TSX MOC Imbalances - Price Extension Movements (PME)
At 4:00 pm, the calculated closing price ("CCP") is determined by combining the orders in the Market On Close (MOC) Book with those in the central limit order book. The CCP is validated against the PME range. The PME range is defined as the greater of either (i) 5 trading increments or (ii) the PME percentage parameter, from both the VWAP of the last 20 minutes of regular market trading and the last board-lot sale price from the continuous market. If the CCP does not violate the PME range then the symbol will close at the CCP and trades will be published, otherwise a price movement extension (PME) period between 4:00 pm and 4:10 pm will be initiated for that symbol. MOC will fill all MOC orders against other offsetting MOC orders and offsetting LOC orders and offsetting CLOB orders up to a maximum price volatility percentage. This metric is known as the Closing Price Acceptance (CPA) parameter.
The PME period is designed to solicit further liquidity to offset a remaining imbalance. During the PME, limit orders, on the contra-side of the imbalance may be entered into the MOC book, such orders are not displayed. At 4:10 pm the CCP is recalculated and validated against the closing price acceptance ("CPA") parameters, which is a price control parameter that is used to either accept or reject the CCP that is derived from the PME. If there is a violation of the CPA parameter, the symbol will close at the price that matches the most volume, leaving the least imbalance within the CPA range.
Market on Close
| Symbol | Imbalance Side | Imbalance Size | Imbalance Reference Price |
|---|
The table displays the last MOC message for the current trading day. The MOC message is broadcast at 4:00 pm for symbols where a PME is necessary and the CCP, VWAP PME Imbalance Volume and PME Imbalance Side will be displayed at 4:00 pm ET only when a stock has violated the price movement extension parameter.
All TMX MOC PME related information, company information and intraday data are provided by TMX for informational purposes only. Please refer to the associated time stamp on this web page to obtain the page of the data. All times indicated are Eastern Time. TMX and its affiliates do not guarantee the sequence, timeliness, accuracy, or completeness of any MOC PME related information or other data displayed, and are not liable or responsible in any way for any delays, inaccuracies, or errors in any MOC PME related information or other data displayed. Prior to making any investment decision, it is recommended that you consult directly with the individual or firm and seek advice from a qualified investment advisor. Neither TMX nor any of its affiliates makes or has made any recommendations regarding the securities or investment services of any person or entity with respect to the content of this web site, including, without limitation, the information available or of the advisability of investing in securities generally for any particular individual.
You agree not to solely rely upon the MOC PME related information or other data displayed for any trading, business or financial purpose and TSX and its affiliates are not liable or responsible in any way for any damages, losses or costs arising from reliance on this information or incurred as a result of the nonperformance, interruption or termination for any reason whatsoever of the MOC PME related information or other data.
