This document shall be updated on an annual basis, or with any newly introduced features or
functionality, whichever occurs sooner, by the TMX Markets product & sales team. It is available in
both English and French on the TMX website.
Scope
This document provides an overview of trading on all four TMX equity markets; Toronto Stock
Exchange, TSX Venture Exchange, TMX Select and Alpha Exchange. It is intended to provide an
introduction to the functional operation and order types of each market and serve as a reference for
new and existing trading participants.
For details on becoming a member, fees, connectivity and technical specifications, or additional
information related to trading, please refer to the links below or contact a TMX Account Manager.
References
Link
http://tmx.complinet.com/en/tsx_rulebook.html
http://tmx.complinet.com/en/tsxv_rulebook.html
TMX Trading Policies
http://www.tsx.com/resource/en/4
http://www.tsx.com/resource/en/1069
http://www.tsx.com/trading/toronto-stockexchange/fee-schedule
http://www.tsx.com/trading/tsx-ventureexchange/fee-schedule
TMX Fee Schedule
http://www.tsx.com/trading/tmx-select/fee-schedule
http://www.tsx.com/trading/alpha/fee-schedule
TMX Specifications (FIX and STAMP)
*available to registered users only
https://www.tcbdata.com/tmxequitymarkets/login.cfm
TMX Datalinx
http://www.tmxinfoservices.com/?lang=en
UMIR Rules
www.iiroc.ca/industry/rulebook/Pages/UMIRMarketplace-Rules.aspx
Investment Industry Regulatory Organization of Canada
www.iiroc.ca
Ontario Securities Commission
www.osc.gov.on.ca
June 2015
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Order Types and Functionality Guide
Table of ContentsDocument Management
2
Scope
2
1
6
1.1
1.2
1.3
2
Overview
KEY CONTACTS
REGULATION
ORDER AND TRADE REPORTING
6
6
7
Trading Sessions
8
2.1 HOURS OF OPERATION
2.2 PRE-OPEN
2.2.1 CALCULATED OPENING PRICE (COP)
2.3 OPENING
2.3.1 OPENING ALLOCATION
2.3.2 GUARANTEED ORDERS
2.3.3 DELAYED OPENING
2.4 CONTINUOUS TRADING
2.5 MARKET ON CLOSE (MOC)
2.5.1 MOC-ELIGIBLE SECURITIES
2.5.2 PARTICIPATING IN MOC
2.5.3 MOC IMBALANCE DETERMINATION
2.5.4 MOC IMBALANCE
2.5.5 CALCULATED CLOSING PRICE
2.5.6 PRICE MOVEMENT EXTENSION
2.5.7 CLOSING CALL ALLOCATION
2.5.8 MOC VOLATILITY PARAMETERS
2.6 POST MARKET CANCEL SESSION
2.7 EXTENDED TRADING SESSION
2.8 MUST BE FILLED (MBF) SESSION FOR OPTION EXPIRY
8
9
9
10
11
12
12
13
15
16
16
17
17
17
17
18
18
18
18
19
3
20
Products & Order Features
3.1 ROUTING
3.1.1 AUTOMATED JITNEY ARRANGEMENT
3.2 DARK TRADING
3.2.1 DARK TRADING ON TSX AND TSXV
3.2.2 ALPHA INTRASPREAD™
3.3 CANCEL ON DISCONNECT
3.3.1 CONFIGURATION LEVELS
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20
21
21
22
22
23
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Order Types and Functionality Guide
3.4 ORDER PROTECTION RULE (OPR) FEATURES
3.4.1 DIRECTED ACTION ORDER (DAO)
3.4.2 ORDER PROTECTION BY RE-PRICE
3.4.3 ORDER PROTECTION BY CANCEL
3.4.4 OPR ROUTE OUT SERVICE
3.5 POST ONLY
3.6 DROP COPY
3.7 SELF TRADE PREVENTION
3.7.1 SELF TRADE PREVENTION
3.7.2 SELF TRADE MANAGEMENT
24
24
24
24
24
24
25
25
25
27
4
29
Order Types
4.1 CHANGE FORMER ORDER INSTRUCTIONS (CFO)
4.2 MARKET ORDERS
4.3 LIMIT ORDERS
4.4 DURATION
4.4.1 DAY ORDERS
4.4.2 GOOD TIL CANCELLED (GTC)
4.4.3 GOOD TIL DATE (GTD)
4.4.4 IMMEDIATE OR CANCEL (IOC)
4.4.5 FILL OR KILL (FOK)
4.5 ON-STOP ORDERS
4.6 ICEBERG ORDERS
4.7 SHORT SALES
4.7.1 SHORT MARKING EXEMPT (SME) MARKER
4.8 ANONYMOUS ORDERS
4.8.1 BROKER PREFERENCING
4.9 DARK ORDERS
4.10 BYPASS ORDERS
4.11 CROSS TYPES
4.11.1 BASIS CROSS
4.11.2 VWAP CROSS
4.11.3 CONTINGENT CROSS
4.11.4 INTERNAL CROSS
4.11.5 BYPASS CROSS
4.11.6 SPECIAL TRADING SESSION CROSS
4.12 ORDER FEATURES
4.12.1 MINIMUM GUARANTEED FILL (MGF)
4.12.2 BUY-INS
29
29
29
30
30
30
30
31
31
31
33
34
34
34
35
35
35
35
36
36
36
36
36
37
37
37
37
5
39
5.1
Market Maker Program & Odd Lot Dealer System
TSX MARKET MAKER PROGRAM
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Order Types and Functionality Guide
5.1.1 ODD LOTS
5.1.2 MINIMUM GUARANTEED FILL (MGF) SIZE
5.1.3 RT PARTICIPATION
5.2 TSXV ODD LOT DEALER PROGRAM
5.3 ALPHA ODD LOT DEALER PROGRAM
40
40
41
43
43
6
43
Other Features
6.1 MINIMUM TICKS
6.1.1 STANDARD TRADING UNITS
6.1.2 STANDARD TRADING PRICE INCREMENTS
6.2 TRADING CONTROLS
6.2.1 HALTS
6.2.2 FREEZE PARAMETERS
6.2.3 BID/ASK LIMITS
6.2.4 SINGLE STOCK CIRCUIT BREAKERS
6.3 ORDER MARKERS
6.3.1 NCIB MARKER
6.4 ACCOUNT TYPES
6.5 DEBENTURES
6.6 USD-DENOMINATED SECURITIES
6.7 CLEARING ARRANGEMENTS
6.7.1 CLEARING GIVE-UP
6.7.2 SPECIAL SETTLEMENT TERMS
6.8 ERRONEOUS TRADE AND TRADE AMENDMENT POLICY
6.9 REPORTS
6.9.1 DAILY DIARY FILES
6.9.2 COMPLIANCE ALERTS REPORTING SYSTEM (CARS)
6.10 FEES & BILLING
June 2015
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43
43
44
44
44
45
45
45
46
46
46
46
46
46
47
47
47
47
47
48
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Order Types and Functionality Guide
Section 1 | Overview
1 Overview
TMX Group operates four fully electronic marketplaces that represent the primary trading destinations
of choice and sources of liquidity for equity trading in Canada.
Canada’s primary
market. The largest
and most recognized
source of liquidity for
Canadian equity
trading of senior
board securities
Canada’s public
venture equity
marketplace
dedicated to trading
junior equities from
around the world
during their early
stages of growth
An alternative
marketplace to trade
TSX and TSX Venture
securities, offering
streamlined order
types, extended trading
hours and no broker
preferencing
Specializing in trading
securities popular with
retail investors and
offering the renowned
Intraspread™ dark pool
designed with retail
investors’ interests in
mind
Each marketplace is supported by TMX’s proprietary Quantum technology platform, and offer different
features, functionality, and pricing to offer choice and flexibility of execution to various trading
participants.
1.1 Key Contacts
The TMX Markets Account Management team is your resource for information on being a Participating
Organization / Member of TMX’s equity marketplaces, new trading products and services, and how to
access Canada's capital markets efficiently. We are dedicated to providing Participating Organizations
/ Members and the investment community with a high level of customer service and support. Support
is available from 7:30 am – 5:00 pm on all trading days.
CONTACT
PHONE
EMAIL
Account Management
1-877-421-2369
trading_sales@tsx.com
Trading Services
416-947-4357
trading_services@tsx.com
Vendor Services
416-947-4705
vendor_services@tsx.com
1.2 Regulation
The Investment Industry Regulatory Organization of Canada (IIROC) is the self-regulatory
organization (SRO) which oversees all trading activity on TMX’s equity marketplaces. IIROC regulates
securities trading and market-related activities of participants, and administers and enforces the
Universal Market Integrity Rules (UMIR) which applies to all participants trading on TMX Group equity
marketplaces. All markers, identifiers, and order types required by UMIR and/or IIROC are supported
by TMX’s equity marketplaces. .
June 2015
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Order Types and Functionality Guide
Section 1 | Overview
1.3 Order and Trade Reporting
Order and trade messages which include both public and private data may be submitted to the TMX
through either STAMP or FIX order entry protocols through the client’s order entry connection.
Corresponding responses will be sent to the client through this connection.
TMX also provides a broadcast feed which provides real-time public trade and quote, as well as the
participant’s private data associated with all its trades and orders.
TMX provides real-time market data feeds in the proprietary STAMP and TMX eXtreme Message
Transfer (XMT) protocols. STAMP Level 2 data feed is a real-time data transmission service that
provides pre- and post-trade data delivered in a tag based data format and variable record length
messages. TMX XMT Level 1 and Level 2 data feeds are a real-time data transmission service that
provides pre- and post-trade data delivered in a binary data format and fixed record length messages.
Level 1 content includes equity quote and equity trade information. Level 2 content includes full depth
of book equity order and trade information.
June 2015
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Order Types and Functionality Guide
Section 2 | Trading Sessions
2 Trading Sessions
2.1 Hours of Operation
The following trading session hours of operation are as follows:
TSX and TSX Venture Exchange
TIME (ET)
7:00 AM – 9:30 AM
SESSION
Pre Open – Orders may be entered, but will not be executed. The COP is displayed
and continuously updated.
9:30 AM
Market on Open (MOO) – All matching orders are executed at a single opening
trade price with any remaining orders carrying through to the continuous limit order
book.
9:30 AM – 4:00 PM
3:40 PM – 4:00 PM
Continuous Trading – All regular order types are accepted.
Market On Close (MOC) – Cut-off for MOC orders is at 3:40. MOC imbalance is
published at 3:40 after which Limit on Close (LOC) orders opposite to the imbalance
side are accepted (subject to a price collar) into the non-displayed MOC facility. Trades
publish at 4:00 unless a Price Movement Extension is required, in which case trades
publish at 4:10.
4:10 PM – 4:15 PM
Post Market Cancel Session – During this session, open orders may be
cancelled by the dealer.
4:15 PM – 5:00 PM
Extended Trading Session – Orders at the last sale price are accepted, but trades
may only occur at the last sale price except for regulatory approval of a specialty price
cross. Day orders participate in this session. MBF session for option expiry takes place
during Extended Trading once per month, the evening before an option expiry day.
TMX Select
TIME (ET)
8:00 AM – 5:00 PM
SESSION
Continuous Trading – At 8:00, the market transitions into continuous trading. All
regular order types are accepted.
Alpha
TIME (ET)
7:00 AM – 9:30 AM
SESSION
Pre Open – Orders may be entered, but will not be executed. The COP is displayed
9:30 AM – 4:00 PM
Continuous Trading – At 9:30, the Opening Call transitions the market into
and continuously updated.
Continuous Trading. All regular order types are accepted.
