Order Types and Functionality Guide

43 6.2 Trading Controls 6.2.1 Halts Halts are manually applied and lifted by Trading Services, and notification messages are sent out on all public market data feeds. Securities may be halted or lifted at any time during the trading day, from the Pre-Open until the end of the Extended Trading session. TSX and TSXV may employ either of the two types of halts that are described below (Matching Halt and Full Halt). Since there is no opening auction, only a Full Halt is supported on TSX Alpha. No Matching Halt The majority of halts are “No Matching” Halts, and are imposed by Regulators pending news regarding the issuer of the security. During a No Matching halt, order entry and amendment is allowed, as well as cancels, but there is no matching. When in No Matching halt state, the security behaves as in the Pre-Open Trading session, where the book can be crossed and the indicative auction price is continually calculated based on order activity in the book. A Calculated Opening Price (COP) is broadcasted while the stock is in halt state. When the halt is lifted, an auction similar to the Market Opening takes place, and continuous trading resumes. For examples, please see the Opening Allocation section. Full Halt In a full halt, order entry, order amendment and order matching is suspended, however orders may be cancelled. 6.2.2 Marketplace Threshold Parameters Marketplace thresholds operate as part of a multi-tiered approach to preventing erroneous orders and controlling short-term, unexplained price volatility. The Marketplace Thresholds are based on principles focused on reducing the need for regulatory intervention, limiting regulatory burden on industry stakeholders, and supporting the market-wide operation of the price discovery mechanism. A marketplace threshold parameter is applied to each security, as a permissible price deviation limit from a pair of reference prices: • The current National Last Sale Price (NLSP). • The NLSP as of the beginning of the current minute (e.g. as of 10:14:00 if the current time is 10:14:37). The price deviation limit varies from security to security, based on security type and price range, but will always be at or inside the limits specified by the IIROC Marketplace Threshold guidance. Note: Due to the higher risk of price dislocation in thinly-traded ETF securities, each ETF reference price starts out in the morning as a snapshot of its NBBO midpoint from the end of the previous day. The NBBO midpoint continues to serve as both reference prices until the first trade of the day, at which point the NLSP behaviour described above takes over. If an incoming order would trade at a price exceeding the deviation limit from either reference price, the order (or remainder, if already partially filled) is treated in one of two ways: • The order is killed back to the client; or • The order is booked at the threshold price, or one trading increment from the opposite side of the NBBO, whichever is less aggressive. Note that this behaviour is not available for Cross orders. Clients can choose the desired behaviour via an optional tag on their order entry messages. Marketplace thresholds apply only in the Continuous trading session, on orders whose trades would set the National Last Sale Price.