TSX Dark Liquidity Guide

24 1.0.2 Reassigning the executable price of a DRK Midpoint Peg order Starting values: ABBO = (9.99, 10.03) TBBO = (10.00, 10.03) 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 10.03 100 100 9.98 10.04 100 100 9.97 A DRK Midpoint Peg order to Sell 500 @ 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 bid - 0.50 = 9.50 Executable price = NBBO midpoint if > Limit price, otherwise non executable = 10.015 The system books the DRK Midpoint Peg order at the executable price (10.015) Resulting TSX Order book Volume Bid Offer Volume 100 10.00 10.015* 100 100 9.98 10.03 100 100 9.97 10.03 100 * DRK Midpoint Peg An order to Sell 100 @ 10.00 is entered and trades with the 10.00 bid. The resulting TSX quote (9.98, 10.03) is compared against the ABBO quote (9.99, 10.03) to determine if the midpoint of the NBBO has changed. NBBO (9.99, 10.03) NBBO Midpoint = 10.01 The new NBBO midpoint does not violate the limit assigned to the DRK Midpoint Sell order therefore the executable price of the DRK Midpoint order is reassigned to 10.01.