TSX Dark Liquidity Guide

20 FEATURE Description FIX OE Broadcast Feed TL1 TL2 TQL1 (Quantum Feeds) TQL2 (Quantum Feeds) Seek Dark Liquidity Used on an IOC/FOK order to match against dark orders SeekDarkLiquidity (7731) = ‘1’ – trade with price improving dark only ‘2’ – trade with dark up to and including the NBBO Order responses: Fully Encrypted Trade Report (private): SeekDarkLiquidity (613) = ‘1’ or ‘2’ No Changes No Changes No Changes No Changes DRK Midpoint Peg An order with pre-trade anonymity which will only execute at the midpoint of the NBBO TSXUndisplayed (7726)=Y Indicates the order is completely non- displayed TSXPegType (7723)=M Indicates order is priced at the National Best Bid/Offer mid point Order responses: Fully encrypted Trade Report: Undisplayed (604) = Y PegType (597) = M Added to private content LastSale (114) The execution price which may occur at an invalid trading increment Price (41) The execution price which may occur at an invalid trading increment Display volume (150) Set to 0 for the side which is dark Message type A - Trade: Trade Price will be the execution price which may occur at an invalid trading increment Message type H - Trade Cancellation: Trade Price will be the execution price which may occur at an invalid trading increment Trade Report: Price (41) The execution price which may occur at an invalid trading in- crement Display volume (150) Set to zero for the side which is dark Equity Trade: LastSale The execution price which may occur at an invalid trading in- crement Price The execution price which may occurat an invalid trading in- crement Equity Trade Cancelled: LastSale The execution price which may occur at an invalid trading increment Price The execution price which may occur at an invalid trading increment Trade Report: LastSale The execution price which may occur at an invalid trading increment Price The execution price which may occur at an invalid trading increment Buy Display Volume Set to zero if side is dark Sell Display volume Set to zero if side is dark