TSX Market Making Program Guide

TSX Market Making Program Guide Responsibilities of Market Makers TMX Group Page 28 3.5.3 Participation Anti-wash In order to prevent wash trades, Market Makers can optionally define a self-trade key to associate with their Responsible Designated Trader’s Trader ID. If an incoming order from the same broker as the Market Maker would generate a Participation fill, and that incoming order has the same self-trade key as the Market Maker, then the Participation fill is prevented. The exact behaviour depends on the self-trade instruction of the active order.  If the active order has an ‘EM’ (execute match) instruction, then the Participation fill occurs but is suppressed from the tape. The fill is marked as a Self Trade.  If the active order has an ‘NM’ (cancel newest), ‘OM’ (cancel oldest), or ‘DM’ (decrement larger and cancel smaller) instruction, then the Participation fill is prevented altogether. Note that in cases where there are two Market Makers assigned to the symbol, the other Market Maker may still receive a Participation fill if they have Participation enabled. 3.6 Odd Lot Facility Market Makers are obligated to maintain an odd lot market at the Protected NBBO for immediately tradeable incoming odd lots. Booked odd lots which become tradeable due to a change in the Protected NBBO execute at the Protected NBBO. Odd lot responsibilities are allocated to both Market Makers based on a round robin allocation methodology (i.e., incoming odd lot orders alternate between the two Market Makers). Each day, a designated Market Maker (MM1 or MM2) gets the first odd lot fill from the opening and is responsible for the odd lot from the closing auction. This Market Maker is designated as the “AuctionRT” for that day. During the opening, odd lot fills are divided between the two Market Makers by side. Starting with the AuctionRT, each odd lot fill immediately after the opening is allocated, at the current protected NBBO price, to the Market Maker that currently has the smaller number of shares at that time for that side. During continuous trading (post-open session), odd lot fills are allocated to each Market Maker according to a pre-determined ratio, by side. This ratio is currently set to 1:1. The order of the rotation is maintained from the previous day. For example, with a 1:1 ratio, if MM1 received the last buy odd lot in continuous trading the previous day, MM2 receives the first buy odd lot in continuous trading the next day. The odd lots resulting from the closing auction are all assigned to the AuctionRT for that day. The AuctionRT's net boardlot position as a result of these odd lots is offset by a MOC Autofill to the AuctionRT, such that the AuctionRT's net position as a result of all MOC odd lots is always less than a board lot. For more information on odd lots, please see the TSX Order Types & Functionality Guide available on the TSX website.