A cross is a trade resulting from the entry by a Participating Organization of both the order to buy and the order to sell a security. It does not include a trade in which the Subscriber has entered one of the orders as a jitney order.
TMX Group offers a variety of specialty cross types designed to decrease costs associated with advanced trading techniques. Each specialty cross type provides distinct market advantages and these crosses are not subject to interference. In addition, because specialty cross types are flagged publicly, they offer the marketplace better transparency for large specialized transactions.
Although the specialty cross types may be executed anonymously, brokers must report each cross using the appropriate marker (i.e. basis cross marker, VWAP cross marker, etc). This alerts the Toronto Stock Exchange system that the cross can fall outside of normal market parameters. Each trade appears on all real-time TSX and TSXV trade data. (In addition TMX Datalinx offers reports detailing the Specialty Price Crosses executed on a daily or monthly basis.)
On TSX and TSXV, crosses are subject to interference from other 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.
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 only be executed as a board lot trade, (Odd Lot or mixed lot crosses are not accepted) during Continuous Trading and during the Special Trading Session on TSX and TSXV. The price of the basis cross may be printed outside the best bid and ask (subject to regulatory restrictions) and may be up to three decimal places. A basis cross will not set the last sale price.
A transaction for the purpose of executing a trade at a volume-weighted average price of a security traded for a continuous period on or during a trading day on TSX and TSXV.
A VWAP cross may only be executed as a board lot trade, (Odd Lot or mixed lot crosses are not accepted) during Continuous Trading and during the Special Trading Session on TSX and TSXV. The price of the VWAP cross may be printed outside the best bid and ask (subject to regulatory restrictions and may be up to three decimal places. A VWAP cross will not set the last sale price.
A trade resulting from a paired order placed by a participating organization 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 only be executed as a board lot trade (Odd Lot or mixed lot crosses are not accepted) during Continuous Trading and during the Special Trading Session on TSX and TSXV. The price of the contingent cross may be printed outside the best bid and ask (subject to regulatory restrictions and may be up to three decimal places. A contingent cross will set the last sale price.
An intentional cross at or between the best bid/ask and between two client accounts of a Participating Organization which are managed by the Participating Organization as a portfolio manager with discretionary authority and is not subject to interference.
Bypass orders can be used to sweep the visible volume without interference from the undisclosed volumes, and therefore limit the trader's exposure. 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 and TSXV. A cross bypass order is not subject to cross interference.
Special Trading Session Cross
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. This cross type is only available during the extended session (from 4:15 - 5:00 p.m.)
A Special Trading Session Cross may only be entered as a board lot trade and must be reported using the appropriate marker. A Special Trading Session Cross cannot change the last sale price.
For more details on any of the cross types above, please refer to the Order Types and Functionality guide, or contact your TMX account manager.