Dear Manager,
We would like to remind traders of the big opportunities on Canadian dark pools. The volume traded through dark venues is increasing constantly, making these venues highly lucrative—especially for passive order flow.
Contents
Aequitas NEO-D
Pegged/Limit/Market Orders that will access the Aequitas NEO-D book. All trading will occur at the midpoint price of the NBBO. Use TIF Day to send a passive order (TIF IOC + aggressive price to send an active order).
Just a few of the many advantages of trading on NEO-D:
- There are many, many opportunities for fills on active names where the spread is greater than 1 penny
- All trading happens at the midpoint of the NBBO
- Traders can take advantage of the fee structure—free or rebate for aggressive (remove liquidity) order types
You can send orders to NEO-D by selecting the destination Aequitas NEO-D in PPro8.
Highlights
| Active (IOC) | Passive (Midpoint) | |
| Order Type | Limit, Market, Midpoint | Midpoint |
| Matching Priorities | Price – Broker Preference – Neo Trader – Size/Time | |
| Matching | Immediate upon entry (between 9:30 AM and 4:00 PM) | Immediate upon entry, or after each NBBO recalculation (between 9:30 AM and 4:00 PM) |
| Order Submission | 9:30 AM to 4:00 PM | 8:00 AM to 4:00 PM |
Fees
Effective Wednesday, September 1, 2021, the NEO Exchange changed their fees, as follows:
| Gateway | Liquidity Flags | Description | Current Fee | New Fee |
| AEQN | N/A | Aequitas Lit book Opening and Closing Call trades | 0.0005 | 0.001 |
| AEQN | N or 1 | Add liquidity on Aequitas Lit book – ETF | -0.001 | -0.0012 |
| AEQN | Y or 2 | Remove liquidity on Aequitas Lit book – ETF | 0.0014 | 0.0016 |
| AEQN | N or 1 | Add liquidity on Aequitas Neo book – ETF | 0.0023 | 0.0014 |
| AEQN | Y or 2 | Remove liquidity on Aequitas Neo book – ETF | -0.002 | -0.0011 |
| AEQN | N or 1 | Add liquidity on Aequitas Neo book – Sub Dollar | 0.0005 | 0.0007 |
| AEQN | Y or 2 | Remove liquidity on Aequitas Neo – Sub Dollar | -0.0003 | -0.0005 |
NEO-D creates a truly differentiated dark marketplace that offers options for all types of traders while continuing to provide an enhanced trading experience for natural investors.
MATCHNow
MATCHNow offers different ways to access liquidity:
- LP At the Quote: Limit or Market orders will be treated as “Passive” orders and will be sent to the full price. This destination is exclusive for “Large” order sizes; only orders of at least 51 board lots/standard trading units (for stocks greater than $1.00, this is 5,100 shares) will be accepted.
- LP Midpoint Only: Limit or Market orders will be treated as “Passive” orders and will be defaulted to midpoint price improvement on the MATCHNow dark book.
- MF Trade All: Limit or Market orders will be treated as “Active” orders and will be defaulted to remove all available dark liquidity. First level removal will sweep through midpoint resting orders. Second level will take out minimal price improved orders. Finally, active ETF orders that qualify as large will take out resting CBBO liquidity.
- MF Midpoint Only: Limit or Market orders will be treated as “Active” orders and will be defaulted to remove all available dark liquidity at the midpoint.
What is MATCHNow Dark Pool
MATCH Now is the first Canadian marketplace to offer price-improved execution for institutional, proprietary, and retail order flow, all in one place. It connects broker-dealers and their clients to a diverse liquidity pool within a confidential, broker-neutral marketplace.
MATCH Now is a non-quoting marketplace where order information is not visible to other traders. A proprietary algorithm automatically matches buy and sell orders.
Designed to offer better execution for institutional, proprietary and retail order flow, MATCH Now combines frequent call matches and continuous execution opportunities in a fully confidential trading book.
Other Dark Pools
Nasdaq CXD
Limit, Market, and Pegged orders that will reach the Nasdaq CXD dark pool.
Nighthawk
Limit and Market orders that reach the Nighthawk dark liquidity aggregation algorithm.
TSX Dark
Limit and Pegged orders that access TSX Dark liquidity. Day Trade The World™ released the following new peg order types for the TSX Dark destination.
- Dark MidPoint – Orders will peg to the Mid-point of Protected NBBO. The order automatically adjusts the pegged value as the quote moves over time, but it will not execute when the mid-point exceeds the stated limit.
- Dark Market – Orders will peg to the opposite-side Protected NBBO. The order automatically adjusts the pegged value as the quote moves over time, up/down to the stated limit.
- Dark Primary – Orders will peg to the same-side Protected NBBO. The order automatically adjusts the pegged value as the quote moves over time, up/down to the stated limit.
- Dark MPI – Similar to a Primary Peg with a one-tick aggressive offset, except that it will book at a same-side NBBO where the pegged value would otherwise be at the midpoint. The order automatically adjusts the pegged value as the quote moves over time, up/down to the stated limit.
CSE Dark
- CSE Pegged: Peg orders on the CSE are dark orders that can trade with other Peg orders and with incoming displayed orders. The CSE has three types of peg orders: Primary, Midpoint, and Market Pegs, which trade between the NBBO, and if the spread of the NBBO is one tick then they can trade at the half tick (with support for four decimal places for stocks trading under $0.495). Primary, Midpoint, and Market peg orders will not trade in a locked or crossed market.
- CSE Pegged Post Only: orders marked as “Post Only” will be prevented from trading against other opposing pegged orders already on the book.
- CSE Dark SDL: Seek Dark Liquidity orders are active IOC orders that will trade against dark resting orders.
Let us know if you have any questions or comments by creating a mojo.
With thanks,
Communications Team
*Remember to visit our PPro8 Wiki and Knowledge Base to learn more.
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