SUMMARY COMPARISON OF CURRENT EQUITY MARKETPLACES

Transcription

1 SUMMARY COMPARISON OF CURRENT EQUITY MARKETPLACES The following tables contain summary information on each of the marketplaces that have retained RS to act as a regulation services provider. The information provided reflects the basic features of each marketplace and the order types, markers and designations that are supported as of February 20, Proposals which remain subject to change prior to implementation are set out in shaded text and the disclosure is based on intentions as of February 20, This summary is not meant to be comprehensive of all facilities and features offered by a particular marketplace. Reference should be made to the rules and policies of the marketplace or to material provided by each marketplace for a more detailed description of their operations. Table 1 Basic Features of Current Equity s BlockBook Fully-automated order matching and trade execution based on price/time priority. Limit orders only entry permitted from 6:00 a.m. If matching orders are present at Opening, executions occur at a Calculated Match Price (that maximizes the volume trading on the opening, subject to the constraints of the limit price). s are evaluated continuously with priority given first to price and second to time, subject to limit price, time in force, minimum fill and lot size constraints. Following a match in the Continuous Auction Mode and a stability period of 30 seconds during which no additional trades in that security occur, the system moves to the Follow-On Auction Mode for that security only. In the Follow-On Auction Mode, the continuous match is suspended while orders to trade at the last sale price are accumulated for a period of 120 seconds at the end of which orders are matched pro-rata with priority given to orders of parties participating in the trade initiating the Follow-On Auction. Minimum lot size of 100 units of a security. s in the Continuous Auction Mode are subject to a minimum order size of 10,000 units of a security, depending on the security. s in the Follow-on Auction Mode have no minimum order size. (excluding warrants and rights and debentures). to institutional investors or registered dealers who meet the subscriber requirements. No pre-trade the volume, price or side of specific orders. s are fully All subscribers are provided certain information on orders by means of signalling features that indicate the presence of orders and price ranges. executions (price, time and volume) disseminated electronically in real-time through TSXDatalinx (but is not consolidated in TSX data products). Also currently available on a Reuters web-based page and Pfin.ca website. Trades are fully 8:30 a.m. to 5:00 p.m As contemplated by sections 7.1 and 7.3 of National Instrument Operation. As contemplated by sections 7.2 and 7.4 of National Instrument Operation. All times given are local Toronto time. Summary Comparison of Canadian Equity s current as of February 20, 2008

2 Table 1 Basic Features of Current Equity s Bloomberg TradeBook and Operates as an order router routing orders by affiliates for execution various foreign to organized r egulated markets in forty countries and to exchange- marketplaces in Canada. traded. to institutional investors. Not Applicable. Not Applicable. for Canadian equities. Chi-X Canada ATS Limited (Chi-X) Continuous auction market based on price and time priority. Customer orders protected from trade-through and improper short sales by automatic re-pricing" mechanism. All TSX-liste (denominated in Canadian Dollars). Registered investment dealers. Full pre-trade disseminated electronically through third-party data vendors and via a direct feed to subscribers. s are fully volume) disseminated electronically through third-party data vendors and via a direct feed to subscribers. Trades are fully 8:30 a.m. to 5:00 p.m. CNQ - Listed Market Auction market based on price and time priority. Minimum order size in Regular Book of one board lot. traded on Pure Trading). entry permitted from 8:00 a.m. Opening at a Calculated Market-making system applicable to Regular Book. Separate book for Special Terms s. All CNQ-listed (excludes Registered dealers that have been accepted as a CNQ Dealer. Full pre-trade entered in the Regular Book and Special Terms Book. A portion of volume may be hidden ( iceberg order ). data disseminated in real-time various information Regular Book and Special Terms Book. various information Summary Comparison of Canadian Equity s - current as of February 20,

