TSX Dark Liquidity Guide

29 1.0.8 Determining the price for a DRK Primary Peg - passive offset 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 10.03 100 100 9.95 10.04 100 10.05 100 A DRK Primary Peg order to Buy 100 @ $10, -5 offset is entered. The trading system calculates the limit price and executable price to be assigned to the DRK Primary Peg order Limit Price = $10 Executable price = TSX Bid – 0.05 = 9.95 1.0.9 Determining the price for a DRK Primary Peg - aggressive offset 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 10.03 100 100 9.95 10.04 100 10.05 100 A DRK Primary Peg order to Buy 100 @ $10.10, +5 offset is entered. The trading system calculates the limit price and executable price to be assigned to the DRK Primary Peg order Limit Price = 10.10 Executable price = TSX Offer – 1 (If the DRK Primary Peg with an aggressive offset will lock or cross the NBBO, it will be pegged one tick inside the opposite side NBBO) = 10.02 Note if the NBBO moves to (10.00, 1010), the Buy DRK Primary Peg will float to $10.05