This section provides a basic overview of trading on the systems operated by the Canadian Securities Exchange ("CSE"). It is not intended to be a comprehensive description of all the functionality of the trading systems.
The CSE has retained the Investment Industry Regulatory Organization of Canada ("IIROC") as its regulation services provider, or market regulator. The Universal Market Integrity Rules ("UMIR") apply to all activity on the CSE. All markers, identifiers, and order types required by UMIR are available.
Pre-Open and Post-Open Priority and Allocation
The CSE matches orders by price/time priority at the opening and in post-open but will seek out same firm crosses first (also known as firm priority or broker preferencing). For billing purposes, trades at the opening are designated active or passive according to time priority. Each side of an unintentional crosses will be designated as active or passive according to time priority and will be either charged a fee or earn a rebate, respectively. Intentional crosses executed at the bid/ask are subject to interference from the book and that portion of a cross that is interfered with will be considered an unintentional cross for billing purposes. Orders are time stamped at the time of entry. First-in, First-out (FIFO) allocation distributes order volumes on the basis of each order’s time of entry into the trading system.
Orders entered during the pre-open market state are queued in the regular term book and an opening price is calculated (the "Calculated Opening Price" or "COP). Each symbol has only one opening price per move from pre-open to open market state. The COP is based only on the regular term book. Terms and odd lot orders match and trade only after the opening state change. The following criteria are used to calculate the opening price in consecutive order:
- Maximize share traded volume
- Minimize imbalance in share volume
- Better price for the market side with higher demand
- Minimize net change from the previous day's closing price
- Maximize share price
Board Lots (Standard Trading Units, as defined by UMIR)
|Security Price||Board Lot|
|$1 and up||100 shares|
|$0.10 and less than $1||500 shares|
|Under $0.10||1000 shares|
|Debentures||$1000 face value|
Board lots for CSE listed securities are set overnight by the closing price on the CSE, and will not change during the day's trading session. Board lots for other listed securities are set overnight by the closing price on the exchange they are listed, and will not change during the day's trading session.
- <$0.495 -- $0.005
- >=$0.50 -- $0.01
Stocks and Symbols
CSE listed securities and other listed securities (TSX and TSX-V) are eligible for trading on the CSE. Stock symbols for other listed securities will be identical to those used on the exchange on which the stock is listed. The list of available stocks is updated on a daily basis, and can be found on Stock List.
Access to Trading
Access to trading on the CSE is available to all CSE Dealers. CSE Dealers must be IIROC members in good standing, and traders must be registered in their home province. See Becoming a Dealer.
On the CSE Broadcast Feed, the exchange code is PTX, and on L1 and L2 data feeds, the header is displayed as PT. Participant trading and clearing numbers that are currently assigned to trade on the TSX or TSX Venture will also be used for the CSE.
Exchange Admin Field
This field is used for tracking passive/active orders (adding/removing liquidity) for billing purposes. Trades on CSE listed securities are designated active or passive according to time priority as:
- At the opening: QAO – active side of an opening trade, QPO – passive side of an opening trade
- Post-open: QAP – active side of a trade, QPP – passive side of a trade
Trades on other listed securities are designated active or passive according to time priority as:
- At the opening: PAO – active side of an opening trade, PPO – passive side of an opening trade
- Post-open: PAP – active side of a trade, PPP – passive side of a trade
Orders and Trades
Orders can be entered as:
- Good Til Date (expire 10 minutes after the market close* on a specified day);
- Good Til Cancel (expire 10 minutes after the close*, 90 calendar days from entry);
- Fill Or Kill (FOK) orders that either immediately receive a complete fill or expire (note: FOK mixed lot and odd lot orders are not accepted.)
- Immediate or Cancel (IOC) orders that either immediately receive a full or partial fill, or expire.
*10 minutes after the market close means 4:10 PM on CSE listed securities, and 5:10 PM on other listed securities.
This option allows the dealer to have orders and trades appear as generic broker #01 on all public displays. An order cannot be CFO’d (Change Former Order) to add or remove the Anonymous tag. The order must be CXL’d (cancelled) and re-entered.
Order Number Format
Order number format is as follows: B (for Buy) or S (for Sell), followed by date, and order number. Order numbers are unique.
Cancel on Disconnect
Cancel on Disconnect is a feature available on the CSE trading system. At the time an order is submitted, clients using the FIX protocol may elect to flag the order with a tag indicating it is to be cancelled immediately, should an unanticipated disconnection occur on the FIX session between the client and the CSE.
- Non-client "NC”
- Inventory "IN”
- Client "CL”
- Equities Specialist 'ST”
- Options Market Maker "OT”
- Options Firm "OF”
- Montreal Exchange "MP”
Other Order Types & Identifiers
The CSE supports: Program trades, basket trades, jitney orders, Wash Trade tag, Principal Trade tag, Regulation ID tags (“IA” Insider Account; “SS” Significant Shareholder), Normal Course Issuer Bid (NCIB) marker tag, Customer Type, Short Sale, Short Marking Exempt (SME) and Smart Order Router Identifiers (SOR).
