August 19, 2021
Equities Notice 2021-015
TMX Equity Trading Notice
TSX DRK Conditional Orders - Summary of Specification Changes
TMX Group is pleased to provide technical details relating to the introduction of Conditional order type to the Toronto Stock Exchange (TSX) and TSX Venture Exchange (TSXV), as previously communicated in Notice 2021-010. This change remains subject to regulatory approval. Please see below for a summary of the protocol specification changes.
Updated order entry and Broadcast Feed specifications reflecting this enhancement are also available through the TMX Webstore.
Summary of Key Technical Changes
| Specification | Tag | Change |
|---|---|---|
| Order Entry (FIX) | TSXMarketInst (7739) | Added new values: ‘00' = Conditional order ‘01' = Firm-up Conditional order. Residual volume will be cancelled back ‘02' = Firm-up Conditional order. Residual volume will sweep the regular dark book ‘03' = Dark order Opt-in to trade with Conditional orders ‘05' = Firm-up request ‘NA' = Dark order Opt-out from trading with Conditionals if Original Order New was ‘03'. Note : * If TSXMarketInst = ‘03', TSXPegType Tag (7723) must be ‘M'. * ‘05' indicates an outbound message to invite a client to firm up a conditional order. |
| IOIid (23) | Required if TSXMarketInst = ‘01' or ‘02' The submitted IOIid on a Firm-up order will be used to match the client order ID on tag #11 (ClOrdID) of the invited Conditional order. |
|
| TSXExchangeAdmin (6780) | Position 4 (Executed Against Dark Liquidity) New Values to be received on Execution Reports: ‘C' - Order executed against Conditionals ‘O' - Order Opted-in and executed against Conditionals ‘S' - Residual volume swept the dark book |
|
| Broadcast Feed (STAMP) | MarketInst (685) | ‘00' = Conditional order ‘01' = Firm-up Conditional order. Residual volume will be cancelled back ‘02' = Firm-up Conditional order. Residual volume will sweep the regular dark book ‘03' = Dark order Opt-in to trade with Conditional orders ‘05' = Firm-up request (Note: This value indicates an outbound message to invite a client to firm up a conditional order.) |
| IOIid (699) | Format: 1*16AlphaNumeric ; no default |
|
| IsConditional (688) | Added a new tag IsConditional(688). Value="Y" | "N"; default is "N". |
|
| TSXExchangeAdmin (380) | Position 4 (Executed Against Dark Liquidity) New Values to be received on Execution Reports: ‘C' - Order executed against Conditionals ‘O' - Order Opted-in and executed against Conditionals ‘S' - Residual volume swept the dark book |
|
| TL1/CL1 | Message Type A | Added a new field "IsConditional". Value="Y" | "N"; default is "N". |
| Message Type X | Added a new field "IsConditional". Value="Y" | "N"; default is "N". |
|
| TL2/CL2 | Trade Report | Added a new tag IsConditional (688). Value="Y" | "N"; default is "N". |
| TQL1/VQL1 | Trade | Added a new field "Is Conditional". Value="Y" | "N"; default is "N". |
| TQL2/VQL2 | Trade Report | Added a new field "Is Conditional". Value="Y" | "N"; default is "N". |
| Trade Correction | Added a new field "Is Conditional". Value="Y" | "N"; default is "N". |
DRK Conditional Orders will launch on November 22, 2021, subject to regulatory approval, and will be available for testing in our test environment (GTE) effective September 13, 2021.
For more information regarding DRK Conditional orders, please contact the Account Management Team or trading_sales@tmx.com. For all other and technical related questions please contact TMX Market Operations marketops@tmx.com, 416-947-4705.
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