22 3.3 Order Protection Rule (OPR) Features The following features are supported by TMX to comply with the NI 21-101 Order Protection Rule obligation. 3.3.1 Directed Action Order (DAO) The private DAO marker is an implicit or explicit order instruction as defined in NI 23-101. Orders are assumed to be DAO orders provided directly to the marketplace from a participating organizations system, or if the explicit DAO marker is provided. DAO orders trade or book without any attempt to protect better-priced protected orders on away markets. The responsibility to prevent trade throughs for orders considered DAO is assumed by the participating organization. 3.3.2 Order Protection by Re-price On TSX, TSXV and TSX Alpha, orders designated as “OPR re-price” will prevent OPR violations by only allowing trades at or better than the best price on away protected marketplaces before adjusting the remainder to the most aggressive price level allowed based on the away protected best price. 3.3.3 Order Protection by Cancel On TSX, TSXV and TSX Alpha, orders designated as “OPR cancel” will prevent OPR violations by only allowing trading at or better than the best price on away protected marketplaces before cancelling back the remainder to prevent trading or quoting at price levels prevented by the away protected best price. 3.4 Post Only The Post Only order feature helps liquidity providers tighten the bid/ask spread by rejecting an order upon entry when it is otherwise immediately executable. This feature is intended for orders without immediacy where the trader’s strategy depends on the order displaying as CLOB-posted liquidity without removing CLOBposted liquidity. For more information, please see the Post Only Product Sheet. Please refer to section 3.3.1 for information on Post only when used on Dark orders. Post Only is available on TSX, TSXV and TSX Alpha. It is an optional designation available for visible and dark orders and does not apply to orders in the opening or MOC sessions. A post only order is rejected if the order is fully or partially tradable against resting visible liquidity. When post only is applied to a mixed lot order, it only rejects the entire order based on whether the board lot portion is immediately tradable, regardless of the tradable status of the odd lot portion. Post Only instructions on TSX Alpha are accepted on new orders, order amendments and cancels. An incoming message with the post only instruction must have a volume equal to or exceeding the minimum post only volume requirement for that symbol, otherwise the message is rejected. Each symbol trading on TSX Alpha has a minimum post only volume assigned that will be reviewed and updated each month, and communicated through the start of day symbol status messages. Minimum post only volumes are also available on the TMX website (http://www.tsx.com/resource/en/1177/alpha-minimum-posting-size.csv). Participants should rely at all times on the minimum post only volumes contained in the start of day symbol status messages as the most current, as the posted .csv file may not always reflect changes made intra-month (e.g., as a result of splits, consolidations, and new listings). Messages containing the post only instruction are not subject to TSX Alpha’s order processing delay (described in section 4.14.11. All durations including GTC, GTD are accepted, and the order must always contain a limit price. The Post Only flag may be CFO’ed to remove the flag after entry.
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