TSX Dark Liquidity Guide

26 1.0.4 DRK Limit order’s executable price being reassigned due to Small Order bypassing the DRK Limit order Starting values: ABBO = (10.00, 10.03) TBBO = (10.00, 10.03) NBBO = (10.00, 10.03) Bid/Ask tick parameter: $0.50 TSX Order book Volume Bid Offer Volume 1000 10.00 10.03 100 DL 1000 10.00 10.04 100 1000 9.99 1000 9.98 An order to Sell 1500 @ 10.00 and is marked DAO The system determines that the order is a Small Order and must receive meaningful price improvement when executing with a DRK order. The Small Order trades with 1000 shares with the visible bid @ 10 and books the remaining volume establishing a new visible offer at 10.00. The Small Order was not able to trade with the resting DRK Limit at 10.00 because the execution did not provide meaningful price improvement over the NBB. The DRK Limit order is re-priced one tick off of the visible offer. When a DRK order is crossed or locked with a visible order it cannot provide price improvement and is ineligible for execution, as a result the system will re-price the DRK Limit order as follows: If both TBBO and ABBO have changed or only TBBO has changed, system shall determine the booked price based on the following rule: a. Buy DRK Limit order will be re-priced such that the booked price is lesser of ABO , Cap Price, TBO – 1 tick b. Sell DRK Limit order must be re-priced such that the booked price is greater of ABB , Cap Price or TBB + 1 tick (Please note when a DRK Limit order has its executable price reassigned a price assigned message will not be disseminated.) Resulting TSX Order book Volume Bid Offer Volume 1000 9.99 10.00 500 DL 1000 9.99 10.03 100 1000 9.98 10.04 100