TSX Dark Liquidity Guide

32 1.0.14 CMO+ Dark Sweep order trading against other DRK orders on entry 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 3000 @ MKT, CMO+ Dark Sweep (PegType=D) is entered. The sell CMO+ order is released from the delay mechanism after a 425 millisecond delay. It is priced at 10.03 (NBBO midpoint). The sell CMO+ order trades against the resting DRK Limit, DRK Midpoint Peg, and CMO+ orders all at a trade price of 10.03. 1.0.15 Resting CMO+ orders being bypassed by incoming non-CMO+ orders 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 CMO+ 1000 10.03 10.06 500 CMO+ Dark Sweep 1000 10.03 10.07 100 DRK Midpoint 1000 10.03 10.08 100 1000 10.00 A lit order to Sell 1500 @ 10.00 is entered. The sell order will trade against the resting DRK Midpoint Peg order for 1000 shares @ 10.03. The sell order will then trade against the resting lit order for 500 shares @ 10.00. The resting CMO+ orders are bypassed since they will only trade against incoming CMO+ orders.