3 Table 1 Basic Features of Current Equity s CNQ - Pure Trading Continuous auction market launched September 14, Cross-printing facility provides services for the supported in the continuous auction market. Auction market based on price and time priority (subject to priority to crosses between orders from the same Participating Organization). Minimum order size in Regular Book of one board lot. entry permitted from 7:00 a.m. Opening at a Calculated Rules permit trading of all TSX and TSXV. All TSX-listed trading in continuous market. CNQ Dealers. Full pre-trade entered in the Regular Book and Special Terms Book. A portion of volume may be hidden ( iceberg order ). Public identification of Participant entering the order is optional. data disseminated in real-time electronically to various information Regular Book and Special Terms Book. to various information Continuous auction market operates 9:00 a.m. to 5:00 p.m. with a 7:00 a.m. preopen session. Separate book for Special Terms s. Short sales permitted at price of most recent trade on TSX/Pure. Liquidnet Canada Persons with access may negotiate orders for Canadian-listed in Canadian funds. Subscribers transmit indications of liquidity to the system. Where there is an indication match, matching subscribers begin a one-to-one electronic negotiation, which may result in a trade. Also operates as an order router routing orders for execution to organized regulated markets operated outside of Canada by its affiliates. All TSX- and TSXV- listed (for matching) and various foreign exchangetraded (for order routing). Subscriber s limited No pre-trade to institutional the volume or price of specific investors. orders, however subscribers are informed if another subscriber has a matching indication of liquidity. executions of TSX and TSXV -listed in Canadian funds (price and volume) disseminated electronically through a web-based page provided by Reuters. Trades are fully 2:30 a.m. to 5:00 p.m. Not Applicable when acting as an order router. Summary Comparison of Canadian Equity s - current as of February 20,

4 Table 1 Basic Features of Current Equity s MATCH Now A mix of Call Market and continuous market features involving passive liquidity-providing orders ( LP orders ) or active liquiditytaking orders ( Marketflow orders ). Marketflow orders match with LP orders on a continuous basis. LP orders match with one another every 30 seconds. LP orders save 80% of the NBBO spread when matched with a Marketflow order and 50% of the NBBO spread when matched with another LP order. Marketflow orders save 20% of the NBBO spread up to $0.01 when matched with an LP order. Any portion of a Marketflow order not filled will be routed by a subscriber s Vendor to the marketplace specified by the subscriber at the time of the entry of the Marketflow order.. to registered Canadian dealers. No pre-trade the volume or price of orders. However, a subscriber s access vendor will receive symbol and side information on orders in MATCH Now on an aggregate basis, for use in smart order routing. Encrypted direct broadcast feed available to subscribers and access executions (participant, price and volume). disseminated in real-time and electronically through TSX Datalinx to various information Public identification of participants is optional. Omega ATS (except USD Auction market based on price and time priority and debentures) 5 entry not permitted until 9:30 a.m. at which time trading ion. 4 Currently 123 commences immediately without the need of an opening auct s may be marked Post Only which ensures the orders will only provide liquidity to, and not take liquidity from the book. inter-listed trading in continuous market. to registered Canadian dealers. Full pre-trade entered in the Book. data disseminated in real-time electronically through DTN. s are fully executions (price volume) and disseminated in real-time electronically through DTN Trades are fully 4 5 Omega ATS supports Day s only, no Good-Till-Cancelled s. Omega ATS will initially only support trading in those which qualify for the RS exemption from the restriction on the price of a short sale pursuant to Rule 3.1 of UMIR, for example those interlisted with an exchange in the United States. Omega ATS will initially not support the short sale marker. Summary Comparison of Canadian Equity s - current as of February 20,

5 Table 1 Basic Features of Current Equity s Toronto Stock Exchange (TSX) Auction market based on price and time priority (subject to priority to crosses between orders from the same Participating Organization). Minimum order size in Regular Book of one board lot. entry permitted from 7:00 a.m. Opening at a Calculated Market-on-Close facility for certain. Special Trading Session for trades at closing price. Market-making system applicable to Regular Book. Separate book for Special Terms s. ATX is a non-transparent pre-trade matching facility that matches internal order flow against other in-house interest and forwards the match to the TSX trading system for execution. When the community matching feature is enabled on as yet unspecified future date, orders and intents will match with the intents of other market participants.. Registered dealers that have become a Participating Organization of the TSX. Full pre-trade entered in the Regular Book, Special Terms Book and Special Trading Session. A portion of volume may be hidden ( iceberg order ). Public identification of Participant entering the order is optional. data disseminated in real-time electronically various information No pre-trade orders entered in the Marketon-Close facility, other than the broadcast imbalance message at 3:40 p.m. and indicative calculated closing price at 3:50 p.m. Regular Book, Special Terms Book, Marketon-Close facility and Special Trading Session. various information Regular Session - Market-on- Close price set and trades printed - 4:00 to 4:10 p.m. Special Trading Session - 4:15 to 5:00 p.m. TSX Venture Exchange (TSXV) Auction market based on price and time priority (subject to priority to crosses between orders from the same Participating Organization). Minimum order size in Regular Book of one board lot. entry permitted from 7:00 a.m. Opening at a Calculated Separate book for Special Terms s. All TSXV-listed. Registered dealers that have become a Participating Organization or Member of the TSXV. Full pre-trade entered in the Regular Book and Special Terms Book. A portion of volume may be hidden ( iceberg order ). Public identification of Participant entering the order is optional. data disseminated in real-time various information Regular Book and Special Terms Book. various information Summary Comparison of Canadian Equity s - current as of February 20,

