January 25, 2023
Equities Notice 2023-001
TMX Equity Trading Notice
Cancel Reason Codes on Order Entry and Broadcast feeds
Cancel Reason Codes on Order Entry and Broadcast feeds
TMX Equities is pleased to announce enhanced reason codes for unsolicited cancels on the Toronto Stock Exchange ("TSX"), TSX Venture Exchange ("TSXV") and TSX Alpha Exchange ("Alpha"). Cancel reason codes address the differences between cancellations caused by Immediate-Or-Cancel, Fill-Or-Kill, Order Protection Rule and Self-Trade Prevention. Changes will be applied to both the order entry and broadcast feeds. Please note that reason codes already exist for self-trade prevention.
The enhanced reason codes will be available for testing in the GTE environment effective January 27th, 2023 and will be made available in our production environment effective May 1st, 2023.
Technical Implementation Details
Updated specifications can be found on the TMX Webstore and the following fields have been modified to facilitate the integration of this new feature.
|
Specification |
Tag |
Field Name |
Comments |
|
FIX Order Entry |
58 |
Text |
'Killed due to IOC' 'Killed due to FOK' 'Killed due to OPR' |
|
Broadcast Feed |
616 |
ReasonCode* |
‘38' - Killed due to IOC ‘39' - Killed due to FOK ‘40' - Killed due to OPR |
*The tag is "private" and thus fully encrypted
For more information regarding this notice, please contact the Account Management Team.
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