4:00 PM – 4:15 PM
Post Market Cancel Session – During this session, open orders may be
4:15 PM – 5:00 PM
Extended Trading – Orders at the last sale price are accepted, but trades may only
cancelled by the dealer.
occur at the Alpha Last Sale Price except for regulatory approval of a specialty price
cross. Regular Day orders participate in this session, while Good for Day orders expire
at 4:00 and do not participate.
June 2015
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Order Types and Functionality Guide
Section 2 | Trading Sessions
2.2 Pre-Open
The TSX, TSX Venture and Alpha markets support a pre-open session. During the pre-open session,
market and limit priced orders can be entered but will not be executed until the market opens. Limit
orders that were previously booked as GTC or GTD are available to be CFO’ed and/or cancelled
during this session. Odd lot orders may be entered as well.
2.2.1 Calculated Opening Price (COP)
The COP is calculated as follows. It is displayed and continuously updated during the entire Pre-Open
session on the TSX, TSXV and Alpha.
1. The COP is determined as the price where the most shares can trade.
2. If there is more than one price that satisfies the first criterion, then the COP is the price that
leaves the least imbalance.
3. If there is more than one price that satisfies the second criterion, then the COP is the price
that is closest to the previous trading day’s Closing Price. (The TSX/TSXV closing price is
used on TSX/TSXV markets; and the Alpha Last Sale Price is used on the Alpha market)
The following orders participate in the COP calculation:
Previously booked duration orders (GTC or GTD)
Regular board lot sized market and limit orders received during the pre-open session; odd lots
do not contribute to COP formation
The entire disclosed and undisclosed portions of iceberg orders are included in the COP
calculation; however the remaining imbalance will not include the reserve volume of any
icebergs
Orders priced more aggressively than the current COP are displayed at the COP price instead of
revealing their true limit price. Market priced orders are also displayed at the COP instead of revealing
their unconditional market price.
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Order Types and Functionality Guide
Section 2 | Trading Sessions
Example: Calculated Opening Price
Assume at 9:00 am, the following orders exist in the system:
Previous Day’s Close price: $10.02
Bid
Order # 001
1000
10.00 MKT
Order # 003
200
9.99 9.99
Order # 005
200
9.99 10.00
10.01
Possible Open Prices:
Price
Tradable Volume
$10.01
0
$10.00
800
$9.99
700
$9.98
0
200
500
100
100
Offer
Order # 002
Order # 004
Order # 006
Order # 007
Remaining Imbalance
Bid of 200
Bid of 700
-
Deviation from Prev. Day’s Close Price
$0.01
$0.02
$0.03
$0.04
The COP will be: $10.00 since this price maximizes the tradable volume.
2.3 Opening
TMX Select
TMX Select only supports day orders and does not support a pre-open session. The market
transitions directly into continuous trading at 8:00 am. The first trade of the day is subject to price
volatility (freeze) parameters based on the listing market’s (i.e. TSX / TSXV) previous day closing
price.
TSX, TSXV and Alpha
The TSX, TSXV and Alpha support a Market on Open (MOO), which is a visible single price opening
call market at 9:30 am. Any surviving orders are automatically carried forward into the continuous
trading session. A few minor differences exist between TSX, TSXV and Alpha:
TSX
TSXV & Alpha
Registered Market Makers (a.k.a. RTs)
Odd Lot Dealers (OLD)
Auto-execute odd lots
Auto-execute odd lots
Can enable participation
No participation
Guarantee a minimum fill size for
client orders (MGF)
No guaranteed fills
Must Be Filled orders supported
June 2015
Must Be Filled orders not supported
10
Order Types and Functionality Guide
Section 2 | Trading Sessions
2.3.1 Opening Allocation
At the opening call, matching of orders is performed sequentially at the COP (Note each starts with
orders from the imbalance side using the total volume of guaranteed fill1 orders and then limit orders
priced at the COP, allocated to orders from the non-imbalance side)
1. Trade with the disclosed volume of offsetting Guaranteed Fill orders entered by the same PO,
provided that neither order is an unattributed or jitney order; then
2. Trade with the disclosed volume of offsetting Guaranteed Fill orders, then
3. Trade with the disclosed volume of offsetting limit orders priced at the COP entered by the
same PO, according to time priority, provided that neither order is an unattributed or jitney
order; then
4. Trade with the disclosed volume of offsetting limit orders priced at the COP according to
price/time priority; then
5. Trade with the undisclosed volume of offsetting Guaranteed Fill orders, according to time
priority; then
6. Trade with the undisclosed volume of offsetting limit orders priced at the COP according to
time priority
When trades are executed in the Opening Auction, the COP sets the last sale price. If there are no
trades at the Opening, the close price from the previous trading day sets the open price.
If the round lot portion of a mixed lot order is fully filled in the Opening Auction, the odd lot portion of
the order is auto-executed at the COP.
Undisclosed portions of iceberg orders have the same priority as disclosed portions. If during the
opening allocation, the displayed portion of an iceberg order partially trades, its remaining displayed
volume retains priority after the opening.
There is no distinction between Active or Passive orders during the Opening Allocation. Please refer
to the TSX Markets Fee Schedule posted on the TMX website for more information on opening fees.
On the TSX, Must Be Filled (MBF) orders for option expiry are treated the same as any other regular
market priced order in the opening and the MBF marker is not publicized on any of these orders.
1
The following orders are guaranteed a complete fill at the Calculated opening price (COP): MBF, MKT and
Better Price Limit orders (those priced better than the COP). Undisclosed order volume of Iceberg orders that
meet these criteria are not guaranteed a fill if the order is on the side that has the imbalance
June 2015
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Order Types and Functionality Guide
Section 2 | Trading Sessions
Example: Opening Allocation
Assume at 9:30 am, the following orders exist in the system:
COP: $10.00
Time
Order 001
Order 003
Order 005
Bid
Broker
A
B
C
Qty
1000
200
200
Price
10.00
9.99
9.99
Price
MKT
9.99
10.00
10.01
The following trades are allocated in the following order:
Trade
Buy Order #
Sell Order #
Volume
#1
001
002
200
#2
001
004
500
#3
001
006
100
Resulting order book:
Bid
Order 001
200
Order 003
200
Order 005
200
Qty
200
500
100
100
Offer
Broker
79
79
80
2
Time
Order 002
Order 004
Order 006
Order 007
Price
$10.00
$10.00
$10.00
Offer
10.00
9.99
9.99
10.01
100
Order 007
2.3.2 Guaranteed Orders
On TSX/TSXV and Alpha, aggressively priced displayed limit orders that are better than the COP and
displayed market priced orders are both guaranteed to trade fully in the opening. Non-displayed
portions of these orders will contribute to COP formation but the non-displayed portions are not
guaranteed. A guarantee means that the security will not open unless the guaranteed portions of
these orders are completely filled. In the event that the guaranteed portions of orders are not filled the
security will move into a Delayed Open state.
2.3.3 Delayed Opening
The opening occurs automatically at 9:30 am unless otherwise delayed due to either:
1. A systematic delay due to a price movement relative to the previous day’s closing price
beyond acceptable system parameters configured by TMX staff. Most opening delays are
systematic due to price movements, and typically cleared within a few minutes.
2. A manual delay initiated by either the market maker or TMX staff where more time is needed
to validate an appropriate opening price. In the case of a manual delay, depending on which
of the parties has initiated the delay either the market maker or TMX staff will open the market
manually.
3. An automatic delay due to an unfilled imbalance of guaranteed orders. In the case of an
automatic delay the market is opened manually (re-scheduled or immediately) by TMX staff
once the imbalance of guaranteed orders has been resolved. (Either more liquidity is provided
to offset the guaranteed portions of orders or the guaranteed orders themselves are either
removed or price adjusted.)
June 2015
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Order Types and Functionality Guide
Section 2 | Trading Sessions
Special openings in unusual circumstances can be delayed longer and scheduled by TMX staff to
open at a specific time to coincide with other external events.
During an opening-delay orders can still be entered and/or cancelled until the opening takes place. A
rescheduled opening can be cancelled and either further delayed or opened immediately.
2.4 Continuous Trading
TSX/TSXV
TSX and TSX Venture operate a real-time, continuous auction market that matches individual orders
with continual price discovery from 9:30 AM to 4:00 PM in the central limit order book (CLOB). This
period is referred to as the Regular Session. All regular order types are accepted during this session.
During the regular session, orders are individually displayed in the CLOB. Displayed portions of CLOB
orders are given trading priority based on price/broker/time priority. Broker priority does not apply if
either side has marked their order Anonymous or Jitney. For more information, see the Broker
Preferencing section.
At a given price, orders will be processed in the following sequence:
1. Broker Preference amongst displayed portions (in time priority if multiple matches exist).
2. Displayed portions of all other orders (in time priority if multiple matches exist).
3. At this step, if the incoming order was marked ‘bypass’ the undisplayed portions of icebergs
are replenished and there is no further matching.
4. Undisplayed portions of icebergs (in time priority if multiple matches. There is no broker
preferencing amongst undisplayed portions of icebergs).
5. Broker preference amongst non-displayed (dark) volume with a Minimum Quantity in time
priority
6. Dark order volume with a Minimum Quantity in time priority
7. Broker preference amongst dark volume without a Minimum Quantity in time priority
8. Dark order volume without a Minimum Quantity in time priority
9. Any remaining portion of the incoming order is then booked or cancelled (depending on the
trader’s “duration” instructions).
Alpha
Alpha also operates a real-time, continuous auction market that matches individual orders with
continual price discovery from 9:30 AM to 4:00 PM in the central limit order book (CLOB). This period
is referred to as the Regular Session. All regular order types are accepted during this session.
During the regular session on Alpha, the same price/broker/time priority exists as on TSX/TSXV, with
the exception of interactions with dark orders.
At a given price, orders will be processed in the following sequence:
June 2015
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Order Types and Functionality Guide
Section 2 | Trading Sessions
1. Broker Preference amongst displayed portions (in time priority if multiple matches exist).
2. Displayed portions of all other orders (in time priority if multiple matches exist).
3. At this step, if the incoming order was marked ‘bypass’ the undisplayed portions of icebergs
are replenished and there is no further matching.
4. Undisplayed portions of icebergs (in time priority if multiple matches exist. There is no broker
preferencing amongst undisplayed portions of icebergs).
Example: Matching Priority on TSX / TSXV / Alpha during Continuous Trading
Assume the CLOB is as follows: (ordered in time priority)
Last Sale Price: $10.00
Bid
Broker Total Qty Visible Qty
A
1000
B
200
C
10,000
100
D
100
Price
9.99
9.99
9.99
9.99
Price
10.01
10.01
Visible Qty
200
500
Offer
Total Qty
Broker
A
B
An incoming order is received from Broker B to Sell 5000 @ Market
The following trades take place in the following order:
Buyer
Seller
Volume
Price
Comments
B
B
200
9.99
Given same price level, seeks same-broker order
first
A
B
1000
9.99
Given same price level, and no same-broker orders
remain, will prioritize by time
C
B
100
9.99
D
B
100
9.99
C
B
3600
9.99
Iceberg volume reloads to fill the entire remaining
quantity of the active order
Resulting order book:
Broker
C
Bid
Hidden Qty
6,300
Qty
100
Price
9.99
Price
10.01
10.01
Qty
200
500
Offer
Hidden Qty
Broker
A
B
Cross Interference on TSX, TSXV and Alpha
During continuous trading an attributed cross will seek to match previously booked attributed orders
from the same PO at the cross price. The side of the cross that remains unfilled (because it gives up
this volume) is then killed immediately. Regular crosses are subject to this “cross interference” and
only allowed at or inside the best bid/ask but some specialty crosses are exempt from these rules.
See the Crosses section for more detail.
