TSX Dark Liquidity Guide

18 12. Broadcast Feed • All pre-trade messages generated as a result of a DRK order will be fully encrypted. • All trades where the passive side was a DRK order will be marked with the public indicator IsDark = Y on the corresponding trade report. • All CMO+ to CMO+ trades will be flagged as IsMidOnly = Y on the trade reports to publicly identify that this is a trade between two CMO+ orders. • The Price and Public price fields on the Order/Cancel confirmation report will be populated with the limit price, not the executable price. • All trade reports involving a DRK order will have the public display volume tag set to zero for the side of the trade that was DRK. To determine the remaining volume of the DRK order, the remaining volume tag must be referenced. As a result of this feature, more than one trade report may have the same order number with a display volume of zero. • All trade reports involving a DRK order will have a unique public order number for the side of the trade that was DRK. The first trade will contain the original public order number. Each subsequent trade will have a randomly generated public order number, however the private order number will be maintained. This feature will enhance the anonymity of DRK orders by masking the pattern of fills for any given DRK order. • Re-priced DRK orders that are assigned the active leg of a trade will have position seven of the Exchange Admin tag populated with an “A” in the trade report. Please note that this identifier will not be exclusive to DRK orders, and will be available to applicable displayed orders as well (triggered on-stops). 12.1 Reconciliation Feed The reconciliation feed primarily disseminates messages to aid in start-of-day activities. It is important to note that Order Book and Order Status messages for DRK orders will be fully encrypted in the feed. The limit price of DRK orders will populate the Public Price and Price fields in these respective messages. Table 2: Summary of Order Entry and Market Data Feed Specification Changes The table below summarizes the order entry and data feed specification changes associated with the introduction of DRK orders. FEATURE Description FIX OE Broadcast Feed TL1 TL2 TQL1 (Quantum Feeds) TQL2 (Quantum Feeds) Contra Midpoint Only Plus (CMO+) CMO+ orders will only execute at the midpoint of the Protected NBBO TSXUndisplayed (7726) = Y Indicates the order is completely undisplayed TSXPegtype (7723) = C or D Order responses: Fully Encrypted TradeReport: Private Content Undisplayed (604) = Y PegType (597) = C or D Public Content IsMidOnly (684) = Y (unless a CMO+ Dark Sweep order trades against a non-CMO+ order) Order Responses No Changes Message Type A – Trade: IsMidOnly = Y (unless a CMO+ Dark Sweep order trades against a non-CMO+ order) Order Responses No Changes Trade Report IsMidOnly (684) = Y (unless a CMO+ Dark Sweep order trades against a non-CMO+ order) Order Responses No Changes Trade IsMidOnly = Y (unless a CMO+ Dark Sweep order trades against a non-CMO+ order) Order Responses No Changes Trade / Trade Correction IsMidOnly = Y (unless a CMO+ Dark Sweep order trades against a non-CMO+ order)