TSX Market Making Program Guide Responsibilities of Market Makers TMX Group Page 17 Table 2 – Single Market Maker Measurement Metric MM Measurement Measurement Description Weighting in Contribution Score Spread Goal (“SG”) – 33.33% of total Net SG Corrections Net SG Corrections = MAX ( 0 , Number of MM SG Corrections - Number of MM SG Violations ) Where: o MM SG Correction = a single event where the current spread is greater than the target spread goal, and the MM enters in an order that results in the spread being equal to or better than the target Spread Goal o MM SG Violation = a single event where the current spread is equal to or better than the target spread goal, but the cancellation of an order by the MM results in the spread then being worse than the target Spread Goal o Resulting Net SG Corrections cannot be less than zero Relative Net SG Correction % = Net SG Corrections / (MM1 Net SG Corrections + MM2 Net SG Corrections) Where the combined Net MM SG Corrections is below 10 Net SG Corrections per day average for that month, both MMs are assessed as equal at a 50% contribution in that category 16.67% (50% of SG weighting) SG Alone Presence SG Alone Presence = The higher of: a) % of time that an MM maintains an order on the buy side which alone maintains the target spread goal; or b) % of time that an MM maintains on order on the sell side which alone maintains the target Spread Goal E.g. an MM maintains an order on the buy side which alone maintains the target Spread Goal 5% of the time and maintains an order on the sell side which alone maintains the target Spread Goal 8% of the time. The SG Alone Presence for that MM is 8%, which is the higher of the two sides Relative SG Alone Presence % = SG Alone Presence for that MM / (MM1 SG Alone Presence + MM2 SG Alone Presence) Where the combined MM SG Alone Presence is less than 2%, both MMs are assessed at an equal 50% contribution 16.67% (50% of SG weighting) %Time at NBBO – 33.33% of total Net NBBO Corrections Net NBBO Corrections =MAX ( 0 , Number of MM NBBO Corrections - Number of MM NBBO Violations ) Where: 16.67% (50% of NBBO weighting)
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