7 1.3 Order and Trade Reporting Order and trade messages which include both public and private data may be submitted to the TMX through the TSX FIX order entry protocol through the client’s order entry connection. Corresponding responses will be sent to the client through this connection. TMX also provides a broadcast feed which provides real-time public trade and quote, as well as the participant’s private data associated with all its trades and orders. TMX provides real-time market data feeds in the proprietary STAMP and TMX eXtreme Message Transfer (XMT) protocols. STAMP Level 2 data feed is a real-time data transmission service that provides pre- and post-trade data delivered in a tag based data format and variable record length messages. TMX XMT Level 1 and Level 2 data feeds are a real-time data transmission service that provides pre- and post-trade data delivered in a binary data format and fixed record length messages. Level 1 content includes equity quote and equity trade information. Level 2 content includes full depth of book equity order and trade information. Section 2:Trading Sessions 2.1 Hours of Operation 2.1.1 TSX and TSX Venture Exchange TIME (ET) Session 7:00 AM – 9:30 AM Pre Open – Orders may be entered, but will not be executed. The COP is displayed and continuously updated. 9:30 AM Market on Open (MOO) – All matching orders are executed at a single opening trade price. Any remaining orders not filled during the opening, with the exception of Limit on Open orders, are carried through to the continuous limit order book. 9:30 AM – 4:00 PM Continuous Trading – All regular order types are accepted. 3:50 PM – 4:00 PM Market On Close (MOC) – The MOC facility consists of 2 market states: 3:50 pm Imbalance Period – Allow entry of new Market on Close orders, with no cancels or amends. Allow entry of Limit on Close orders on either side and with any volume, with no cancels and aggressive price amends only. 3:56 pm Freeze Period – The Freeze Period begins simultaneously across all symbols at a random point between 3:56 pm and 3:57 pm. Allow entry of Limit on Close orders on either side and with any volume, with no cancels or amends. Limit on Close orders entered are treated as “Pegged LOC orders”, which means that if the price is more aggressive than the MOC Reference Price, then it is repriced to the MOC Reference Price Imbalance messages are published every 10 seconds during this time. Trades publish at 4:00 unless a Price Movement Extension is required. 4:00 PM – 4:10 PM Price Movement Extension – The PME period is designed to solicit further liquidity to offset a remaining imbalance. If the calculated closing price (“CCP”) exceeds the PME range and requires a Price Movement Extension, a new MOC imbalance is calculated and published after which LOC orders opposite to the imbalance are accepted subject to a new price collar. If the new CCP does not exceed the CPA parameters, trades publish at 4:10 pm. During this time, open orders may be cancelled by the dealer for symbols that are not in a “closing delayed” stock state.
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