20 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. Pre-trade Transparency 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. Post-trade Transparency 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. Eligible Symbols for DRK Orders 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 which will have the Accept Undisplayed tag set to “N”. Once the issue has been addressed, that symbol may have its eligibility reinstated. When this occurs a stock status message will be disseminated with the Accept Undisplayed tag set to “Y”. These events will be followed by external notification by TSX/TSXV Trading Support serving as further notification of the event. Minimum Quantity and Minimum Interaction Size DRK orders may be submitted with an optional Minimum Quantity (MinQty) or Minimum Interaction Size (MIS) instruction that specifies minimum volume parameters that must be met for the order to trade. MinQty and MIS are available for use with all DRK order types, specifically pegs, DRK limit orders, SDL orders, and CMO+ orders. Minimum Quantity – MinQty is an optional instruction that will prevent an order from trading unless the total tradable volume meets or exceeds the volume specified in the MinQty instruction. Minimum Interaction Size – MIS is an optional instruction that specifies the minimum size that any single contra-side order must be in order to be eligible to trade against the ‘MIS order’. For more information on MinQty and MIS, see the TSX DRK Liquidity Guide. Post Only DRK Orders The Post Only order feature is available on all DRK limit, DRK pegged, and CMO+ orders with a limit price. A DRK Post Only order will reject immediately on entry if any part of the order is immediately executable with a visible order during continuous trading. If on entry the DRK Post Only order is immediately executable with a contra-side dark order, the DRK Post Only order will book at its limit price or pegged value as applicable, and subject to any other pricing constraints to avoid locking/crossing the Protected NBBO. As indicated by the above, two contra-side Post Only DRK orders that are eligible to match based on price will not execute. Instead, both will maintain their price until executing against an active order. In addition, no execution will take place between a resting DRK limit order and an incoming contra-order marked Post Only with the same price as the resting order. Instead, both orders will sit in the book at the locked price and will not execute against each other unless the first resting DRK limit order is CFO’d by the trader and becomes a new order in accordance with existing TSX CFO handling procedures. In the scenario where the first DRK resting order referred to above is instead a non-Post Only pegged order, it will only execute actively when a Protected NBBO repricing causes it to become more aggressively priced.
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