TMX Select
June 2015
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Order Types and Functionality Guide
Section 2 | Trading Sessions
Select executes trades on a strict price-time priority. Cross interference does not exist on Select
because there is no broker priority. Displayed portions of orders are given trading priority based on
price-time priority. At any given price level after all displayed portions are exhausted, the nondisplayed portions of icebergs and then non-displayed orders are given priority based on time. Orders
that are not matched are booked in the CLOB for subsequent matching, subject to any special
handling instructions. Select only supports day orders; Duration orders are not accepted.
Example: Matching Priority on Select during Continuous Trading
Assume the CLOB is as follows: (ordered in time priority)
Last Sale Price: $10.00
Bid
Broker
Qty
A
1000
B
200
C
100
Price
9.99
9.99
9.99
Price
10.01
10.01
Offer
Qty
200
500
Broker
A
B
An incoming order is received from Broker B to Sell 5000 @ Market
The following trades take place in the following order:
Buyer
Seller
Volume
Price
Comments
A
B
1000
9.99
Given same price level, seeks the order with highest
time priority
B
B
200
9.99
Given same price level, seeks order with next
highest time priority
C
B
100
9.99
Given same price level, seeks order with next
highest time priority
Remaining volume books at the LSP - resulting order book:
Bid
Offer
Broker
Qty
Price
Price
Qty
9.99
3700
10.01
200
10.01
500
Broker
B
A
B
2.5 Market on Close (MOC)
The Market on Close (MOC) facility is an electronic call market that establishes the closing price for
eligible listed stocks on Toronto Stock Exchange and TSX Venture Exchange. The MOC facility is a
value added service for Toronto Stock Exchange (TSX) / TSX Venture Exchange (TSXV) providing
equal access and opportunity in setting the closing price, increased price discovery efficiency, and
reducing the volatility of the closing price for symbols eligible for the MOC facility.
The facility provides a fair benchmark for the fund management industry and provides a mechanism to
minimize tracking error caused by deviations from the closing price. Derivative traders also benefit
from the MOC facility as they require reliable benchmark closing prices for index related securities for
basis, swaps, and options trades.
The MOC facility was introduced to TSX in 2004 and has since been widely adopted as an efficient
and effective mechanism to establish the closing price. The facility was further extended to TSXV in
June 2015
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Order Types and Functionality Guide
Section 2 | Trading Sessions
2012 to aid in portfolio and index rebalancing activities for recent Venture indices and index tracking
ETFs.
Initially the MOC facility was introduced on TSX for the constituents of the S&P/TSX Composite Index.
With the increase in the number of indices and the increase in the number of ETFs, there has been
steady growth in the symbols added to the MOC facility.
Currently TSX and TSX Venture support a MOC session, available for specified securities. Alpha and
Select do not support a MOC session.
2.5.1 MOC-Eligible Securities
All TSX listed equities and ETPs (which include ETFs, ETNs and ETRs) are eligible for the TSX MOC
Facility. Currently TSX Venture MOC eligibility is restricted to constituents the S&P/TSX Venture
Select Index.
2.5.2 Participating in MOC
The MOC book is independent and runs in parallel with the CLOB. Orders in the MOC book are not
disseminated publically. MOC trades occur as a result of interaction between the three following types
of orders:
1.
MOC orders: are priced at “market” and will only execute at the MOC calculated closing
price. MOC orders are entered into the MOC book between 7:00 am - 3:40 pm and are
queued in time priority. MOC orders cannot be cancelled after the imbalance is published
at 3:40 pm and may be board lot, mixed lot or odd lot sized orders with regular settlement
terms. MOC orders may be marked short, for jitney purposes, and/or anonymous.
2.
Limit on Close (LOC) orders: are limit orders that will only trade at the calculated closing
price. LOC orders may be board lot, mixed lot or odd lot sized orders .LOC orders are
accepted prior to the imbalance publication on either side of the order book without
restrictions on their limit price.
After the published imbalance (from 3:40 – 4:00 pm) LOC orders are only accepted
subject to the following restrictions.
a. the order must be on the opposite side of the imbalance,
b. the order’s volume must not exceed the published imbalance, and
c.
must be within PME % of the last board lot sale price.
Between 4:00 pm and 4:10 pm if a PME extension is necessary due to price volatility
LOC orders are only accepted subject to the following restrictions.
a. the order must be on the opposite side of the imbalance,
b. the order’s volume must not exceed the published imbalance, and
c. must be within CPA % of the last board lot sale price.
Cancelling and modifying LOC orders
9:00am – 3:40pm: LOC orders may be cancelled or modified.
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3:40pm – 4:00pm: Pre-imbalance LOC orders that contributed to the imbalance
determination cannot be cancelled or modified. Pre-imbalance LOC orders that did not
contribute to the imbalance publication may be cancelled; Post imbalance LOC orders
may be cancelled or modified.
4:00pm-4:10pm: LOC orders may not be cancelled or modified
3.
CLOB orders: Regular limit orders that have been placed in the central limit order book
and remain open in the book at 4:00 pm are eligible to be drawn into the MOC facility in
order to satisfy the MOC imbalance. Note that LOC orders and CLOB orders compete
equally to satisfy the MOC imbalance. Non-displayed portions of CLOB orders (icebergs)
are allocated last relative to other CLOB or LOC orders at the same price. Dark orders do
not participate.
2.5.3 MOC Imbalance Determination
MOC orders and LOC orders that are priced equal to or more aggressive than the TSX or TSXV BestBid-and-Offer (BBO) mid-point at the time of the calculation will be considered when determining the
MOC imbalance. The imbalance side and size will be determined as the difference between the
aggregate eligible buy MOC/LOC volume and aggregate eligible sell MOC/LOC volume.
2.5.4 MOC Imbalance
At 3:40 pm, MOC imbalance messages are disseminated through the broadcast feeds identifying the
imbalance side (Buy/Sell), imbalance volume and TSX or TSXV best bid and offer midpoint at the time
the imbalance was determined. This one-time notification provides an opportunity to offset the
imbalance using LOC orders between 3:40 and 4:00 pm.
2.5.5 Calculated Closing Price
At 4:00 pm, the calculated closing price (“CCP”) is determined by combining the orders in the MOC
Book with those in the central limit order book. The CCP is validated by comparing the PME to the last
sale price of the security, and/or the VWAP of the last 20 minutes of trading for the security. If the CCP
does not violate the PME parameter then the symbol will close at the CCP and trades will be
published, otherwise a price movement extension (PME) period between 4:00 pm and 4:10 pm will be
initiated for that symbol.
MOC will fill all MOC orders against other offsetting MOC orders and offsetting LOC orders and
offsetting CLOB orders up to a maximum price volatility percentage. This metric is known as the
Closing Price Acceptance (CPA) parameter.
2.5.6 Price Movement Extension
The PME period is designed to solicit further liquidity to offset a remaining imbalance. During the
PME, limit orders, on the contra-side of the imbalance may be entered into the MOC book, such
orders are not displayed. At 4:10 pm the CCP is recalculated and validated against the closing price
acceptance (“CPA”) parameters, which is a price control parameter that is used to either accept or
reject the CCP that is derived from the PME. If there is a violation of the CPA parameter, the symbol
will close at the price that matches the most volume, leaving the least imbalance within the CPA
range.
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2.5.7 Closing Call Allocation
The closing call allocation is the priority in which MOC Orders and orders residing in the central limit
order book are matched at the closing price.
Orders will be executed in the Closing Call based on the following allocation:
1.
MOC Market Orders shall trade with offsetting MOC Market Orders entered by the same
PO, according to time priority, provided that neither order is an unattributed or jitney order;
then
2.
MOC Market Orders shall trade with offsetting MOC Market Orders, according to time
priority; then
3.
MOC Market Orders shall trade with the offsetting limit orders (LOC or disclosed volume
of continuous orders) entered by the same PO, according to price/time priority, provided
that neither order is an unattributed or jitney order; then
4.
MOC Market Orders shall trade with offsetting limit orders (LOC or Continuous) according
to price/time priority; then
5.
limit orders shall trade with the disclosed volume of offsetting limit orders entered by the
same PO, according to price/time priority, provided that neither order is an unattributed or
jitney order; then
6.
limit orders shall trade with offsetting limit orders according to price/time priority.
2.5.8 MOC Volatility Parameters
The following parameters are in place to manage price volatility:
Market & Product
TSX (ETF/ETN/ETR)
TSX (all other products)
TSX Venture
PME %
1%
3%
5%
CPA
1%
10%
15%
2.6 Post Market Cancel Session
The Post Market Cancel Session is supported on TSX, TSXV and Alpha. It provides a five minute
window after the continuous trading session closes from 4:10 - 4:15 pm on TSX/TSXV and from 4:00 4:15 pm on Alpha for trading participants to cancel any open orders that they do not wish to participate
in Extended Hours Trading.
2.7 Extended Trading Session
The Extended Trading Session also referred to as the “Special Trading Session” or “Last Sale
Trading” operates from 4:15 - 5:00 pm on TSX, TSXV and Alpha.
TSX and TSX Venture
During the Extended Trading Session, odd lots, board lots and crosses can trade at the official last
sale price determined by MOC or if no MOC, by the last independent trade (Last Sale Price or LSP)
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from the CLOB session. Orders priced at or better than the Last Sale Price are carried forward from
CLOB (but not from MOC) and where those order prices are better than the LSP those orders are repriced to the LSP and are eligible to trade in the Special Trading Session at the LSP. On-stop orders
are also eligible to trade in the Special Trading Session if the on-stop order is triggered as a result of
an MOC changing the LSP.
Alpha
The extended trading Session on Alpha operates in the same manner as the TSX and TSX Venture,
except that the trade price is based on the Alpha Last Sale Price (ALSP). *Note Alpha supports both
Day orders and Good for Day orders; Good for Day orders expire at the end of Continuous Trading at
4:00 and are not carried forward; while Day orders are carried forward into Extended Trading.
2.8 Must Be Filled (MBF) Session for Option Expiry
The Must Be Filled session is supported on the TSX only and is provided for entering MBF orders to
offset expiring derivatives positions. The MBF session takes place once per month on the Thursday
immediately before the option expiry day. Option expiry day always occurs on the third Friday of every
month. The MBF order entry session occurs during the Extended Session (4:15pm-5:00pm) and the
resulting trades occur in the next day’s (Friday’s) opening.
The net MBF imbalance for each security is made public before the pre-open session on expiry day.
This publicity ensures that market participants have a chance to respond with enough liquidity to
satisfy the MBF orders. Imbalances less than 5000 shares are not publicized. A buy imbalance means
there are excess MBF buy orders and a sell imbalance means there are excess MBF sell orders.
On the expiry day (Friday morning) all the MBF orders that were entered the previous day are treated
like pre-open market orders and are thus guaranteed a fill at the COP. The MBF orders are visible to
market participants but the MBF condition on those orders is not public. Trading participants can enter,
change or cancel MBF Orders during the MBF session (the day before expiry) but cannot enter,
change or cancel an MBF order on the expiry day. MBF orders must be in board lot multiples.
Example: MBF Orders
A trader must enter an MBF order when that trader has written an uncovered call to buy 5000 of ABC
@ $10.00 that will be exercised because ABC is currently trading at $12 (i.e. the call is in the
money). The trader who wrote the call has an obligation to deliver the stock at $10 when it is
exercised upon expiry and since the call was not covered the trader who wrote the call must buy the
stock to be in possession of the underlying security (5000 shares of ABC) upon expiry. To ensure
possession of the stock the call writer must enter an MBF order to purchase 5000 ABC @ Market.
That order will then trade at the market opening on expiry day.
