Minimum Guaranteed Fill (MGF) Facility
The Minimum Guaranteed Fill (MGF) facility is a uniquely Canadian facility designed to benefit investors by providing guaranteed fills at the TSX Best Bid and Offer ("TBBO") when there is insufficient liquidity to provide a complete fill for an investor's order in the Continuous Limit Order Book ("CLOB"), subject to a maximum size and qualifying criteria. This results in additional liquidity at the best price for natural investors. The MGF facility is supported for all TSX-listed securities that have assigned Market Makers, which excludes debentures and notes.
Orders resting in the CLOB will receive priority of fills ahead of MGF fills.
Benefits to Using the MGF Facility
- Guaranteed minimum fill for MGF-Eligible orders
- Additional top of book liquidity backed by TSX Market Makers
- Execution certainty
- Full transparency of MGF sizes published on a real-time, symbol by symbol basis on TSX feeds, allowing integration into routing strategies
Average MGF Sizes*
| Securities | Average MGF size (shares) | Average Qualifying MGF Order Size (shares) |
|---|---|---|
| S&P 60 | 3,000 | 4,900 |
| S&P Composite | 2,300 | 4,500 |
| Interlisted | 3,400 | 10,000 |
| High-priced stocks (>= $5) | 1,200 | 2,700 |
| Mid-priced stocks ($1 - $4.99) | 2,900 | 16,500 |
| Low-priced stocks (< $1) | 9,600 | 145,500 |
*Based on time-weighted average Total MGF sizes for stocks with 2 Market Makers in March 2018, rounded up to nearest 100 shares
Accessing the MGF Facility
In order to access the additional liquidity provided through the MGF facility, participants must:
- Pre-qualify Trader ID as a MGF-Eligible Trader ID
- Check that order meets the MGF-Eligibility Criteria
- Mark "MGF-YES" on each MGF-Eligible order
MGF-Eligible Trader ID Pre-Qualification
In order to access the additional top of book liquidity provided through the MGF Facility, trading participants must first pre-qualify their trader IDs that will be sending MGF orders to be MGF-Eligible Trader IDs. Any order sent from non-MGF-Eligible Trader IDs will not be able to able to receive MGF fills, regardless of the order properties. This ensures that the facility is being used by the correct group it's designed to service, and protects the market maker. The ability to prevent non-eligible Trader IDs from interacting with the MGF facility is a critical component in creating a quality facility where all participants are abiding by the rules, keeping the confidence high so market makers can offer the highest MGF sizes, benefitting all participants.
Any Trader ID that sends orders that meet the MGF-Eligibility criteria may qualify as a MGF-Eligible Trader ID. To certify MGF-Eligible Trader IDs, please complete the TSX MGF-Eligible Trader ID AUTHORIZATION REQUEST form and send to Trading Services. The requested Trader IDs will be reviewed for MGF-eligibility and approved and activated as MGF-Eligible Trader IDs if it meets the published criteria.
MGF Eligibility Criteria
All orders, including retail or institutional orders, sent through a MGF-Eligible Trader ID must meet the MGF eligibility criteria below and continue to be marked MGF-YES to receive a MGF fill.
To be MGF-eligible, an order must be a disclosed client order less than or equal to the MGF-Eligible Order Size and must NOT be:
- Part of a larger (parent) order except if the parent buy (sell) order is equal to or less than the specified MGF-Eligible Order Size; and the client order is sent to execute on the Exchange at the same time as the remainder of the parent order is sent to execute on other marketplaces.
- From a Direct Market Access (DMA) client (unless the DMA client is a broker acting as an "agent" for retail client order flow).
- Generated by a computer algorithm.
- From a customer who is involved in trading the markets directly on an active and continuous daily basis.
- From a U.S. broker-dealer ("U.S. dealer") except when acting behalf of a client of a U.S. dealer.
The maximum MGF-Eligible Order Size is the size of the MGF + TSX Best Bid (for a sell order) or Offer (for a buy order).
Split child orders are MGF-Eligible, as long as the parent order is less than or equal to the MGF-Eligible order size, and all child orders are entered simultaneously.
Orders sent through a MGF-eligible Trader ID that are not MGF-eligible should be marked "MGF-NO". TSX will continue to default an order not marked to be considered "MGF-NO" and therefore not eligible to receive an MGF fill.