Market Orders & Limit Orders
A market order to buy or sell is to be executed immediately at the best bid or best offer price, and any remaining volume of a market order will book at the price protection of 50 ticks off the first traded price. Limit orders have a specified price and may be filled at a better price than the limit and will book any remaining volume at the limit price on the order to a maximum of 50 ticks off the first traded price.
Bid/Ask Limit Order Limit (price protection)
Price protection of 50 ticks from the first trade exists on the CSE. Better priced limit orders will trade up to 50 price ticks and book any remaining volume at this Bid/Ask or the Limit Price. This provides price protection. Ticks are assigned according to UMIR at either $0.005 or $0.01, based on price.
Short Sale Orders
Following UMIR changes, there are no price restrictions on short sale orders and will be able to trade down to their limit price and establish a last sale price on a down tick.
- Short sale order will no longer be required to trade on an up or an even tick.
- Short sale crosses will no longer have price tick restrictions and will follow regular cross rules.
- Short sale market orders will now be accepted in the pre-open session.
Short-Exempt Orders- No Longer Applicable
This order type has become redundant with the new changes to the short sale rules and the tag removed; any orders marked as short exempt will be rejected.
Short Marking Exempt Orders
To satisfy the UMIR rule amendments regarding short sales and failed trades, a new short marking exempt tag has been added.
Undisclosed Volume (Icebergs)
An undisclosed volume order is an order that books with a defined-size displayed portion and the remainder hidden, and as the displayed portion is executed it is replenished until filled.
A minimum of 1 board lot must be displayed and only the disclosed volume will have priority at the given price level. The disclosed volume must be at least 1 board lot, or 0.1% of the quantity of the undisclosed volume order, whichever is higher. For example: The stock price is $1.12 and the undisclosed volume is 1,000,000. The minimum disclosed portion is 1,000.
If there are multiple undisclosed volume orders, they trade their disclosed volume on a rotation basis until the incoming order is satisfied.
Undisclosed volume orders that become mixed lot orders due to board lot changes overnight will be cancelled (both the board lot portion and odd lot portion).
By-pass orders are Immediate or Cancel that fill against visible volumes, with the following attributes.
They are tradeable against:
- Only visible/disclosed volumes; and
- Board lot and odd lot volumes.
They are not tradeable against:
- Opening orders;
- Undisclosed portions of iceberg orders; and
- Special terms orders.
- Execute in a transparent manner;
- Any part of the OrderQty balance not filled immediately is killed/cancelled;
- Resulting trades are eligible to set the Last Sale price;
- Marker can be used with board lot; mixed lot and odd lot orders;and
- Form part of public information on the Broadcast Feed, Level 2, STAMP and FIX
GMF & Odd Lot Auto Trading Facility (GMF)
The Guaranteed Minimum Fill (GMF) facility provides automatic one price fills to regular client marked orders that include the GMF - Eligible tag set to Y, by the designated Market Maker for the stock up to the set GMF amount for that security at the current displayed market price. This facility is available for odd lot, mixed lot and board lot orders.
- The orders in the book are eligible for fills before the designated Market Maker responsible for the stock auto trades with the incoming client order up to the fill amount set for the stock.
- Undisclosed orders are not eligible for fills through the GMF auto trading facility.
- Previously booked GMF eligible orders that are being amended are not eligible for fills through the GMF auto trading facility.
- Anonymous marked orders are not eligible for fills through the GMF auto trading facility
- Each GMF eligible order entered before the One Price Opening that remains unfilled after the opening will trade against the Market Maker at the opening price if the order price is better than or equal to the opening price.
- At the opening, odd lot and odd lot portion of mixed lot orders that are equal to or better than the COP will autotrade with Market Maker at the opening price.
The CSE supports all cross types, except for the STS specialty cross type, that are allowed under UMIR: unintentional, intentional, internal and specialty-priced. See section on Crosses.
There are Unintentional Cross, Intentional Cross, Internal Cross and Specialty Priced Cross.
The system will search first for offsetting orders from the same dealer at a given price before trading with other orders in the book.
May be executed at or between the bid/ask in accordance with UMIR. Crosses are subject to cross interference by orders in the continuous book from the executing CSE Dealer. Intentional crosses will appear as passive on both sides in the Exchange Admin Field, but will be billed as crosses according to the fee schedule.
An intentional cross at or between the bid/ask and between two client accounts of a Participating Organization which are managed by a single firm acting as a portfolio manager with discretionary authority. Internal crosses are not subject to interference from the continuous book. They will appear as passive on both sides in the Exchange Admin Field, but will be billed as crosses according to the fee schedule.
Specialty Priced Crosses
The CSE supports the following specialty priced crosses, which are not subject to cross interference: Basis, VWAP, Contingent and Designated (By-pass Cross).
Designated (By-Pass) Cross Trades
- Marker can be used with board lot; mixed lot and odd lot crosses.