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3 Products & Order Features
3.1 Routing
The TMX smart order routing solution is a turnkey, centralized service offering marketplace-neutral,
customizable routing algorithms designed to meet regulatory best-price obligations. Regardless of how
your desk connects to the equity exchanges, the TMX smart order router allows you to access all
visible marketplaces through one connection, minimizing technology, connectivity, and data costs.
More detailed information is available in the TSX SOR Product Guide.
Parent orders are sent by the client to the TSX smart order routing service. The client only manages
parent orders. The router will slice the parent order into one or more child orders that are sent to
Canadian marketplaces to fulfill the user’s obligation to respect better priced orders across
marketplaces and obtain the most beneficial fills. Child orders are linked back to the parent order by
the router.
Default Marketplace Priority
There will be a choice of 3 profiles for active routing and for booking the residual order. These
rankings are based on placing TMX Group marketplaces first, followed by all other marketplaces listed
in order of market share. These rankings may be changed from time to time as market share changes.
Please reference the SOR subscriber agreement for exact rankings. In the event the Participating
Organization does not have access permissions to a marketplace defined in the ranking table, the
Automated Jitney Service is available.
Routing Options
Participating Organizations have the choice of using a default routing algorithm to comply with the
Order Protection Rule obligation, and additionally allows sending Directed Orders to marketplaces.
1.
By Price Spray - For each price level, child orders are sprayed simultaneously to
marketplaces with orders at the best price level and iterates sequentially by price level.
This algorithm maximizes fill rates by sending child orders that interact with displayed and
hidden liquidity.
2.
Directed Action Orders (DAO) – Orders can optionally be directed to specific
marketplaces, but do not offer Order Protection. The OPR Cancel and Re-price features
can be used to complement directed orders.
The TMX SOR service is available during the TSX/TSXV continuous trading session (9:30 am to 4:00
pm ET). OPR Route-out orders received outside these times shall be treated as orders directed to
TSX/TSXV. Market state/event messages from other marketplaces will be monitored by SOR during
the continuous trading session.
3.1.1 Automated Jitney Arrangement
Automated Jitney is a service that executes a Participating Organization’s orders at the best price
across all protected Canadian markets without the need to join all marketplaces. This helps reduce
costs by managing a single access point to all protected Canadian markets, while still meeting best
price obligations. The Automated Jitney service automatically gives-up a PO’s order to a specified
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jitney provider if the best price is available on a marketplace where the PO is not a member. More
information is available in the Automated Jitney Product Sheet.
3.2 Dark Trading
TSX, TSXV and Alpha support dark order types. Each market has a unique value proposition; the TSX
and TSXV markets fully integrate dark order types with the CLOB, while Alpha handles dark orders
through the Intraspread™ facility. Both approaches create meaningful price improvement, and help to
significantly reduce trading costs while increasing valuable liquidity seeking options. For more
information on dark trading see the TSX/TSXV Dark Liquidity Product Guide and the Intraspread™
Product Guide.
3.2.1 Dark Trading on TSX and TSXV
The Toronto Stock Exchange and TSX Venture Exchange’s current offering of Dark order types
include Dark mid-point orders and Dark limit orders. These orders types are introduced as native order
features available in our displayed order book and can be entered using two tags to the FIX and
STAMP order entry protocols.
Dark mid-point orders will always provide meaningful price improvement of at least a full
trading increment unless the NBBO spread is one trading increment. In this case the price
improvement provided will be half a trading increment.
Dark limit orders will provide meaningful price improvement to small orders however large
orders will be eligible to trade at the NBBO once all visible volume is exhausted on the
marketplace where the dark order is resting.
Dark orders interact with displayed orders as well as other Dark orders through one allocation
sequence according to price-visibility-broker-time priority, ensuring the priority of displayed orders over
Dark orders.
Pre-trade Transparency
There is no pre-trade transparency of Dark orders meaning order responses and changes in order
attributes are not disseminated publicly. All order responses are fully encrypted in the Broadcast feed.
There is full post-trade transparency of Dark execution prices which will update the last sale price and
be provided to the TMX information processor’s Consolidated Last Sale (CLS) feed, however all Dark
tag details are classified as private content and therefore fully encrypted. As Dark orders are fully
hidden they do not contribute to the symbol’s quote.
Eligible Symbols for Dark Orders
The TSX/TSXV securities that are enabled to accept Dark orders are identified in two ways: through
notices to Participants/Members, as well as within the symbol status message distributed on TMX
market data feeds every day. During the trading day, a symbol may become ineligible to accept and
trade Dark orders due to market issues such as price volatility triggering a market quality safeguard or
technical issues such as an ATS sending erroneous quote data. Any change to a symbol’s eligibility
will be communicated to all participants through a stock status message which will have the Accept
Undisplayed tag set to “N”. Once the issue has been addressed that symbol may have its eligibility
reinstated. When this occurs a stock status message will be disseminated with the Accept
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Undisplayed tag set to “Y”. These events will be followed by external notification by TSX/TSXV
Trading Support serving as further notification of the event.
Minimum Quantity
An optional Minimum Quantity instruction is available for Dark Midpoint orders which will prevent the
order from participating in a trade unless the tradable volume meets or exceeds the volume specified
through the Minimum Quantity instruction. The Minimum Quantity instruction will only be accepted if
the volume provided in the Minimum Quantity tag meets or exceeds 20 standard board lots. To better
assist institutions and users in reducing market impact and to enhance TMX Dark Order types as a
valuable facility for the execution of larger sized orders, Dark Midpoint orders with a Minimum Quantity
instruction will receive fill priority over other Dark Midpoint orders without this condition or Dark Limit
orders at the same price level.
3.2.2 Alpha Intraspread™
Dark trading on Alpha occurs through the Alpha Intraspread™ facility using two types of orders: Dark
orders and Seek Dark Liquidity™ (SDL) orders.
Dark orders may trade with other Dark orders or with incoming SDL orders, or with both.
Dark orders trade with other Dark orders at the mid-point of the NBBO. They trade with
SDLTM orders at the NBBO mid-point, or at the touch. Dark orders may be entered by all
participants.
SDL™ orders are active-only (IOC) and may trade with Dark orders at the NBBO mid-point,
with CLOB liquidity at the NBBO and/or with Dark orders at the NBBO (if the SDL order is over
50 board lots or greater than $100,000 in value) the option to specify which orders to seek is
now configurable. SDL™ orders are entered exclusively on behalf of Retail clients2. All
trading participants interested in enabling a trader ID for SDL orders must complete the Alpha
Intraspread Retail IDs form, signed by their compliance ensuring the trader IDs are indeed
Retail only.
Eligible Symbols for Dark
All symbols supported on Alpha are eligible for SDL and dark orders in Intraspread™.
Minimum Acceptable Quantity & Contra Tag
When trading against other Dark orders, the Member can optionally place a minimum trade size
(MAQ) on his Dark order for block trading. The MAQ does not apply to SDLTM matches. Further, Dark
orders can be designated to trade with SDL orders only, Dark orders only, or both via the Contra tag.
3.3 Cancel on Disconnect
Cancel on Disconnect (COD) is an optional gateway session feature that will restrict order entry on
user-specified session bundles and attempt to cancel all open orders per session upon an involuntary
loss of connectivity between TMX and the client. Cancel on Disconnect will assist users to mitigate
2
Alpha uses the UMIR definition of Retail Clients
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risks associated with managing open orders on all TMX markets when there is an involuntary loss of
connectivity.
Once COD is triggered, the session bundle will be blocked, new orders entered on that order entry
port will not be accepted and order acknowledgments will not be sent. All open orders pertaining to the
triggered session bundle will be cancelled, with the exception of duration orders (i.e. GTC/GTD), MOC
cancels after 3:40 pm and cancellation due to the stock/stock group state (e.g. stock is frozen, stock
state is inhibited). A session can only be re-activated after a COD event by contacting TMX Trading
Services directly.
Availability of COD:
Session
Pre-open
Continuous Trading
MOC (3:40 – 4:00 pm)
Post Market Cancel Session
Extended Trading
Availability
No
Yes
Yes, but only for LOC and non-MOC orders
(MOC orders are not able to be cancelled
during the imbalance)
Yes
Yes
COD functionality is available for all gateway sessions connecting to Toronto Stock Exchange, TSX
Venture Exchange, TMX Select and Alpha. Order cancellation confirmation messages as result of
COD will be designated with new FIX and STAMP tags.
To enable the Cancel on Disconnect feature, the COD Application Form must be completed and
submitted to a TMX Account Manager by a TSX Participating Organization, TSXV Member, or TMX
Select Subscriber, including for DMA client sessions through which access to TSX, TSXV, or TMX
Select is provided.
3.3.1 Configuration Levels
Clients can specify one of the following levels of COD service for each enabled session:
Level 1
If a session is enabled for Level 1 COD, then COD will be triggered if there is no
activity in the session for two consecutive heartbeat periods.
Level 2
If a session is enabled for Level 2 COD, then COD will be triggered if there is no
activity in the session for two consecutive heartbeat periods or if the session gets
disconnected from the client side without TMX receiving any log-out or sign-off
request from the client (i.e. abnormal/socket disconnect).
Level 3
If a session is enabled for Level 3 COD, then COD will be triggered if there is no
activity in the session for two consecutive heartbeat periods or if the session gets
disconnected from the client side without TMX receiving any logout or sign-off
requests from the client or if the client is gracefully disconnected after TMX
receives the log-out/sign-off request from the client.
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For all three levels of service, if an order is cancelled due to a COD trigger, order cancellation
confirmation messages with a COD indicator will be sent once reconnection on the associated
sessions is established.
3.4 Order Protection Rule (OPR) Features
The following features are supported by TMX to comply with the NI 21-101 Order Protection Rule
obligation.
3.4.1 Directed Action Order (DAO)
The private DAO marker is an implicit or explicit order instruction as defined in NI 23-101. Orders are
assumed to be DAO orders provided directly to the marketplace from a participating organizations
system, or if the explicit DAO marker is provided. DAO orders trade or book without any attempt to
protect better-priced orders on away markets. The responsibility to prevent trade throughs for orders
considered DAO is assumed by the participating organization.
3.4.2 Order Protection by Re-price
On TSX, TSXV, Alpha and Select, orders designated as “OPR re-price” will prevent OPR violations by
only allowing trades at or better than the away market’s best price before adjusting the remainder to
the most aggressive price level allowed based on the away market’s best price.
3.4.3 Order Protection by Cancel
On TSX, TSXV, Alpha and Select, orders designated as “OPR cancel” will prevent OPR violations by
only allowing trading at or better than the away market’s best price before cancelling back the
remainder to prevent trading or quoting at price levels prevented by the away market’s best price.
3.4.4 OPR Route Out Service
Participating organizations not prepared to accept the default designation of orders as DAO can have
their orders intermediated by the OPR Route Out Service made available through the TSX Inc. Smart
Order Router. The use of this service, which will route orders to other marketplaces with better-priced
orders, requires Participating Organizations to send orders to the TSX SOR through a separate SOR
connection.
3.5 Post Only
The Post Only order feature helps liquidity providers tighten the bid/ask spread by rejecting an order
upon entry when it is otherwise immediately executable. This feature is intended for orders without
immediacy where the trader’s strategy depends on the order displaying as CLOB-posted liquidity
without removing CLOB-posted liquidity. For more information, please see the Post Only Product
Sheet.
Post Only is available on TSX, TSXV, Alpha and Select. It is an optional designation available for
visible orders (it is not available on dark orders) and does not apply to orders in the opening or MOC
sessions. A post only order will be rejected if the order is fully or partially tradable. When post only is
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applied to a mixed lot order, it only rejects the entire order based on whether the board lot portion is
immediately tradable, regardless of the tradable status of the odd lot portion.
