16 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. 2.6.7 Closing Call Allocation The closing call allocation is the priority in which MOC Orders and orders residing in the central limit order book are matched at the closing price. Orders will be executed in the Closing Call based on the following allocation: 1. MOC Market Orders shall trade with offsetting MOC Market Orders entered by the same PO, according to time priority, provided that neither order is an unattributed or jitney order; then 2. MOC Market Orders shall trade with offsetting MOC Market Orders, according to time priority; then
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