46 Full Halt In a full halt, order entry, order amendment and order matching is suspended, however orders may be cancelled. 6.2.2 Marketplace Threshold Parameters Marketplace thresholds operate as part of a multi-tiered approach to preventing erroneous orders and controlling short-term, unexplained price volatility. The Marketplace Thresholds are based on principles focused on reducing the need for regulatory intervention, limiting regulatory burden on industry stakeholders, and supporting the market-wide operation of the price discovery mechanism. A marketplace threshold parameter is applied to each security, as a permissible price deviation limit from a pair of reference prices: • The current National Last Sale Price (NLSP). • The NLSP as of the beginning of the current minute (e.g. as of 10:14:00 if the current time is 10:14:37). The price deviation limit varies from security to security, based on security type and price range, but will always be at or inside the limits specified by the CIRO Marketplace Threshold guidance. Note: Due to the higher risk of price dislocation in thinly-traded ETF securities, each ETF reference price starts out in the morning as a snapshot of its NBBO midpoint from the end of the previous day. The NBBO midpoint continues to serve as both reference prices until the first trade of the day, at which point the NLSP behaviour described above takes over. If an incoming order would trade at a price exceeding the deviation limit from either reference price, the order (or remainder, if already partially filled) is treated in one of two ways: • The order is killed back to the client; or • The order is booked at the threshold price, or one trading increment from the opposite side of the NBBO, whichever is less aggressive. Note that this behaviour is not available for Cross orders. Clients can choose the desired behaviour via an optional tag on their order entry messages. Marketplace thresholds apply only in the Continuous trading session, on orders whose trades would set the National Last Sale Price. 6.2.3 Bid/Ask Limit Bid/Ask Tick Limits are a TMX Market Quality safeguard available across TSX, TSXV and TSX Alpha that prevents Market or Better Price limit orders from trading deep into the book, thus causing large anomalous price swings. Bid/Ask Tick Limits are configurable across the market based on the security’s quoted price, and apply automatically to market and better price limit orders. This mechanism limits the number of ticks past the best bid price or best ask price an order can trade through. If an incoming tradable order hits the bid/ask limit and still has volume remaining, the remaining volume is booked at the bid/ask limit. START PRICE 0.00 1.00 5.00 50.00 100.00 Equities 0.10 0.25 0.50 1.00 5.00 Debentures 5.00 5.00 5.00 5.00 5.00
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