TSX Dark Liquidity Guide

14 6. Assigning the Limit Price and Executable Price to DRK Orders 6.1 Assigning a Limit Price to a DRK Order All DRK orders may be submitted with a limit or market price. The systemwill retain the limit price of the order and ensure that the order will not execute outside of that limit price. Aggressive limit orders and market priced orders will have a capped limit price assigned by the trading system based on the bid/ask tick limit for that symbol and price level. The bid/ask tick limit is a TMX Market Quality safeguard that prevents Market or Better Price Limit orders from trading deep into the book, and thus causing large anomalous price swings. The bid/ask tick limit is currently applied to both visible and DRK orders. The limit price, whether assigned by the client or assigned by the trading system, will constrain the executable price of the DRK order. The limit price assigned to the DRK order will not change unless CFO’d by the trader. 6.2 Executable Price The Executable Price is a system assigned price at which a DRK order is eligible to trade. The Executable Price may be reassigned by the trading systemwhen either the Protected NBBO or Protected ABBO changes for a symbol, or a DRK order is bypassed by a Small Order due to the potential execution not providing meaningful price improvement (see section 6.6 for more information). 6.3 DRK Midpoint Peg and Contra Midpoint Only Plus (CMO+) Executable Price When the Trading Engine assigns an Executable Price to DRK Midpoint Peg and CMO+ orders, the system will take into consideration the order’s limit price and the midpoint of the symbol’s Protected NBBO. If the midpoint of the symbol violates the limit price of a DRK Midpoint Peg or CMO+ order, that order will be placed in a non-executable state. Once in a non-executable state the order will be ineligible to trade. When the Protected NBBO midpoint for the symbol floats back to a price that does not violate the limit price of the DRK Midpoint Peg or CMO+ order, the trading system will transition that order into an executable state retaining the time priority it previously held, after which it will assign the new Executable Price and attempt to trade the order. Please see Appendix 1.0.2 for an example of reassigning the Executable Price of a DRK Midpoint Peg order. Other conditions where DRK Midpoint Peg or CMO+ orders may be placed in a non-executable state include where the Protected NBBO is locked or crossed, or where there is there is no Protected NBB or Protected NBO. 6.4 Other DRK Pegged Executable Prices 6.4.1 DRK Primary Peg • If the offset is 0, executable price of the DRK Primary Peg order = Same side Protected NBBO. • If an offset is supplied, the executable price of the Primary Peg order = Same side Protected NBBO +/- offset. • If the limit price of the DRK Primary Peg order is less aggressive than its pegged price, the order will be executable and/or book at its limit price.