July 9, 2021
Equities Notice 2021-013
TMX Equity Trading Notice
TSX and TSXV Proposals to Introduce Closing Price, Last Bid, and Last Ask
TMX Equities is pleased to confirm that Toronto Stock Exchange (TSX) and TSX Venture Exchange (TSXV) have filed proposals with their respective regulators to introduce definitions for Closing Price, Last Bid Price, and Last Ask Price to their respective Rule Books. The Notice of Proposed Amendments and Request for Comments was published by the Ontario Securities Commission on June 17, 2021 (a copy of which can be found here). Market participants are invited to provide comments on the proposed changes by July 19, 2021.
TMX Equities would like to reiterate that the methodology for calculating the Lask Ask Price and Last Bid Price will be dependent on whether there are bids and asks during the last 10 minutes of the regular trading session. If there are bids/asks during the last 10 minutes of trading, both TSX and TSXV will use a Time Weighted Average Price over the last 10 minutes of trading to calculate the Last Bid Price and the Last Ask Price. If there are no bids/asks during the last 10 minutes of trading, the last posted bid and the last posted ask for that security on TSX or TSXV, as applicable, will be the Last Bid Price and Last Ask Price for such security.
Market participants are invited to review the examples provided in the Notice of Proposed Amendments and Request for Comments, which outline the methodology for calculating the Last Bid Price, Last Ask Price, and Closing Price. For ease of reference, we are replicating the examples that were provided in the TSX Notice of Proposed Amendments and Request for Comments for calculating the Last Bid Price and Last Ask Price. The methodology is the same for TSXV.
1. TSX Ask and TSX Bid Calculations
The TSX Ask and TSX Bid will be determined by using a derived last bid price and a derived last ask price calculated as follows:
a) If there is a TSX Best Bid and Offer ("TBBO") during the last 10 minutes of the regular trading session, then:
- the TSX Bid will be the TWAP of TSX Best Bid ("TBB") during that time period,and
- the TSX Ask will be the TWAP of TSX Best Offer ("TBO") during that time period:
Example 1.a
| Time | TBB | TBO | Duration in Seconds | |
|---|---|---|---|---|
| 1 | 15:50:00 | 10.00 | 10.10 | 312 seconds |
| 2 | 15:55:12 | 10.01 | 10.10 | 287 seconds |
| 3 | 15:59:59 | 10.02 | 10.10 | < 1 second = rounded up to 1 second |
| TBB = 10.0048 (TWAP) |
TBO = 10.10 (TWAP) |
Total Duration 600 seconds |
b) If there is no TBBO during the last 10 minutes of the regular trading session, then:
- the TSX Bid will be the last TBB of the current trading day, and
- the TSX Ask will be the last TBO of the current trading day:
Example 1.b
| Time | TBB | TBO | |
|---|---|---|---|
| 1 | 13:50:00 | 10.00 | 10.10 |
| 2 | 14:15:12 | 10.01 | 10.10 |
| 3 | 15:00:00 | 10.02 | 10.11 |
| TBB = 10.02 (Last TBB) |
TBO = 10.11 (Last TBO) |
For more information regarding this notice, please contact the Account Management Team.
Laura Hanschke (416) 947-4257
Pete Osborne +44 7555 690 996
Jon Schneider (416) 947-4484
Michael Tintinaglia (416) 947-6679
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