13 SDL can be set by participants to either of the two following options: Option 1 Trade against DRK resting orders at prices up to and including one tick inside the opposite side Protected NBBO (or the order’s limit price if less aggressive). Option 2 Trade against DRK resting orders at prices up to and including the opposite-side Protected NBBO (or the order’s limit price if less aggressive). When Option 2 is selected, executions against dark liquidity resting at the opposite-side Protected NBBO will be subject to regulatory restrictions applicable to ‘at-the-quote’ dark trading. Consequently, where there is resting visible liquidity on TSX/TSXV at the opposite-side Protected NBBO, an incoming SDL order marked for Option 2 will only be executable against DRK resting orders to a maximum of one tick inside the opposite side Protected NBBO. 4.2.2 Provide DRK Liquidity feature Resting PDL orders can interact with contra active DRK orders, including: • Dark Mkt/Limit/Peg type order, • PDL or SDL(IOC/FOK) orders • Conditional residual sweep orders ( FIX tag #7739 TSXMarketInstr =’02’) • Dark Opt-in orders ( FIX tag #7739 TSXMarketInstr =’03’) Active PDL with non-post only instruction can trade upon entry with eligible contra resting Dark orders. PDL order duration must be day/GTC/GTD. 4.2.3 Self Trade Prevention feature for PDL & SDL orders In addition to the current STP instructions ‘NM’/’DM’/’OM’/’EM,’ PDL and SDL orders also support ‘XM’ - No trade instruction. No trade features will be triggered when two contra orders from the same broker have the same XM instruction and same No Trade key. Tag combination for the No Trade feature: • FIX tag #7731 TSXDarkliquidity=“1/2/4” • FIX tag #7713 NoTradeFeat: “XM” 4.2.4 Use of DRK Peg orders with IOC or FOK Users can also simulate SDL functionality by placing IOC or FOK conditions on their DRK Pegged order. Use of IOC/FOK on a pegged order will ensure execution only against resting DRK price improving orders, and is another means of facilitating the integration of TSX DRK into routing strategies attempting to access dark only, or sweeping dark before lit on multiple venues. For example, use of IOC/FOK with a DRK Market Peg or DRK Midpoint Peg order will ensure execution only against price-improving resting contra-side liquidity. Any unfilled volume will cancel back allowing a participant to then route the balance to other dark or visible venues. 4.2.5 Priced limit orders Using IOC/FOK on a DRK Limit or visible limit order can also facilitate interaction with resting dark liquidity so long as the limit price is not priced at or through the opposite side Protected NBBO. Users attempting to trade only against DRK resting orders via a priced limit order may face the risk of interacting against visible resting orders due to a price change while the priced limit order is in flight. SDL functionality or the use of IOC/FOK with DRK Pegged orders address this risk by ensuring execution only against resting dark liquidity.
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