TSX Market Making Program Guide Responsibilities of Market Makers TMX Group Page 15 Measured during continuous trading hours only (9:30 AM – 4:00 PM), and excludes periods where a security may be halted, suspended or delayed or when quotes are locked or crossed. 3. Top of Book Size This minimum Top of the Book Size represents the minimum number of shares that must be available on any combination of the TSX best bid (TBB), TSX best offer (TBO) or the MGF facility at any given time. It may be distributed between the CLOB and MGF contributed by that Market Maker subject to the minimum MGF being met, and one board lot on each side of the CLOB. Measured at the security level for CLOB component and the Market Maker level for the MGF component. Average Size = time weighted average of (shares at TBB + shares at TBO + shares available through Individual MGF x 2). Measured during continuous trading hours only (9:30AM – 4:00 PM), and excludes periods where a security may be halted, suspended or delayed. 4. Liquidity Factor This requirement measures the extent to which Market Makers are ensuring the book is lined with reasonable depth such that excessive price gaps do not occur. Liquidity Factor = count of CLOB trades within Spread Goal / count of all CLOB trades. A trade is considered to be within the Spread Goal if the difference in its trade price from the previous trade price within the same day is equal to or less than the Spread Goal. If no trades occur in a month, then the Market Maker is considered to have passed. Excludes crosses (when buying broker = selling broker). Measured during continuous trading hours only (9:30AM – 4:00 PM), and excludes periods where a security may be halted, suspended or delayed. 5. Opening Presence Opening presence is intended to measure the degree a market is established ahead of the market opening, which contributes to an orderly price discovery process at the open. Market Makers must ensure there is a two-sided market on the security at least 95% of the time between 9:25 AM and 9:30 AM. At the end of the month, the system calculates the percentage of time a two-sided quote is maintained on a security, which includes the time when the quote is locked/crossed during the sum of all 5 minute pre-opening periods that month. In order to be considered a pass, the percentage of time must be equal to or greater than 95%. Market Makers must also be available to TSX Market Operations officials to assist in the verification of market prices in the event a stock is exceeding its volatility settings.
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