TMX Information Processor

TMX IP Feed Change - Lynx Periodic Matching Model

The TMX IP will be implementing proposed changes of the announced Lynx Periodic Matching Model. These changes will impact the CDF-LYX feed in the CDF product and all changes will be effective on Friday, April 25, 2025.

Changes Summary:

Order/Cancel Confirmation

• Disseminated when an order in the book has been cancelled and replaced. An order is replaced with a new Order Id when the volume is increased or price has changed and loses its time priority. The new order details are provided in the replacement message.
• The message will include the original reference number of the order being replaced.
• The new total displayed quantity and new display price for the order.

Trade Message for mid-point orders

• Provide execution details for normal match events involving undisplayed orders.
• Multiple trade messages may be received if the order is executed in partial fills.
• No "Add Order" message is generated for dark orders. As a result, when a midpoint trade is executed the trade message will exclude the order number and instead an IsMidOnly FieldIdentifier 684 = Y will be disseminated on the trade report.

For further information you can find the updated CDF Book Guideline on the TMX Webstore. There are no changes to the TMX IP CDF specification and the PSSA Guide.

Regards,

TMX IP Team