11 3. Conditional Order Functionality 3.1 Conditional Order Types Conditional orders allow clients to search for liquidity in multiple venues without a firm commitment until the participants are invited to ‘firm up’ when there is a potential match in the Conditional book. Conditional Orders are identified by value ‘00’ submitted with tag #7739 TSXMarketInst. Firm-up Orders are identified by the following value submitted with the TSXMarketInst tag: • “01” to indicate a Firm-up order and to have the remaining volume cancelled back. • “02” to indicate a Firm-up order and to have the remaining volume interact with TSX’s dark book. Note: Firm-up orders accepted by the Trading Engine cannot be CFO’d or cancelled. Price: Conditional and Firm-up orders are Dark Midpoint pegged orders. All Firm-up orders will trade at NBBO midpoint. No trades when the NBBO is crossed. Volume: Conditional orders can be entered with board lot only. MinQty: Conditional orders can use the optional tag MinQty to put a minimum on the size of fills the MinQty order receives. If the remaining volume of a MinQty Conditional order is below the MinQty value, any portion of the remaining volume will be eligible to trade. Note: MIS tag will not be accepted. Global Minimum Size: The Firm-up order size and/or value must meet the Global Minimum Size requirement of either (a) greater than 50 board lots and greater than $30,000, or (b) greater than $100,000 in value. Duration: Conditional and Firm-up orders are day orders. Any in-flight or booked Conditional and Firm-up orders received after the trading session ends will be cancelled automatically at the end of the day after the MOC Closing or at the beginning of the Surveillance Intervention (for the stock groups that do not have MOC Closing). Dark opt-in orders: Participants can have their regular dark order ‘opt-in’ to access the liquidity in the Conditional book by sending #7739 TSXMarketInstr=’03’. Dark opt-in orders are midpoint-pegged orders and subject to the Global Minimum Size requirement. Unlike Conditional orders, dark opt-in orders are considered confirmed orders and will not receive an invitation to ‘firm up’. No pre-trade transparency: Conditional and Firm-up orders are not publicly visible until they trade. All order / cancel confirmations are fully encrypted on the Broadcast feeds. 3.2 Invitations All accepted Conditional orders would remain booked until there are potential contra side matching order(s) in the Conditional book. Each applicable participant will receive an invitation (in the same format as a FIX cancel message) to ‘firm up’ the conditional order. Firm up message will allow the client to confirm volume and price to trade. Participants must provide an IOIid on a firm up order populated with the value of ClOrdID field of the invited Conditional order. All Firm-up order response must be received within 0.5 second in order to be included in the allocation.
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