TSX and TSXV Dark Orders
TSX and TSXV offer fully hidden orders in the form of non-displayed limit orders and pegged order types (Dark Orders), allowing for the integration of Dark Orders with Canada's deepest displayed order book.
A variety of unique features are offered to accommodate a wider range of dark strategies, including more efficient dark active sweeping strategies, and to help facilitate the achievement of best execution when executing those dark strategies on behalf of clients.
- Posting dark orders on TSX and TSXV facilitates continuous access to orders otherwise seeking interaction with Canada's deepest displayed order book, providing increased fill opportunities.
- Liquidity takers can find significant value through meaningful price improvement and reduced trading costs.
Pegged Order Types
Pegged order types allow participants to better manage their orders and maintain optimal order book positioning by allowing their booked order price to float in reference to current market prices. Pegged order types available on TSX and TSXV include the Primary Peg, Market Peg, Mid-Point Peg, and Minimum Price Improvement Peg.
The following summarizes the key attributes of TSX and TSXV dark pegged order types:
| Pegged Order Type | Peg Value Reference | Offsets Permitted | Tick Increments for Execution and Stated Limits | Handling when Pegged Value > Stated Limit |
|---|---|---|---|---|
| Primary Peg | Same-side Protected NBBO | Aggressive or Passive | Full tick | Executable at stated limit |
| Market Peg | Opposite-side Protected NBBO |
Passive only | Full tick | Executable at stated limit |
| Mid-Point Peg | Mid-point of Protected NBBO |
No offsets | Half tick | Non-executable when mid-point exceeds stated limit |
| Minimum Price Improvement Peg | One-tick better than same-side Protected NBBO, except where Protected NBBO spread is two ticks or less, in which case pegs to same-side Protected NBBO | No offsets | Half tick | Executable at stated limit |
Non-displayed Dark Limit Orders
Dark limit orders can be entered at any price, allowing for the provision of dark liquidity at set prices. Dark limit orders will trade upon entry with contra-side visible liquidity at the Protected NBBO, subject to regulatory requirements applicable to at-the-quote executions.
Seek Dark Liquidity® (SDL®)
The SDL feature is available for use only with orders marked as IOC or FOK. It is intended to be used where seeking to execute a dark only liquidity taking strategy, including where seeking solely to obtain price improvement for a client order. Users of SDL will have the option of restricting their dark executions to prices that provide price improvement, or can allow for executions against dark resting liquidity at-the-quote, subject to their stated limit price as well as regulatory requirements applicable to at-the-quote dark trading.
Use of SDL is also intended to facilitate more efficient and effective integration of TSX and TSXV into dealers' multi-venue dark routing strategies where attempting to access dark only or when sweeping dark before lit.
PDL
The Provide Dark Liquidity™ (PDL) order feature is a DRK only order that has the option to interact with all DRK orders (SDL, Pegged) or only actively seeking DRK orders (SDL, IOC).
Benefits
Allows for integration of TSX DRK into a dealer's multi-venue passive routing strategy where attempting to access dark liquidity only. Gives particants, particularly liquidity providers and algo/institutional clients the benefit of only interacting with active DRK liquidity and posted DRK orders, while avoiding spread crossing liquidity.
Contra Midpoint Only Plus (CMO+) Orders
Like DRK Midpoint Peg orders, the Contra Midpoint Only Plus (CMO+) order is priced at the midpoint of the Protected NBBO. However, all CMO+ orders are subject to a randomized 400 to 600 millisecond delay upon entry, and can choose to interact against only other resting CMO+ orders or against all resting midpoint-eligible dark liquidity. Once resting, CMO+ orders will only execute against incoming CMO+ orders that have been subject to the randomized delay, increasing the likelihood of trading only against contra-side orders that have a similar longer-term investment objective.
Additional Dark Order Features and Conditions
Users of Dark Orders are able to reduce signaling and information leakage that can result in market impact through the use of Minimum Quantity (MinQty) and Minimum Interaction Size (MIS) conditions. MinQty and MIS are optional instructions that may be submitted on Dark Orders and SDL orders.
Minimum Quantity: Use of MinQty prevents a Dark Order or SDL Order from trading, unless the total tradable volume meets or exceeds the volume specified in the MinQty instruction.
Minimum Interaction Size: The MIS instruction determines the minimum size that any single contra-side order must be in order to be eligible to trade against the ‘MIS order'. For determining whether a contra-side order can trade against a MIS order, eligibility is based on the entered size for an incoming contra-side order, and the total remaining volume for a resting contra-side order.