TSX Market Making Program Guide

TSX Market Making Program Guide Responsibilities of Market Makers TMX Group Page 18 Metric MM Measurement Measurement Description Weighting in Contribution Score o MM NBBO Correction = a single event where the TBBO is worse than the NBBO, and the MM enters in an order that results in the TBBO being equal to or better than the NBBO o MM NBBO Violation = a single event where the TBBO is at or better than the NBBO, but the cancellation of an order by the MM results in the TBBO being worse than the NBBO o Resulting Net NBBO Corrections cannot be less than zero  Relative Net NBBO Correction % = MM Net NBBO Corrections / (MM1 Net NBBO Corrections + MM2 Net NBBO Corrections)  Where the combined Net MM NBBO Corrections is below 10 Net NBBO Corrections per day average for that month, both MMs are assessed as equal at a 50% contribution in that category NBBO Alone Presence  NBBO Alone Presence = % Time Alone on buy side + % Time Alone on sell side / 2 Where: o % Time Alone = % of time that the MM maintains an order that is the only order that keeps the TBBO equal to the NBBO  E.g. a MM’s buy side time % Time Alone is 10% and their sell side % Time Alone is 5%. Their NBBO Alone Presence is 7.5%, the average of the two % Time Alone values.  Relative NBBO Alone Presence % = NBBO Alone Presence for that MM / (MM1 NBBO Alone Presence + MM2 NBBO Alone Presence)  Where the combined MM NBBO Alone Presence is less than 5%, both MMs are assessed at an equal 50% contribution 16.67% (50% of NBBO weighting) Top of Book Size – 33.33% of Total TOB Size Contribution  Each MM’s contribution to that portion of the symbol TOB size target that is not being provided by natural (non-MM) TOB liquidity  TOB Size Contribution = Minimum of (MM average TOB size, TOB Size Deficit) / TOB Size Deficit Where: o TOB Size Deficit = Target TOB Size – TOB Size not provided by MMs  Relative TOB Size Contribution % = TOB Size Contribution / (MM1 TOB Size Contribution + MM2 TOB size Contribution) 33.33%

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