- Report trade using appropriate marker (Designated Cross).
- Will not permit interference from better priced orders or same priced orders.
- Can be printed outside current bid/ask.
- Prints regardless of NLTP or last sale price.
- Does not (unlike trades resulting from the By-Pass order) set the Last Sale.
Basis Cross, VWAP Cross and Contingent Cross
- All three types are available in the regular session.
- Must be marked and the trade reported using appropriate marker (basis cross, VWAP cross or contingent cross).
- Basis and VWAP crosses will not set last sale price
- All three types of Specialty Priced crosses are printed to two decimal places.
- Basis and VWAP crosses may be printed outside the quote (subject to regulatory restrictions).
Special Terms Orders
Special Settlement Terms
- The CSE supports the following Settlement terms: CASH, CASH Today, Delayed Delivery, Non-net, Non-resident.
- Settlement terms orders will match and trade with each other when the terms on the orders match.
- Settlement terms do not trade by Item #.
Odd Lot Orders
- Considered Special Terms trades, in accordance with UMIR.
- Trade any part and can match outside the board bid/ask.
- Trade by price/time priority.
- Trade only with other odd lots or can also trade with the market maker for stocks that are enabled with GMF.
- For securities that are enabled GMF, odd lot orders will be auto traded at the CSE bid/ask with the designated market maker responsible for the security if they cannot be filled by odd lots in the book at or better than the bid/ask board lot market.
- Will not affect the Last Sale Price.
- Regular odd lot orders are included in the 50 tick bid/ask protection limit. The price tick protection parameters are set off the first trade of market orders and better price limit orders.
- Are not subject to freeze parameters.
- Active odd lot orders will be protected by trading or booking at their limit price up to the freeze parameter limit as specified on the security. This protection is in effect in continuous trading.
- Can have all the regular attributes of board lots (e.g. Anonymous, Short, NCIB etc.).
- Can be any duration except for FOK.
Trade Cancellation and Correction Policy
The section outlines the trade cancellation and trade amendments policies for the CSE. Dealers may request trades be cancelled because of wash trading, dealer errors, system errors, suspected violations of the Guaranteed Fill requirements, or as a result of a ruling by the market regulator (IIROC). Generally, unless directed by IIROC, cancellations or corrections will only be done with the consent of both parties.
An unintended wash trade can be cancelled at the sole request of the dealer. The CSE offers four options for a dealer to avoid wash trading but wash trades can still occur.
- Cancel Oldest - This feature will prevent an incoming order from executing against a passive order from the same broker by cancelling the booked order.
- Cancel Newest - This feature will prevent two orders from the same firm to trade against each other by means of an order cancel.
- Reprice - This feature will prevent two orders from the same firm to trade against each other by means of an order reprice.
- Suppress Trade from Tape - Clients will have the option to receive fills for both orders without having a trade be reported to the public feed.
Due to a manual entry error or dealer system error dealers may request a trade cancellation or correction. In the event of a dealer error a trade can be cancelled or corrected if both parties agree to the cancellation or correction. Market Operations will work with both sides of the trade and determine the best course of action that will satisfy both parties. If a resolution cannot be accommodated the trader can report the issue to IIROC for evaluation. If IIROC determines a trade cancellation or correction is deemed required the CSE can cancel or correct the trade. If a resolution is not found through IIROC or between the two parties the trade stands and cannot be cancelled or corrected.
System errors can occur and in the event of the system error by the CSE's matching engine dealers can request a trade cancellation or correction. In the event of a system error Market Operations will work with both parties of the trade to determine if a trade can be cancelled or corrected. If the parties don't agree on the corrective action Market Operations may request IIROC to determine if the trade can be cancelled or corrected. In the event that a resolution is not found then the trade stands and cannot be cancelled or corrected.
Market Regulation Enforcement
In order to maintain an orderly market IIROC may require a Trade Cancellation or Price Correction. Trades will be amended or cancelled upon receipt of the details of the trade cancellation or correction.
IIROC is responsible for determining whether a trade price is unreasonable and, with the exception of odd lot trades, no trade will be cancelled for an unreasonable price without direction from IIROC .
Market Maker Request
Pursuant to Rule 4-107 (2), automatic fills triggered by the Guaranteed Fill Facility that are in violation of the eligibility requirements above may be cancelled at the request of the Market Maker. The Exchange may cancel or amend any trades deemed to be an improper use of the Guaranteed Fill Facility.
Routine monitoring of orders and trades on the Exchange can generate alerts that may indicate a violation of the Trading Rules of the Exchange. Specifically, Rule 4-107 (1) sets out the eligibility requirements for the Guaranteed Fill Facility. An account that is properly identified as a "Short Marking Exempt" account would not be eligible for a fill, therefore a fill generated for an order marked as eligible (GMF=Y) from a SME account would be a violation of the Rule, and be subject to cancellation at the Market Maker's request. Violations may result in enforcement action.