All durations including GTC, GTD are accepted, and the order must always contain a limit price. The
Post Only flag may be CFO’ed to remove the flag after entry.
Example: Post Only Feature
Assume the CLOB is as follows:
Bid
Order 001
100
10.00
10.02 (Dark)
10.02
10.03
Offer
400
100
200
Order 002
Order 003
Order 004
If an incoming Post Only order to buy 300 shares @ 10.02 is entered:
It will be rejected because it is entirely executable.
If an incoming Post Only order to buy 1000 shares @ 10.02 is entered.
It will be rejected because it is partially executable.
If an incoming Post Only order to buy 1000 shares @ 10.01 is entered.
It will book (see order 005) and the resulting CLOB will be:
Bid
Offer
Order 005
1000
10.01 10.02 (Dark)
400
Order 002
Order 001
100
10.00 10.02
100
Order 003
10.03
200
Order 004
3.6 Drop Copy
Drop Copy is a risk management tool designed to facilitate real-time monitoring of trading activity on
all four TMX equity marketplaces. It allows trading participants to define a secondary destination
through an additional session connection for copies of all trades and cancelled trades (if any) for each
order entry session. Order messages are not included on Drop Copy sessions.
Drop Copy is supported on both FIX and STAMP protocols. Setting up a Drop Copy is facilitated by
Trading Services, with safeguards in place to ensure only authorized persons can request a drop copy
and private trading information is kept confidential.
3.7 Self Trade Prevention
TMX offers four types of solutions to assist trading participants in managing accidental trades with
themselves (wash trades) and are available on all TMX marketplaces (TSX, TSXV, TSX Alpha).
3.7.1 Self Trade Prevention
Self trade prevention is an optional order feature that prevents two orders from the same Participating
Organization or Member Firm from executing against each other based on unique trading keys defined
by the Participant/Member.
Cancel Newest Self-Trade Prevention
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An optional feature that prevents two orders from the same broker from executing against each other
based on unique trading keys defined by the broker. An active order is rejected instead of trading
against a resting order from the same broker with the same unique trading key.
Cancel Oldest Self-Trade Prevention
The Cancel Oldest self-trade prevention instruction will prevent an incoming order from executing
against a passive order from the same broker with a self-trade prevention instruction and matching
self-trade keys. The passive order will be cancelled and the active order will trade up or down to its
limit, booking any remaining volume if eligible.
Decrement Largest and Cancel Smallest Self-Trade Prevention
The Decrement Largest and Cancel Smallest self-trade prevention instruction will prevent an incoming
order from executing against a passive order from the same broker with a self-trade prevention
instruction and matching self-trade keys. If both orders are equivalent size, both orders will be
cancelled. If orders are not equivalent in size, the smaller order will be cancelled and the larger order
will be decremented by the size of the smaller order. If the larger order was passive, the remaining
volume will continue to rest in the book; if the larger order was active, the balance of the order will
trade up or down to its limit, booking any remaining volume if eligible.
These features provides more opportunities for individuals to participate on both sides of the market
without unintentionally violating 'wash trading' rules described in UMIR 2.2. Rules permit individuals to
place buy and sell orders on a market for a given stock at the same price so long as that individual
only trades with others and does not cross his own orders. Preventing self trading ensures there is no
misleading appearance of additional trading in a stock.
Cancel Newest Self-Trade Prevention How it Works
When a tradable order is received, the TMX performs a check: If the same PO is on both sides of the
trade, and the unique trading keys match, then the active order is killed immediately.
Self Trade Management is applied during Continuous Trading session only, and keys are ignored
during Market on Open allocation and Market on Close. Self Trade Management does not apply to
odd lots and the odd lot portions of mixed lot orders. Self Trades are suppressed altogether in Dark /
Dark trading.
Keys may be alpha-numeric (any combination of letters and numbers). It does not impact a member if
another member uses the same key.
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Example: Self Trade Prevention on TMX
Assume the CLOB is as follows:
Bid
Broker A, Unique Key “BAYS9”
Broker B
100
100
$10.00
$9.99
$10.02
$10.02
$10.02
$10.03
400
100
200
500
Offer
Broker B
Broker C
Broker A, Unique Key “ABCD7”
Broker A, Unique Key “BAYS9”
If an incoming order from Broker A with Unique Key “ABCD7” to buy 100 shares @ MKT is entered:
Based on Price/Broker/Time priority, the trading engine seeks the opposing Broker A order @
$10.02 first, however since the Unique Keys match, the entire active order would be rejected.
If an incoming order from Broker A with Unique Key “BAYS9” to buy 500 shares @ MKT is entered:
Based on Price/Broker/Time priority, the trading engine again seeks the opposing Broker A order
first, and since the keys do not match, it trades 200 @ $10.02. After orders with broker priority are
exhausted, time priority allocates the remaining volume of 300 @ $10.02 against Broker B.
3.7.2 Self Trade Management
Self Trade Management is available on TSX, TSXV and TSX Alpha. Self Trade Management is an
optional trading feature that suppresses trades from the public feed where orders on both sides of the
trade are from the same Member and contain the same "self trade key" defined by the Member. When
a Self Trade occurs, the order in the book appears on the public feed as a cancelled or updated order,
and no trade report is published. The trade is, however, reported to CDS. As these trades are
suppressed from the public realm, the trades do not update the LSP, or any trading statistics, such as
daily volume and turnover.
Self Trade Management is applied during Continuous Trading session only. Self Trade Management
does not apply to odd lots and the odd lot portions of mixed lot orders.
Keys may be alpha-numeric (any combination of letters and numbers). It does not impact a member if
another member uses the same key.
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Example: Self Trade Management
Assume the CLOB is as follows:
Bid
Broker A, Unique Key “BAYS9”
Broker B
100
100
$10.00
$9.99
$10.02
$10.02
$10.02
$10.03
400
100
200
500
Offer
Broker B
Broker C
Broker A, Unique Key “ABCD7”
Broker A, Unique Key “BAYS9”
If an incoming buy order from Broker A with Unique Key “ABCD7” for 100 shares @ MKT is entered:
Based on Price/Broker/Time priority, the order trades against the Broker A sell order @ $10.02. As
the STM Keys match, the trade is not displayed on the public feed.
If an incoming order from Broker A with Unique Key “BAYS9” to buy 1500 shares @ MKT is entered:
Based on Price/Broker/Time priority, the following trades occur:
Buyer
A
A
A
A
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Seller
A
B
C
A
Qty
200
400
100
500
Price
$10.02
$10.02
$10.02
$10.03
Notes
Keys do not match, trade is published on public feed
trade is published on public feed
trade is published on public feed
Keys do match, trade is not published on public feed
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Order Types and Functionality Guide
Section 4 | Order Types
4 Order Types
TMX supports a variety of order types across its four marketplaces to offer choice while creating fair
and orderly markets for all participants.
4.1 Change Former Order instructions (CFO)
An order that is CFO’ed refers to an order instruction to cancel the former order’s version by replacing
it with the new version. Such orders will retain relative priority in the continuous book only if the
change is limited to a decrease in the displayed size of the order, an increase or decrease in the
undisplayed portion of an iceberg or a change from sell long to (non-public) sell short or vice-versa or
any change to other non-public markers that are incidental. Any other modification to an order,
including an increase in the displayed size of the order, and/or price change, and/or change from
regular to iceberg order will result in such order losing time priority relative to other equally priced
orders and the timestamp will revised at the time of the modification.
4.2 Market Orders
A market priced order is an instruction to trade the order at prices currently established by the opposite
side of the market. Such orders have no trader defined limit on the potential trade price but these
orders are subject to TMX bid/ask price limits and TMX freeze price limits to prevent unintentional
trade-to-trade price gaps which may otherwise occur if the opposite side of the market is thinner than
the trader submitting the market order had expected.
If there is not enough volume in the book to fill the order, the unfilled quantity of the Market order is
booked at the Last Sale Price.
Example: Market Orders
Assume the CLOB is as follows:
Order 001
Order 002
Bid
100
100
$10.00
$9.99
$10.02
$10.02
Offer
400
Order 003
100
Order 004
If an incoming sell order #005 for 500 shares @ MKT is entered:
The following trades occur:
Buyer
Order 001
Order 002
Seller
Order 005
Order 005
Qty
100
100
Price
$10.00
$9.99
The remaining unfilled quantity is booked at the LSP, and the resulting CLOB will be:
Bid
$9.99
$10.02
$10.02
Offer
300
Order 005
400
Order 003
100
Order 004
4.3 Limit Orders
A limit priced order is an instruction to trade the order at prices currently established by the opposite
side of the market so long as those prices are within range of the limit price defined by the trader. Any
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Order Types and Functionality Guide
Section 4 | Order Types
remaining portion of the limit order that is not immediately traded is either booked or cancelled
(trader’s preference) at the limit price.
Example: Limit Orders
Assume the CLOB is as follows:
Order 001
Order 002
Bid
100
100
$10.00
$9.99
$10.02
$10.02
Offer
400
Order 003
100
Order 004
If an incoming sell order #005 for 500 shares with a Limit Price of $10.00 is entered:
The following trades occur:
Buyer
Order 001
Seller
Order 005
Qty
100
Price
$10.00
The remaining unfilled quantity is booked at the limit price, and the resulting CLOB will be:
Order 002
Bid
100
$9.99
$10.00
$10.02
$10.02
Offer
400
Order 005
400
Order 003
100
Order 004
4.4 Duration
4.4.1 Day Orders
On the TSX/TSXV, day orders expire at 5 pm and can participate in all trading sessions.
Alpha supports two versions of day orders:
Good for Day orders expire at the end of Continuous Trading at 4:00 pm and are not carried
forward into the Extended Trading session
Day orders which are carried forward into the Extended Trading session
4.4.2 Good Til Cancelled (GTC)
Good Til Cancelled orders expire at 5 pm, 90 calendar days after entry. These orders participate in all
regular trading sessions, including Market on Open, Continuous Trading, Market on Close, and
Extended Trading. GTC orders are accepted on TSX, TSX Venture, Alpha, but not Select.
It is important for participants to verify all open orders each morning to identify any orders that may
have expired the night before.
4.4.3 Good Til Date (GTD)
Good Til Date orders expire at 5 pm on a specific day. These orders can participate in all trading
sessions. Good Til Date orders with a specific time of expiry are not supported. GTD orders are
accepted on TSX, TSX Venture, Alpha, but not Select.
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Section 4 | Order Types
4.4.4 Immediate or Cancel (IOC)
An IOC order is eligible to receive a full or partial fill. Any portion not filled is cancelled immediately.
IOC orders are accepted on TSX, TSX Venture, Alpha, and Select.
Example: IOC Orders
Assume the CLOB is as follows:
Order 001
Order 002
Bid
100
100
$10.00
$9.99
$10.02
$10.02
Offer
400
Order 003
100
Order 004
If an incoming sell order #005 for 500 shares with a limit price of $10.00 is entered:
The following trades occur:
Buyer
Order 001
Seller
Order 005
Qty
100
Price
$10.00
The remaining unfilled quantity is then cancelled, and the resulting CLOB will be:
Order 002
Bid
100
$9.99
$10.02
$10.02
Offer
400
Order 003
100
Order 004
4.4.5 Fill or Kill (FOK)
An FOK order is eligible to receive a full fill only, and if not fully filled is cancelled immediately. FOK
orders are accepted on TSX, TSX Venture, Alpha, and Select.
