May 16, 2022
Equities Notice 2022-009
TMX Equity Trading Notice
Provide Dark Liquidity & Self-Trade Prevention
Provide Dark Liquidity & Self-Trade Prevention
TSX DRK (TSXV - TSX DRK) is announcing the introduction of a new TSX DRK order attribute, ProvideDarkLiquidity (PDL) on the Toronto Stock Exchange ("TSX") and TSX Venture Exchange ("TSXV"). The PDL order attribute will be available for dark-only orders. Similar to the existing SeekDarkLiquidty (SDL™) order attribute, ProvideDarkLiquidity will only target the dark order book while providing liquidity to the TSX DRK. The user will have an option to use PDL with post-only instructions, if desired.
Additionally, TSX DRK is announcing the introduction of a new self-trade prevention option, No Trade, to be used with TSX DRK order attributes, Provide Dark Liquidity (PDL) and Seek Dark Liquidity (SDL™) on the Toronto Stock Exchange ("TSX") and TSX Venture Exchange ("TSXV"). Self-Trade Prevention is an existing feature that prevents participant organizations from accidental wash-trading with their own orders. This new option will prevent wash-trading while keeping both dark orders (on each side) in the book. The self-trade prevention option will be available for PDL and SDL orders only.
We anticipate that PDL and the self-trade prevention option, No Trade, will be available for testing within the GTE environment effective June 20th, 2022 and is expected to be available within the production environment on August 22nd, 2022. This functionality has been filed for regulatory review and a Request for Comment has been published. Clients are encouraged to provide their views and feedback on the proposed enhancements. The public comment period ends on June 14th, 2022.
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 |
7731 |
DarkLiquidity |
"4" - Provide Dark Liquidity - New Value |
|
Broadcast Feed |
613 |
DarkLiquidity |
"4" - Provide Dark Liquidity - New Value |
|
FIX Order Entry |
7713 |
TSXNoTradeFeat |
"XM" - NoTrade (only valid with PDL and SDL orders) |
|
Broadcast Feed |
586 |
NoTradeFeat |
"XM" - NoTrade (only valid with PDL and SDL orders) |
**Please note the Field name has been updated from "SeekDarkLiquidity" to "DarkLiquidity"
For more information regarding this notice, please contact the Account Management Team.
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