TSX Dark Liquidity Guide

23 Appendix A: Scenarios 1.0 DRK Trading Scenarios 1.0.1 Determining the price for a DRK Midpoint Peg trade Starting values: NBBO = (10.00, 10.03) NBBO Midpoint = 10.015 Bid/Ask tick parameter: $0.50 TSX Order book Volume Bid Offer Volume 100 10.00 10.01* 100 9.95 10.03 100 10.04 * DRK Limit A DRK Midpoint Peg order to Buy 100 @ MKT is entered. The trading system calculates the limit price and executable price to be assigned to the DRK Midpoint Peg order Limit Price = TSX offer + 0.50 = 10.53 Executable price = NBBO midpoint if < Limit price, otherwise non-executable = 10.015 The DRK Midpoint Peg order will trade with the DRK Limit order for 100 shares at the NBBO midpoint. The trade report will contain the un-rounded trade price (Tag 41 = 10.015) and the un-rounded Last sale price (Tag 114 = 10.015).