TSX Dark Liquidity Guide

6 1.4 TSX DRK Order Features TSX DRK currently offers dark limit and pegged order types, Seek Dark Liquidity ® (SDL ® ) orders that specifically target dark liquidity, and a Contra Midpoint Only plus(CMO+) facility to allow trading between like-minded investors. This dark functionality is integrated with the displayed order book and can be entered using standard FIX tags applicable to the TSX-FIX order entry protocol. DRK Midpoint Peg orders will peg to the Protected NBBO midpoint. They will always provide meaningful price improvement of at least a full trading increment unless the Protected NBBO spread is one trading increment. In this case the price improvement provided will be half a trading increment. DRK Primary Peg orders will peg to the same-side Protected NBBO, and can be entered with an optional aggressive or passive offset. DRK Market Peg orders will peg to the opposite-side Protected NBBO, but will default to one-tick inside the opposite-side Protected NBBO. Offsets on DRK Market Pegs will be accepted, but can only be passive offsets. DRK Minimum Price Improvement (MPI) Peg orders will provide the minimum required price improvement except where the Protected NBBO spread is two-ticks or less, in which case the order will peg to the same side Protected NBBO. No offsets are permitted on DRK MPI Peg orders. DRK limit orders will provide meaningful price improvement to Small Orders however Large Orders will be eligible to trade against a DRK limit order at the NBBO on TSX/TSXV once all visible volume on TSX/TSXV has been exhausted. Contra Midpoint Only Plus (CMO+) orders will peg to the Protected NBBO midpoint, and are subject to a randomized 400 to 600 millisecond delay upon entry. CMO+ orders will only execute against other CMO+ orders, with the exception of an optional feature to allow CMO+ orders, on entry, to execute actively against all resting midpoint-eligible dark liquidity. Seek Dark Liquidity (SDL) is a feature available for use only with orders marked as IOC or FOK. It is intended to be used where seeking to execute a dark only liquidity taking strategy, including where seeking solely to obtain price improvement for a client order. SDL is well suited for use as a dark probe by a smart order router to systematically access low cost, price improving dark liquidity before routing to the available visible book. Users of SDL will have the option of restricting their dark executions to prices that provide price improvement, or can allow for executions against dark resting liquidity at-the-quote, subject to their stated limit price as well as regulatory requirements applicable to at-the-quote dark trading. Active pegged orders and SDL orders will not interact with visible passive orders. Only DRK limit orders, with the exception of an active DRK limit order with a MIS condition, can interact with passive displayed orders. When executing against both dark and displayed resting orders, these DRK limit orders will execute through an allocation sequence according to price-visibility-broker-Long Life-time priority, ensuring the priority of displayed orders over dark orders. There is no pre-trade transparency of DRK orders meaning order responses and changes in order attributes are not disseminated publicly. As DRK orders are fully hidden they do not contribute to the symbol’s quote. All order responses are fully encrypted in the Broadcast feed. There is full post-trade transparency of DRK execution prices which will update the last sale price and be provided to the TMX information processor’s Consolidated Last Sale (CLS) feed. All DRK tag details, with the exception of the IsDark and IsMidOnly tags, are classified as private content and therefore fully encrypted. The IsMidOnly tag will identify all CMO+ to CMO+ trades on the public market-data feeds, allowing for executions within the CMO+ facility to be clearly distinguished. This does not apply to CMO+ orders that trade on entry against resting non-CMO+ dark liquidity. The IsDark tag will enhance transparency of dark trading on TSX and TSXV by identifying all trades where the passive side of the trade is dark. The TSX/TSXV securities that are enabled to accept DRK orders are identified based on information communicated by TSX/TSXV through notices to Participants/Members, as well as designations on a daily basis within the symbol status message distributed on TMX market data feeds. If technical issues arise such that a symbol is unable to accept DRK orders, any change to that symbol’s eligibility will be communicated to all participants through a stock status message