We would like to remind traders, once again, that the TMX Market will introduce changes to its Market On Close (MOC) facility effective Monday, October 18, 2021. The new proposes will have the following three (3) high-level changes:
1. Enhanced transparency – MOC Imbalance notification message will have six (6) new fields of content and will be published every ten (10) seconds from the beginning of the Imbalance Period until the close (3:50 P.M. to 4:00 P.M.). PPro8 will initially offer Reference Price, Imbalance Volume and Imbalance Side data in our Imbalance Locator tools. The rest of the six (6) new fields will be available in the future version of Ppro8. We will send a new communication once they are available.
TSX MOC – Enhanced Transparency Changes
Current Behaviour
New Behaviour
Ppro8 Availability
Imbalance Messages Times
>Single imbalance message at start of MOC Imbalance Period (3:40 P.M.)
Imbalance message sent at set time intervals from the start of the MOC Imbalance Period (3:50 P.M.) to the close (4:00 P.M.)
Available on day-one (October 18, 2021)
Imbalance Message Fields
Four (4) existing fields:
Symbol
Reference Price
Imbalance Side
Imbalance Volume
Added six (6) fields in addition to existing:
Paired Volume
Market Order Imbalance Volume
Market Order Imbalance Side
Near Indicative Closing Price
Far Indicative Closing Price
Price Variation (in addition to the four (4) existing ones)
The four (4) existing fields will be available on day-one (October 18, 2021)
The six (6) new fields will be available on the next Ppro8 client to be released before the end of the year
2. Newly defined MOC Imbalance period to align with global standards–The MOC Imbalance period will now start at 3:50 P.M. (instead of 3:40 P.M. and will accept MOC and LOC orders with no side, price or volume restrictions. MOC or LOC orders cannot be cancelled.
TSX MOC – Imbalance Period Changes
Current Behaviour
New Behaviour
Ppro8 Availability
Start Time
MOC Imbalance Period starts at 3:40 P.M.
MOC Imbalance Period start at 3:50 P.M.
Available on day-one (October 18, 2021)
MOC Orders
No MOC orders allowed.
New MOC orders are allowed. No MOC order cancels or modifications permitted.
Available on day-one (October 18, 2021)
LOC Orders
LOC orders need to be on the opposite side, less than size of imbalance and limit price at or within the PME % or five (5) ticks of the Last Sale Price. No LOC order cancels or modifications contributing to imbalance.
New LOC orders permitted with no restrictions. No LOC order cancels permitted.
Available on day-one (October 18, 2021)
3. Introduction of a MOC Freeze market state to mitigate volatility–The new MOC Freeze market state will start at a randomized time between 3:56 P.M.–3:57 P.M., and LOC order limit prices are automatically repriced to be no more aggressive than the MOC Reference Price (“Pegged LOC” orders). Orders can not be cancelled or modified.
Ppro8: Our LOC order send between 3:56 P.M.-3:57 P.M. will be treated as the “Pegged LOC” order at the market.
TSX MOC – Freeze Period
Current Behaviour
New Behaviour
Ppro8 Availability
Freeze Period Behaviour
No MOC Freeze Period.
MOC Freeze Period prior to close with a randomized start time as determined by TSX. New Pegged LOC orders allowed, will re-price to Reference Price before close if more aggressive for purposes of calculating the calculated closing price. At close of the MOC Freeze Period, Pegged LOC orders will be repriced to the closing reference price if more aggressive. No cancels or modifications allowed.
Available on day-one (October 18, 2021)
Note: MOC and LOC orders can be entered from the time the market opens until 3:49:59 P.M., and will be allowed to be cancelled or modified. After 3:50 P.M., new MOC and LOC orders can be entered but can NOT be cancelled or modified.
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