Example: FOK Orders
Assume the CLOB is as follows:
Order 001
Order 002
Bid
100
100
$10.00
$9.99
$10.02
$10.02
Offer
400
Order 003
100
Order 004
If an incoming sell order #005 for 500 shares with a limit price of $10.00 is entered:
Since the volume cannot be fully filled, no trades occur. The remaining unfilled quantity is then
cancelled, and the resulting CLOB will be:
Order 001
Order 002
Bid
100
100
$10.00
$9.99
$10.02
$10.02
Offer
400
Order 003
100
Order 004
4.5 On-Stop Orders
A contingent limit priced order that remains undisclosed until its limit price is triggered at which time it
becomes a displayed limit order in the CLOB.
An undisclosed On-Stop sell order is triggered when the LSP of the same marketplace trades
down to or through the limit specified on the On-Stop order.
An On-Stop buy order is triggered when the LSP of the same marketplace trades up to or
through the limit specified on the On-Stop order.
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Section 4 | Order Types
Once triggered the On-Stop order will trade in the CLOB subject to its limit with any untraded volume
fully displayed at its limit price. On-Stop orders are accepted on TSX, TSX Venture, Alpha, but not
Select.
Example: On-Stop Orders
Assume the CLOB is as follows:
LSP: 10.20
Bid
Order 001
Order 003
Order 004 On-Stop (hidden)
Order 005
1000
500
1000
1000
10.00
9.90
9.90
9.80
10.20
Offer
1000
Order 002
An incoming order (Order 006) to sell 1500 shares @ $9.90 is entered, the following trades occur:
Buyer
Seller
Qty
Price
Order 001
Order 006
1000
10.00
Order 003
Order 006
500
9.90
The trade at 9.90 sets the LSP triggering the on-stop and the order becomes visible.
Resulting CLOB:
Bid
Offer
Order 004 On-Stop (disclosed)
1000
9.90
10.20
1000
Order 002
Order 005
1000
9.80
Newly triggered on-stop orders have lower priority than any displayed visible orders.
Example 2: On-Stop Orders
Assume the CLOB is as follows:
LSP: 10.20
Bid
Order 001
Order 003
Order 004 On-Stop (hidden)
Order 005
1000
500
1000
1000
10.00
9.90
9.90
9.80
10.20
Offer
1000
Order 002
An incoming order (Order 006) to sell 2500 shares @ $9.50 is entered, the following trades occur:
Buyer
Seller
Qty
Price
Order 001
Order 006
1000
10.00
Order 003
Order 006
500
9.90
Order 005
Order 006
1000
9.80
The incoming order trades with all visible orders at various price levels in the book. The 2nd trade at
9.90 sets the LSP, which triggers the on stop, however the visible order (Order 005) has priority of
fill before the on-stop order because it was previously displayed.
Resulting CLOB:
Bid
Offer
Order 004 On-Stop (disclosed)
1000
9.90
10.20
1000
Order 002
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Section 4 | Order Types
4.6 Iceberg Orders
An Iceberg order replenishes the displayed order size as executions are received. Only the disclosed
portion of the order has priority at the given price level. Iceberg orders must display a minimum of 1
board lot.
Both the total size and disclosed size of an Iceberg order must be a multiple of board lots.
Undisclosed volume orders that become mixed lot orders due to board lot changes overnight are
purged overnight.
When an incoming order trades with a booked Iceberg order for a quantity larger than the disclosed
size, one trade will be generated for both the tradable disclosed volume and undisclosed volume.
Example: Iceberg Orders
Assume the CLOB is as follows:
LSP: 10.05
Order
Order 001
Order 003
Order 004 Iceberg
Order 005
Bid
Hidden
Qty
9,900
Displayed
Volume
100
500
100
200
Price
Price
10.00
9.90
9.90
9.90
10.20
Offer
Displayed
Volume
400
Order
Order 002
An incoming order (Order 006) to sell 1500 shares @ $9.90 is entered:
The order trades with all displayed liquidity at each price level first. The remaining volume is
matched against the hidden iceberg volume in one single trade:
Buyer
Seller
Qty
Price
Order 001
Order 006
100
10.00
Order 003
Order 006
500
9.90
Order 004
Order 006
100
9.90
Order 005
Order 006
200
9.90
Order 004
Order 006
600
9.90
Resulting CLOB:
Order
Order 004 Iceberg
Bid
Hidden
Qty
9,200
Displayed
Volume
100
Price
Price
9.90
10.20
Offer
Displayed
Volume
400
Order
Order 002
Both the total size and the disclosed size of icebergs may be amended (CFOed). However, when the
disclosed quantity is amended, the new disclosed size becomes effective only after the next re-load of
the iceberg’s undisclosed volume.
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Section 4 | Order Types
4.7 Short Sales
A short sale is an order to sell shares that are not owned. Short sell orders are available on TSX,
TSXV, Alpha and Select and will be permitted to have the following attributes:
A Short Sell order is treated identically to a Sell order from a matching allocation perspective
Market priced short sell orders will be accepted in the pre-open session and also when a
symbol is halted
Short sell orders will be accepted with Mixed lot or Odd lot volumes
Market on Close (MOC) and Limit on Close (LOC) orders may be short sell orders
“Tick Test”
Recent regulatory amendments repealed the “tick test” restrictions on the price at which a short sale
may be made on Canadian equity marketplaces TSX, TSXV, Alpha and Select will no longer constrain
short sell orders to the last sale price. Short sell orders entered will be permitted to trade down to their
limit price establishing a last sale price on a down tick. Short Crosses will no longer be constrained by
the last sale price.
Short Exempt
Discontinuing short sell price restrictions has rendered the short exempt tag redundant. The short
exempt tag has been removed from the order entry and broadcast protocol specifications and is no
longer accepted on orders.
4.7.1 Short Marking Exempt (SME) marker
UMIR rule amendments respecting short sales and failed trades have required the use of a Short
Marking Exempt tag. Certain types of traders are not required to mark their orders as short,
irrespective of their position (long or short) at the time of order entry. Instead, their orders (buys, sells,
and crosses) are designated as Short Marking Exempt via the SME flag. The SME flag is indicative
only, and has no effect on how the order interacts with the order book. All other traders enter Short
Sell orders when appropriate, and do not use the SME flag on any order.
The Short Marking Exempt tag will reside in the private layer of feed messages securing the
anonymity of the designation. The Short Marking Exempt designation will automatically be added to
unsolicited messages resulting from market making/odd lot responsibilities. Impacted unsolicited
messages include trades due to odd lot responsibilities, minimum guarantee fills and RT participation.
4.8 Anonymous Orders
On an order-by-order basis, a trading participant may elect attribution or anonymity. If attributed, the
Participating Organization’s unique numeric ID will be publically displayed on all associated market
data feeds. If marked anonymous, the non-specific numeric "001" will be associated with the order for
the life of that order, including after execution, in all market information displays. At the end of the day
where a trade is executed anonymously, TMX will relay the underlying PO identity for that trade to
CDS, in order for the trade to be settled.
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Section 4 | Order Types
4.8.1 Broker Preferencing
Broker preferencing is a unique feature of Canadian markets. As described earlier, TSX, TSXV and
Alpha follow Price/Broker/Time priority. This means incoming orders to a trading venue to match with
other orders from the same dealer ahead of similarly priced orders from other dealers, before time
priority is considered. An order must be attributed in order to participate in broker preferencing. Jitney
orders are excluded from broker preferencing opportunities. TMX Select follows strict price/time
priority, meaning there is no broker preferencing on that market.
Example: Broker Preferencing
Assume the CLOB is as follows: (ordered in time priority)
Bid
Offer
Broker A
1000
$9.90
$10.20
1000
Broker B
500
$9.90
Broker C
1000
$9.90
Broker B
An incoming order from Broker C to sell 1500 shares @ MKT is entered, the following trades occur
in the following order:
Buyer
Seller
Qty
Price
C
C
1000
$9.90
A
C
500
$9.90
While Broker C was third in priority, their order was filled first due to broker preferencing.
4.9 Dark Orders
See the Dark trading section for more information.
4.10 Bypass Orders
Orders sent containing the bypass flag trade only with passive visible volume, and bypass all
undisclosed iceberg volume or any other non-displayed volume including dark orders, dark
undisclosed RT participation and RT MGF board lot obligations. Bypass orders may be single-sided or
double-sided (a cross).
4.11 Cross Types
A cross is a trade resulting from the entry by a Subscriber of both the order to purchase and the order
to sell a security, but does not include a trade in which the Subscriber has entered one of the orders
as a jitney order.
Cross Interference
On TSX, TSX Venture and Alpha, crosses are subject to interference from orders in the book. During
continuous trading an attributed cross will seek to match previously booked attributed orders from the
same PO at the cross price. The contra-side of the cross that remains unfilled (because it gives up this
volume) is then killed immediately. Regular crosses are subject to this “cross interference” and only
allowed at or inside the market’s best bid/ask with the exception of internal and bypass crosses.
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Section 4 | Order Types
On TMX Select, crosses are not subject to interference from orders in the book, and must be entered
at a price that is at or inside the market’s best bid price and best ask price, unless otherwise noted.
4.11.1 Basis Cross
A Basis Cross is a trade whereby a basket of securities or an index participation unit is transacted at
prices achieved through the execution of related exchange-traded derivative instruments which may
include index futures, index options and index participation units in an amount that will correspond to
an equivalent market exposure.
A basis cross may be executed as a board lot, mixed lot or odd lot trade during the regular trading
session and special trading session on TSX, only be executed as a board lot trade, (odd lot or mixed
lot crosses are not accepted) during the Regular Session on Alpha and TMX Select and during the
Special Trading Session on Alpha. The price of the basis cross may be printed outside the best bid
and ask and may be up to three decimal places. A basis cross will not set the last sale price.
4.11.2 VWAP Cross
A VWAP Cross is a transaction for the purpose of executing a trade at a volume-weighted average
price of a security.
A VWAP cross may be executed as a board lot, mixed lot or odd lot trade during the regular trading
session and special trading session on TSX, only be executed as a board lot trade, (odd lot or mixed
lot crosses are not accepted) during the Regular Session on Alpha and TMX Select and during the
Special Trading Session on Alpha. The price of the VWAP cross may be printed outside the best bid
and ask and may be up to three decimal places. A VWAP cross will not set the last sale price.
4.11.3 Contingent Cross
A trade resulting from a paired order placed by a PO on behalf of a client to execute an order on a
security that is contingent on the execution of a second order placed by the same client for an
offsetting volume of a related security.
A contingent cross may be executed as a board lot, mixed lot or odd lot trade during the regular
trading session and special trading session on TSX, only be executed as a board lot trade, (odd lot or
mixed lot crosses are not accepted) during the Regular Session on Alpha and TMX Select and during
the Special Trading Session on Alpha. The price of the contingent cross may be printed outside the
best bid and ask and may be up to three decimal places. A contingent cross will set the last sale price.
4.11.4 Internal Cross
An internal cross may be executed on TSX, TSX Venture, Alpha and TMX Select. An intentional cross
at or between the best bid/ask and between two client accounts of a PO which are managed by the
PO as a portfolio manager with discretionary authority and is not subject to interference.
4.11.5 Bypass Cross
The cross bypass order (referred to in UMIR as a “designated trade”) will execute intact even when
outside the current best offer and best bid on TSX. A cross bypass order will not be rejected and is not
subject to cross interference.
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Section 4 | Order Types
Bypass Cross can be printed outside the ABBO. When a trader needs to execute a pre-arranged
trade outside of the NBBO, all better priced visible volume must be displaced first before printing the
Cross. Bypass orders can be used to sweep the visible volume without interference from the
undisclosed volumes, and therefore limit the trader's exposure.
If then, the subsequently printed Cross is also marked as bypass, it will not be impacted by any quotes
resulting from previously hidden volume. Smart order routers using ‘spray' methodology to fulfill the
best-price obligation may also use bypass orders when routing orders at prices outside of the NBBO.
