TSX Dark Liquidity Guide

31 1.0.12 Determining the price for a DRK Market Peg (iii) Starting values: NBBO = (0.40 – 0.51) NBBO Midpoint = 0.4555 Bid/Ask tick parameter: $0.50 TSX Order book Volume Bid Offer Volume 1000 0.40 0.51 1000 A DRK Market Peg order to Sell 1000 @ 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 - 0.10 = 0.30 Executable price = TSX Bid + 3 ticks = 0.415 1.0.13 CMO+ order bypassing non-CMO+ orders to trade against another resting CMO+ order Starting values: ABBO = (10.00, 10.06) TBBO = (10.00, 10.06) NBBO = (10.00, 10.06) Bid/Ask tick parameter: $0.50 TSX Order book Volume Bid Offer Volume DRK Limit 1000 10.04 10.06 500 DRK Midpoint 1000 10.03 10.07 100 CMO+ 1000 10.03 10.08 100 1000 10.00 An order to Sell 1000 @ MKT, CMO+ (PegType=C) is entered. The sell CMO+ order is released from the delay mechanism after a 572 millisecond delay. It is priced at 10.03 (NBBO midpoint). The sell CMO+ order bypasses the resting DRK Limit and DRK Midpoint Peg orders, and trades against the resting CMO+ order for 1000 shares @ 10.03.