12 3.3 Firm-up & Allocations Conditional orders will not interact with orders in the visible Central Limit Order Book. The Firm-up orders will interact with Dark opt-in orders from the CLOB. Firm-up orders will receive pro-rata allocation with Broker Preferencing first and then Non-Broker Preferencing. Refer to Appendix 3.0 for scenarios and examples. Participants can select one of the following option to indicate the instruction for the residual volume after trade execution: • FIX TSXMarketInstr=‘01’ on the Firm-up order indicates the instruction to cancel the remaining volume. Cancel response will be sent for the remaining volume. • FIX TSXMarketInstr= ‘02’ on the Firm-up order indicates the instruction to interact with the TSX DRK book to fill any remaining unfilled portion of the Firm-up order. Any remaining volume that cannot be filled will be cancelled. Trade Marker: All trade executions between a Firm-up order and a Firm-up / Dark opt-in order are identified by the IsConditional trade marker with value ‘Y’ in the Broadcast feeds, Market Data Level 1/2 as well as Quantum Level 1/2 feeds. Refer to Table 2 for more information about the execution reports published for FIX Order Entry, Broadcast Feed and Market Data Feeds. 4. Interacting with DRK Liquidity in the CLOB 4.1 Eligibility All TSX and TSXV participants are able to submit and interact with DRK orders through their current order entry sessions. There is no need to “Opt in” to receive the benefits of interacting with dark liquidity. Visible orders will always seek price improvement opportunities by first attempting to trade against a dark order as per the order allocation sequence described in Section 5.1 – Allocation priority and Order matching. Once all price improvement fills have been exhausted, visible and dark volume will be allocated up or down to the order’s limit. 4.2 Seeking/Providing DRK Liquidity without Interacting with Visible Volume Participants have a number of options for seeking / providing dark liquidity on TSX and TSXV without interacting with visible volume. 4.2.1 Seek DRK Liquidity feature The ‘Seek Dark Liquidity’ (SDL) feature is available for Participants wishing to execute a trading strategy seeking price improvement fills and executing only against resting DRK orders. This feature better facilitates the integration of TSX DRK into dealers’ multi-venue dark routing strategies where attempting to access dark only or when sweeping dark before lit. The SDL feature is only available for use with orders marked as IOC or FOK.
RkJQdWJsaXNoZXIy MjgzMzQ=