4.11.6 Special Trading Session Cross
A special trading session cross may be executed on TSX and Alpha. Also known as Specialty Price
Cross, this is a closing price cross resulting from an order placed by a PO on behalf of a client for
execution in the Special Trading Session at the last sale price. A special trading session cross may
only be entered as a board lot, mixed lot or odd lot trade on TSX , only executed as a board lot trade
on Alpha and must be reported using the appropriate marker. A special trading session cross cannot
change the last sale price.
4.12 Order Features
4.12.1 Minimum Guaranteed Fill (MGF)
Registered Traders (RT’s) guarantee automatic complete fills for marketable, board lot-sized, client
orders that are equal to or less than the MGF size. The MGF size is a publicly disclosed volume
threshold that can change during the day at the RT’s discretion. Orders at or below the MGF size that
contain the client marker must declare whether they are eligible for MGF fills. All orders marked other
than “client” are not MGF eligible.
The MGF facility is intended to fill small retail investors with positions that are smaller than average.
The MGF facility is not intended for systematic and/or repeated MGF access by sophisticated high
volume or high frequency clients. If a particular MGF trade is subsequently deemed to be unsuitable
for MGF, the trade is cancelled with the cancellation costs attributed to the customer that neglected to
mark its unsuitable client order as MGF ineligible.
4.12.2 Buy-ins
In order to support CDS in cases where a seller has failed to deliver a security following a trade, TSX
has developed a special "Buy-In" facility to locate alternate sellers capable of immediately delivering
the security, therefore enabling CDS to quickly and efficiently clear the failed position.
Buy-In Procedures:
On a daily basis, CDS provides a list of securities that Participating Organizations have failed to make
delivery on.
1:30 PM (1st Cycle) - TSX receives and posts the preliminary Buy-In list. At this point, other
Participating Organizations have the opportunity to provide liquidity by submitting Buy-In
orders.
2:45 PM (2nd Cycle) - TSX receives and posts the Final Buy-In list. This list identifies the
remaining securities that still need to be delivered.
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Section 4 | Order Types
3:00 PM - Cut-off for accepting Buy-In orders
Upon completion of the Buy-In period, TSX allocates fills on an equal by member basis to the sellers
and calculates a price. This price is based on the last board lot trade before 3:00 plus a premium.
Buy-In Price = Last Board lot Sale Price + Premium
TSX manually enters these trades under a generic trader ID for each PO that are cleared by CDS on a
same-day basis. Between 3:20 and 3:40, TSX Trading Services will provide transaction confirmations.
This process efficiently clears failed delivery trades and helps to maintain overall market integrity.
For additional information about Buy-Ins or to participate in a Buy-In, please contact Trading Services.
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Order Types and Functionality Guide
Section 6 | Other Features
5 Market Maker Program & Odd Lot Dealer System
5.1 TSX Market Maker Program
The Market Maker program exists exclusively on the TSX. The role of the Market Maker is to augment
liquidity, while maintaining the primacy of an order-driven continuous auction market based on pricetime priority. The Market Maker system maximizes market efficiency and removes the interfering
influence of a traditional specialist. In the TSX environment, a Market Maker manages market liquidity
through a passive role. Market Makers are visible only when necessary to provide a positive influence
when natural market forces cannot provide sufficient liquidity.
Responsible Designated Traders (also referred to as Registered Traders or RTs) represent Market
Maker Firms and act on behalf of the firm to ensure all responsibilities are met.
Market Makers do not have any proprietary pre-trade information or access to information regarding
trade order entry of other participants.
TSX Market Maker responsibilities:
Call a 2-sided market providing market continuity within a pre-specified range
Contribute to market liquidity and depth
Maintain activity in the market
Fulfill the needs of retail-sized order flow through guaranteed minimums (MGF) that interact
with aggressive orders whenever orders in the central limit order book do not meet the size
required to fill aggressive orders at the quote (see MGF section below)
Assist in the opening and with inquiries and anomalies
Service odd lots (see Odd Lot section below)
Performance measurement system
TSX continuously monitors the performance of all Market Makers with respect to their ability to
contribute to the overall market in terms of creating liquidity, depth and continuity.
Spread Maintenance - Measures the Market Maker's ability to call a 2-sided market.
Participation - Measures the participation of Market Makers in their security of responsibility.
Liquidity - Measures whether Market Makers are lining the book with reasonable depth.
Allocation of securities of responsibility
Securities allocations are considered firm privileges and responsibilities. These allocations are
awarded when securities are newly issued and when there are changes in responsibility. The TSX
Allocation Committee determines which firms are awarded securities to manage as Market Makers
based on among others:
1. A firm's overall performance in managing existing responsibilities;
2. A firm's competitive service level bids;
3. A firm's ability to remain within its qualification requirements; and
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Section 6 | Other Features
4. Special request by issuers.
Qualification requirements of a Market Maker firm
Generally Market Maker firms are required to:
Maintain sufficient firm capital based on the classification in securities of responsibility;
Maintain a minimum number of assignments so as to maintain their presence; and
Maintain a certain ratio of assignments in highly liquid versus less liquid securities.
5.1.1 Odd Lots
RT’s are obligated to automatically guarantee a complete fill for Odd Lot orders priced at or better than
the opposite side’s CLOB market price. If the Odd Lot order’s price is not marketable (or if there is no
RT) the Odd Lot order is displayed in the Odd Lot book and is eligible to trade continuously at its limit
price (without regard to the CLOB price) and will trade at that price if an opposite side Odd Lot order is
entered with the exact same volume priced at or better than the resting Odd Lot order’s price. Odd lots
only trade as FOK which means partial fills are not accepted. It is possible for the Odd Lot book to
display orders with overlapping prices when resting odd lot orders can match on price but not on
volume.
5.1.2 Minimum Guaranteed Fill (MGF) Size
RT’s must also guarantee automatic complete fills for marketable, board lot-sized, client orders that
are equal to or less than the MGF size. The MGF size is a publicly disclosed volume threshold that
can change during the day at the RT’s discretion. Orders at or below the MGF size that contains the
client marker must declare whether they are eligible for MGF fills. All orders marked other than “client”
are not MGF eligible.
The MGF facility is intended to fill small retail investors with positions that are smaller than average.
The MGF facility is not intended for systematic and/or repeated MGF access by sophisticated high
volume or high frequency clients. If a particular MGF trade is subsequently deemed to be unsuitable
for MGF, the trade is cancelled with the cancellation costs attributed to the customer that neglected to
mark its unsuitable client order as MGF ineligible.
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Example: MGF Size
Assume the CLOB is as follows:
RT: AVGJOE
MGF: 500
Bid
Order 001
100
Offer
10.00
10.02
400
Order 002
If an incoming client order (Order 003) to sell 1000 shares @ MKT is entered:
Since the order size is greater than the MGF size of 500, the order is MGF-ineligible and a trade
will occur against the available resting CLOB liquidity without any guaranteed fill from the RT:
The following trades will occur:
Buyer
Seller
Qty
Order 001
Order 003
100
Price
$10.00
The remaining 900 volume will be booked at the last sale price of $10.00
Resulting CLOB:
Bid
Offer
10.00
10.02
900
400
10.02
400
Order 003
Order 002
Example 2: MGF Size
Assume the CLOB is as follows:
RT: AVGJOE
MGF: 500
Bid
Order 001
100
Offer
10.00
Order 002
Alternatively, if an incoming client order (Order 003) to sell 500 shares @ MKT is entered:
Since the order size is less than or equal to the MGF size of 500, the order is MGT-eligible and
there is not enough resting liquidity to fully fill the client order, a guaranteed fill from the RT will
occur for the balance of the order.
The following trades will occur:
Buyer
Seller
Qty
Order 001
Order 003
100
RT
Order 003
400
Price
$10.00
$10.00
Resulting CLOB:
Bid
Order 001
Offer
100
10.00
10.02
400
Order 002
5.1.3 RT Participation
Registered Trader (RT) participation is an optional Market Maker feature that enables RTs to trade
passively at TSX quoted prices to accumulate or flatten a position in their assigned securities. RTs can
turn on “participation” independently for each side of the market in their assigned securities. When
participation is turned on the RT will automatically generate “participation” orders to trade with all nonprogram incoming orders that are MGF sized or less but are otherwise ineligible for best price
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Order Types and Functionality Guide
Section 6 | Other Features
minimum guaranteed fills. MGF eligible orders are not affected by RT participation and these orders
continue to be guaranteed by the RT at the best displayed price.
The RT auto-generates orders at each price level to trade with no more than 40% of the incoming
order’s volume (after the incoming order’s broker priority volume has been allocated to other orders in
the book). RT participation will fill no more than 40% of the incoming orders described above even in
cases where the CLOB could fully fill the incoming order. At each price level the RT allocated
participation volume is no greater than the volume allocated to other non-RT booked orders.
Allocation of the 40% RT participation is rounded down to nearest full board lot. One exception exists
in the case when an order is for 200 shares – allocating 40% would result in no RT participation, so
the order is allocated 50% or 100 shares.
If the RT has a booked order with time priority over all other booked order at that price level the
incoming order will trade against that booked RT order at that price level rather than generate an RT
auto-participation order at that price level. This mechanism ensures the rest of the orders in the order
book have ample opportunity to trade.
Example: RT Participation
Assume the CLOB is as follows:
RT: JOEAVG
MGF: 500
Participation: ON
Bid
Order 001
300
10.00
10.02
Order 004
200
10.00
10.02
Offer
400
100
Order 002
Order 003
If an incoming client order (Order 005) to sell 500 shares @ MKT is entered:
Since RT Participation is on, the incoming trade will be allocated 40% to the RT and 60% to the
resting CLOB liquidity. The following trades occur:
Buyer
Seller
Qty
Price
Order 001
Order 005
300
10.00
RT
Order 005
200
10.00
Resulting Order Book:
Bid
Order 004
June 2015
Offer
200
10.00
10.02
10.02
42
400
100
Order 002
Order 003
Order Types and Functionality Guide
Section 6 | Other Features
Example 2: RT Participation
Assume the CLOB is as follows:
RT: JOEAVG
MGF: 500
Participation: ON
Bid
Order 001 - JOEAVG 300
10.00
10.02
Order 004
200
10.00
10.02
Offer
400
100
Order 002
Order 003
If an incoming client order to sell 500 shares @ MKT is entered:
Since the RT already has an open order with time priority, the incoming order will trade with the
booked order rather than generate a net new Participation order. The following trades occur:
Buyer
Seller
Qty
Price
Order 001 - JOEAVG Incoming order
300
10.00
Order 004
Incoming order
200
10.00
5.2 TSXV Odd Lot Dealer Program
TSX Venture Odd Lot Dealers provide an automatic immediate fill for incoming tradeable odd lots at
the best posted price on TSX Venture. Odd lots resting in the TSX Venture odd lot book which later
become tradeable due to a change in the best posted TSX Venture price are also automatically filled
by the Odd Lot Dealer.
5.3 Alpha Odd Lot Dealer Program
Alpha Odd Lot Dealers provide an automatic immediate fill for incoming tradeable odd lots at the best
posted price on Alpha Exchange. Odd lots resting in the Alpha odd lot book which later become
tradeable due to a change in the best posted Alpha price are also automatically filled by the Odd Lot
Dealer.
6 Other Features
6.1 Minimum Ticks
6.1.1 Standard Trading Units
Standard trading units are based on the security’s previous day per-share closing price on the TSX or
TSX-V:
SECURITY’S CLOSING PRICE
STANDARD TRADING UNITS (BOARD LOTS)
$1 and up
100 shares
$0.10 and less than $1
500 shares
Under $0.10
1000 shares
Convertible Debentures
$1000 face value
*For Alpha and Select markets, the trading unit is set based on the TSX or TSX-V closing price.
