16 3. CLOB orders: Regular limit orders and non-pegged dark orders that have been placed in the central limit order book and remain open in the book at 4:00 pm are eligible to be drawn into the MOC facility in order to satisfy the MOC imbalance. Note that LOC orders and CLOB orders compete equally to satisfy the MOC imbalance. Non-displayed portions of CLOB orders (icebergs) are allocated after other visible CLOB or LOC orders at the same price, but before dark orders. 2.6.3 MOC Imbalance Determination MOC orders and LOC orders that are priced equal to or more aggressive than the reference price at the time of the calculation are considered when determining the MOC imbalance. The reference price for the imbalance calculation that is published every 10 seconds between 3:50 pm – 4:00 pm is the TSX or TSXV Best Bid and Offer mid-point. The reference price for the 4:00 pm imbalance calculation (if necessary) is the TSX or TSXV last sale price. The imbalance side and size are determined as the difference between the aggregate eligible buy MOC/LOC volume and aggregate eligible sell MOC/LOC volume. 2.6.4 MOC Imbalance At the start of the Imbalance period (3:50 pm). MOC imbalance messages are disseminated through the feeds to be sent every 10 seconds identifying: • Symbol • Reference Price • Imbalance Side • Imbalance Volume • Paired Volume • Market Order Imbalance Volume • Market Order Imbalance Side • Near Indicative Closing Price • Far Indicative Closing Price • Price Variation This notification provides an opportunity to offset the imbalance using MOC orders between 3:50 pm and 3:56 pm, and LOC orders between 3:50 pm and 4:00 pm. At 4:00 pm, where a PME is necessary, the PME MOC imbalance message is published once to let traders know that TMX will be accepting offsetting orders between 4:00 and 4:10 pm. The fields sent in the PME MOC imbalance message are: • Symbol • Reference Price • Imbalance Side • Imbalance Volume 2.6.5 Calculated Closing Prices At 4:00 p.m., the calculated closing price (“CCP”) is determined by combining the orders in the MOC Book with those in the central limit order book. The CCP is validated against the PME range. The PME range is defined as the greater of either (i) five trading increments or (ii) the PME percentage parameter, from both the VWAP of the last 20 minutes of regular market trading and the last board-lot sale price from the continuous market. If the CCP does not violate the PME range then the symbol will close at the CCP and trades will be published, otherwise a price movement extension (PME) period between 4:00 pm and 4:10 pm will be initiated for that symbol. MOC will fill all MOC orders against other offsetting MOC orders and offsetting LOC orders and offsetting CLOB orders up to a maximum price volatility percentage. This metric is known as the Closing Price Acceptance (CPA) parameter. 2.6.6 Price Movement Extension The PME period is designed to solicit further liquidity to offset a remaining imbalance. During the PME (4:00 pm - 4:10 pm). Limit orders, on the contra-side of the imbalance may be entered into the MOC book; such orders are not displayed. At 4:10 pm the CCP is recalculated and validated against the closing price acceptance (CPA) parameters, which is a price control parameter that is used to either accept or reject the CCP that is derived from the PME. If there is a violation of the CPA parameter, the symbol will close at the price that matches the most volume, leaving the least imbalance within the CPA range.
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