36 4.12.2 VWAP Cross A VWAP Cross is a transaction for the purpose of executing a trade at a volume-weighted average price of a security. A VWAP cross may be executed as a board lot, mixed lot or odd lot trade during the regular trading sessions on TSX, TSXV and TSX Alpha and the extended trading session on TSX. The price of the VWAP cross may be printed outside the best bid and ask and may be up to five decimal places. A VWAP cross will not set the last sale price. 4.12.3 Contingent Cross A trade resulting from a paired order placed by a broker on behalf of a client to execute an order on a security that is contingent on the execution of a second order placed by the same client for an offsetting volume of a related security. A contingent cross may be executed as a board lot, mixed lot or odd lot trade during the regular trading sessions on TSX, TSXV and TSX Alpha and the extended trading session on TSX. The price of the contingent cross must be at or within the best bid and ask and may be up to three decimal places. A contingent cross will set the last sale price. 4.12.4 Internal Cross An internal cross may be executed during the regular trading sessions on TSX, TSXV and TSX Alpha and the extended trading session on TSX. An intentional cross is at or between the best bid/ask and between two client accounts of a PO which are managed by the PO as a portfolio manager with discretionary authority and is not subject to interference. 4.12.5 Bypass Cross The cross bypass order (referred to in UMIR as a “designated trade”) will execute intact even when outside the current best offer and best bid price. A cross bypass order will not be rejected and is not subject to cross interference. Bypass cross can be printed outside the Protected NBBO. When a trader needs to execute a pre-arranged trade outside of the Protected NBBO, all better priced visible volume must be displaced first before printing the cross. Bypass orders can be used to sweep the visible volume without interference from the undisclosed volumes, and therefore limit the trader’s exposure. If then, the subsequently printed cross is also marked as bypass, it will not be impacted by any quotes resulting from previously hidden volume. Smart order routers using ‘spray’ methodology to fulfill the best-price obligation may also use bypass orders when routing orders at prices outside of the Protected NBBO. 4.12.6 Derivative Cross Participants entering a pre-arranged cross to offset a trade in a related derivative instrument must designate the cross as a Derivative Cross. A Derivative cross may be executed as a board lot, mixed lot or odd lot trade during the regular trading sessions on TSX, TSXV and TSX Alpha and the extended trading session on TSX. The price of the Derivative cross must respect the TBBO, is subject to cross interference, and will set the NLSP. 4.12.7 Special Trading Session Cross A special trading session cross may be executed on TSX and TSXV. Also known as Specialty Price Cross, this is a closing price cross resulting from an order placed by a PO on behalf of a client for execution in the Special Trading Session (also know as the Extended Trading Session) at the last sale price. The rounded LSP may be used if the LSP is at an invalid tick. A special trading session cross may be entered as a board lot, mixed lot or odd lot trade. A special trading session cross cannot change the last sale price.
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