Odd Lots
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Orders with volume less than a standard trading unit are considered Odd Lot and do not trade in the
regular CLOB.
On TSX, TSXV and Alpha, either Registered Traders (RT) or Odd Lot Dealers (OLD) perform auto
execution of odd lots. The RT /OLD automatically guarantees a complete fill at the CLOB price for Odd
Lot orders priced at or better than the opposite side’s CLOB market price. If the Odd Lot order’s price
is not marketable (or if there is no RT/OLD) the Odd Lot order is displayed in the Odd Lot book and is
eligible to trade continuously at its limit price (without regard to the CLOB price) and will trade at that
price if an opposite side Odd Lot order is entered with the exact same volume priced at or better than
the resting Odd Lot order’s price. Odd lots only trade as “Fill or Kill” which means partial fills are not
accepted. It is possible for the Odd Lot book to display orders with overlapping prices when resting
odd lot orders can match on price but not on volume.
TMX Select does not support odd lots. If an odd lot order is sent, it will be rejected.
Mixed Lots
An order that is mixed (with both a board lot and odd lot portion) is effectively split into two separate
orders at the time of entry. The board lot portion trades normally in the CLOB and the odd lot portion
is treated as an odd lot order.
6.1.2 Standard Trading Price Increments
Standard Trading Price Increments are based on the order’s price level:
SECURITY PRICE LEVEL
< $0.50/share
$0.50 - $1000/share
> $1000/share
STANDARD TRADING PRICE PER SHARE (CENTS)
$0.005
$0.01
$0.125
6.2 Trading Controls
6.2.1 Halts
Halts are manually applied and lifted by Trading Services, and notification messages are sent out on
all public market data feeds. Securities may be halted or lifted at any time during the trading day, from
the Pre-Open until the end of the Extended Trading session.
Alpha has two types of halts that can be applied to securities: No Matching halt and Full halt.
No Matching Halt
The majority of halts are “No Matching” Halts, and are imposed by Regulators pending news regarding
the issuer of the security.
During a No Matching halt, order entry and amendment is allowed, as well as cancels, but there is no
matching. When in No Matching halt state, the security behaves as in the Pre-Open Trading session,
where the book can be crossed and the indicative auction price is continually calculated based on
order activity in the book. A Calculated Opening Price (COP) is broadcasted while the stock is in halt
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Section 6 | Other Features
state. When the halt is lifted, an auction similar to the Market Opening takes place, and continuous
trading resumes. For examples, please see the Opening Allocation section.
Full Halt
In a full halt, order entry, order amendment and order matching is suspended, however orders may be
cancelled.
6.2.2 Freeze Parameters
Freeze limits are established by applying a predetermined price deviation against the most recent
reference price (primarily the marketplace's last sale price). Actual freeze limits are kept confidential to
protect against abusive behaviour. If executing an order will cause the price of the security to exceed
the freeze limit there will be a temporary suspension of trading on the security. While the security is
frozen, further order entry is prevented and existing orders cannot be cancelled or modified.
When a security freezes, TMX Trading Services staff assesses and determines whether the order will
be allowed, and whether to resume trading in the security. The following steps are taken:
1. Call the trader behind the offending order. If the trader confirms the order is not valid, Trading
Services will kill the offending order and the resulting CLOB remains the same as it did before
the freeze occurred.
2. If the order is still permitted to trade, Trading Services will verify with IIROC before the trade is
allowed to go through.
6.2.3 Bid/Ask Limits
Bid/ask tick limits are a TMX Market Quality safeguard available across TSX, TSXV, Select and Alpha
that prevents Market or Better Price limit orders from trading deep into the book, thus causing large
anomalous price swings. Bid/Ask Tick Limits are configurable across the market based on the
security’s quoted price, and apply automatically to market and better price limit orders. This
mechanism limits the number of ticks past the best bid price or best ask price an order can trade
through. If an incoming tradable order hits the bid/ask limit and still has volume remaining, the
remaining volume is booked at the bid/ask limit.
Start Price
0.00
1.00
5.00
50.00
100.00
Equities
0.10
0.25
0.50
1.00
5.00
Debentures
5.00
5.00
5.00
5.00
5.00
6.2.4 Single Stock Circuit breakers
Single-stock circuit breakers are an important tool to help mitigate short-term volatility in the trading of
individual stocks. Recent regulatory changes introduced single stock circuit breakers. This means that
a five-minute halt of trading in a security will now automatically trigger across all Canadian
marketplaces if the price of the security swings 10% or more within a five-minute period.
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Initially, SSCBs will apply to all securities included in the S&P/TSX Composite Index, as well as to
those exchange-traded funds (ETFs) which are comprised principally of listed securities. All trades
executed at more than 5% beyond the price that triggered the SSCB will be cancelled.
6.3 Order Markers
All markets support markers required for regulatory purposes including:
Insider Account (IA)
Significant Shareholder (SS)
6.3.1 NCIB Marker
Participating Organizations, when acting as a broker making purchases on behalf of a listed issuer
pursuant to a normal course issuer bid, must comply with certain exchange requirements that are
imposed on listed issuers. The NCIB marker is used to identify such orders. For more information on
NCIB compliance, see the TSX Rule Book Part 6 – Division 5.
6.4 Account Types
All four markets support the following account type markers:
NC – Non-Client
IN - Inventory
CL - Client
ST – Specialist (RT)
OT – Options Market Maker
OF – Options Firm
6.5 Debentures
TSX, TSXV and Alpha support trading in debentures, while Select does not. Debentures are traded in
increments of $1000 face value. Debentures are not assigned to RT’s / Odd Lot Dealers therefore odd
lot debenture orders are not auto-executed.
6.6 USD-Denominated securities
TSX, TSXV, Select and Alpha support trading of securities denominated in USD. USD-denominated
securities are identified through the symbology with the security’s symbol ending with an “.U” suffix.
6.7 Clearing Arrangements
All transactions executed are reported to CDS Clearing and Depository Services Inc. at day end for
clearing and settlement and management of counterparty and settlement risk. The CDS Participant
Rules govern the operation of CDS clearing and settlement services, including risk management.
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Each PO configures default clearing instructions defined at the firm-wide level. Special clearing
instructions can be configured for special traders or trades.
6.7.1 Clearing give-up
Give-up refers to the process where a PO provides special instructions to the TMX to let a trade settle
under a different trader ID and/or PO, usually for the purposes of consolidating a derivative position.
Contact Trading Services for more information on arranging a give-up.
6.7.2 Special Settlement Terms
Orders may be marked with special instructions for settlement. These orders are traded individually,
not in relative priority. A special settlement terms order is displayed in the special settlements terms
“book” and can be traded with an order that specifically targets that resting order by specifying its
intention to trade by matching the resting order’s sequence number. Special settlement terms trades
can also be crossed by a broker.
Select does not support special settlement. Special settlement terms supported on TSX, TSXV and
Alpha include: Cash, Cash Today, Delayed Delivery, Non-net, and Non-resident. Settlement terms
orders will match and trade with each other when the terms on the orders match.
6.8 Erroneous Trade and Trade Amendment Policy
In the event that a PO executes an order in error ("erroneous trade") the PO will be asked to contact
the Trading Services desk. The Trading Services desk may, upon request of the PO, contact the other
party to the trade to request cancellation of the trade. Both parties to the trade must agree to the trade
cancellation or they may elect to contact IIROC for assistance.
In the event of a technical, systems, or access problem that has substantially impaired or impacted
access or trading, TMX has the discretion to cancel an impacted trade without the consent of both
parties and will notify IIROC of the decision. Otherwise, TMX cannot unilaterally cancel a trade without
the consent of both parties and without consultation with and approval of IIROC.
In the event of a trade that requires a change or amendment to price and/or quantity the PO will
contact IIROC for approval. If IIROC approves the amendment, they will then contact the TMX Trading
Services Desk to instruct TMX to make the change.
This policy excludes any requests received by IIROC or other securities regulator to cancel or amend
a trade.
In the event of a dispute between two PO’s, TMX will make available any information required to settle
the dispute, subject to any confidentiality restrictions on the disclosure of such information.
6.9 Reports
6.9.1 Daily Diary Files
The TMX Daily Diary files are a set of daily reports generated for each participant and automatically
emailed as password protected zipped .txt files following the close of each trading day. These reports
include:
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Section 6 | Other Features
Open Orders By Book – a detailed list of all outstanding open orders from the PO
Open Order By User ID – a detailed list of all outstanding open orders organized by User ID
Removed Orders by Book – a list of all cancelled orders during the day
Removed Orders by User ID – a list of all cancelled orders during the day by User ID
Diary List By Price – a detailed summary of all trades executed during the day by price
Diary List By Time – a detailed summary of all trades executed during the day by time
TSX, TSXV, and Alpha support all six reports. Select does not support the Open Orders files as it is a
day-only marketplace.
6.9.2 Compliance Alerts Reporting System (CARS)
TMX has developed a system that produces daily reports that enable the compliance office of a PO or
Member to monitor and track trading infractions and alerts on a post-trade basis. TSX Compliance
Alerts Reporting System (CARS) is an invaluable tool for the discerning compliance officer who can
use the tool to monitor the trading activity of the firm and to assist in developing strategic action items
to deal with the findings. CARS will also demonstrate the firm's proactive stance on compliance to
regulators and auditors from other firms.
CARS allows subscribers to select a maximum of seven unique alert monitors and to input their own
specific parameter ranges. Subscribers can select from the following alert monitors:
JTNY (Jitney) - The system will provide a potential front-running alert to find instances within a
PO when an order marked "jitney" has traded just ahead of an order marked "client" and the
"jitney" order received a better fill price.
ANON (Anonymous) - The system will provide a potential front-running alert to find instances
within a PO when an order marked "anonymous" has traded just ahead of an order marked
"client" and the anonymous order received a better fill price.
CPT (Client Principal Trade) - The system will provide a potential customer/principal trading
rule alert to find instances where a "pro" (i.e. Non Client, Specialist, Inventory) trades against
a client within a PO without improving the fill price to their client based on the current bid/offer
price.
Restricted Stock - The system will provide restricted stock alerts to detect all trades for
restricted stock symbols specified by the PO.
APTC (Alerts Prior To Close) - The system will provide alerts to detect patterns of potential
price manipulation at market close.
Daily Cross Report - The system will provide a cross report to filter various types of crosses
that occurred at either the bid or ask price.
Daily Close Report - The system will provide a daily closing report to indicate which stock
prices the PO has moved up or down at the end of the day.
Each day, the CARS application creates reports which are available on a secured website.
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Reports
Reports are generated in CSV file format which allows subscribers to customize the data using various
software programs. Reports for TSX and TSX Venture are created and saved as separate files.
Effective May 1, 2013, separate CARS reports will also be available on Alpha and Select.
Security
Alert/Report parameters will be entered using a secured web browser interface. The reports will be
available on a secure website the next business day. All CARS data is secured from external parties
and access within TMX will be restricted to defined personnel.
6.10 Fees & Billing
Fees
Each market’s fee schedule is available on the TMX website.
Billing
PO’s and Subscribers will be provided with an invoice for their account on the 3rd business day at the
beginning of each month, which will detail all trading activity and applicable fees for the previous
month. These detailed supporting trade files are provided in a .zip file attached to the automatic email
delivery of all invoices.
Subscribers are required to participate in a Pre-Authorized Debit Plan or pay through CDS (directly or
via a Carrying Broker). Subscribers will also receive via e-mail zipped password protected Billing
Reports with the previous month’s trade details aggregated by trader, symbol and product.
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