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 TypePeg Value ReferenceOffsets PermittedTick Increments for Execution and Stated LimitsHandling 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.

Conditional Orders

TSX DRK Conditionals support larger-sized orders and offer a Global Minimum Size either (a) greater than 50 boardlots and greater than $30,000, or (b) greater than $100,000 in value. The Conditional order book will not interact with orders in the visible Central Limit Order Book. Only participants who entered Conditional orders can see the size of the order and the price which they entered; the contra-side of a Conditional order will not have any visible information. When there is a potential contra-side match, our trading system will send an invitation to each applicable participant to ‘firm up' the desired volume and price at which they wish to trade. Participants will have 0.5 seconds to ‘firm up' their orders.

All Conditional orders will be executed at NBBO mid-point. Participants, at their election, may opt-in to interact with the dark book (DRK) to fill any remaining unfilled portion of the Conditional order. If there are no matches in the DRK book for the remaining order, the remainder will be cancelled. Participants may also elect to opt-in to have their DRK orders interact with Conditional orders. While the Conditional order is being firmed up, the DRK order will not be held, locked or removed from the book and can continue to execute against contra dark and visible liquidity. If a participant has opted-in to have its DRK orders interact with a Conditional order, such an order must (a) meet the Global Minimum Size (b) will not receive an invitation to ‘firm up', and (c) will execute at the midpoint if there is a contra side Conditional order match. In addition, the TSX will have the ability to disable a participant's ability to enter Conditional orders if TSX determines, in its sole discretion, that Conditional orders are being misused by such participant.

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.