TSX Dark Liquidity Guide

30 1.0.10 Determining the price for a DRK Market Peg (i) Starting values: NBBO = (10.00, 10.10) NBBO Midpoint = 10.05 Bid/Ask tick parameter: $0.50 TSX Order book Volume Bid Offer Volume 100 10.00 10.10 100 100 9.95 10.11 100 10.12 100 A DRK Market Peg order to Buy 100 @ MKT. The trading system calculates the limit price and executable price to be assigned to the DRK Market Peg order. Limit Price = TSX offer + 0.50 = 10.60 Executable price = TSX Offer – 1 tick = 10.09 1.0.11 Determining the price for a DRK Market Peg (ii) Starting values: NBBO = (10.00, 10.10) NBBO Midpoint = 10.05 Bid/Ask tick parameter: $0.50 TSX Order book Volume Bid Offer Volume 100 10.00 10.10 100 100 9.95 10.11 100 10.12 100 A DRK Market Peg order to Sell 100 @ MKT, with a passive offset of 3 ticks. Note that an Aggressive Offset will be rejected. The trading system calculates the limit price and executable price to be assigned to the DRK Market Peg order. Limit Price = TSX Bid -0.50 = 9.50 Executable price = TSX Bid + 3 ticks = 10.03