6 Table 2 - Provisions for Markers and Designations Identifiers 1 Markers Participant Person Jitney Dealer- Sponsored 2 Intentional Cross Internal Cross Short Sale Short Exempt Non- Client Principal Jitney Derivatives Market Maker Insider Significant Shareholder BlockBook χ Χ Bloomberg Tradebook Χ χ Χ χ Χ χ χ χ χ χ Χ Chi-X Χ χ Χ CNQ - Listed Market Χ Χ Χ Χ χ χ CNQ - Pure Trading 3 Χ Liquidnet Canada Χ Χ Χ Χ Χ Χ Χ Χ Χ Χ Χ Χ Χ MATCH Now 3 Χ χ 4 Χ 4 χ Omega ATS X X X X 5 Toronto Stock Exchange 3 Χ TSX Venture Exchange 3 χ 6 6 χ Χ Table Legend: Marker permitted on all order types Marker permitted on some order types χ Marker not permitted on any order types Identifiers which are supported by a marketplace need not be displayed in order or trade information that is publicly disseminated. Identifiers are always displayed to RS. The model of the marketplace will determine whether identifiers are displayed publicly. Currently, no marketplace displays the jitney or direct market access identifier publicly. In addition, Bloomberg Tradebook, BlockBook, Liquidnet and ICX are fully anonymous and do not publicly provide pre-trade or post-trade the identifiers of the parties. MATCH Now does not provide pre-trade orders. Please see Table 1 for further details. As defined in Market Integrity Notice Guidance - Compliance for Dealer-Sponsored Trading (April 20, 2007). An order may be entered as anonymous (though the identifier of the Participant will be displayed to RS). MATCH Now does not accept crosses. However, Liquidity Providing s may be marked internalize and will only trade with Marketflow s from the same Participant. Omega ATS will initially only support trading in those which qualify for the RS exemption from the restriction on the price of a short sale pursuant to Rule 3.1 of UMIR, for example those inter-listed with an exchange in the United States. Omega ATS will initially not support the short sale marker. Not available on Special Terms s. Not available on Special Terms s or Must-be-Filled (MBF). Summary Comparison of Canadian Equity s - current as of February 20,

7 Table 3 - Provisions for Types 1 Basis Call Market Closing Price Opening Marketon-Close Program Trade Volume- Weighted Average Price On-Stop All-or- None Contingent 2 Special Terms s Lots Of Minimum Fill Settlement Terms BlockBook Χ Χ Χ Χ Χ Χ Χ Χ Χ Χ Bloomberg Tradebook χ χ χ χ χ χ χ χ χ χ χ χ Chi-X Χ χ χ χ χ χ χ Χ χ 3 CNQ - Listed Market χ χ χ χ χ χ CNQ - Pure Trading 4 χ Χ Χ 5 6 χ 7 χ χ Liquidnet Canada Χ χ χ Χ χ χ χ χ Χ χ Χ χ χ MATCH Now Χ Χ Χ Χ Χ Χ Χ Χ 8 χ χ Omega ATS Χ Χ Χ Χ Χ Χ Χ Χ Χ Χ Χ Χ Toronto Stock Exchange χ 9 5 TSX Venture Exchange χ χ χ χ χ χ 5 χ Table Legend: type supported type supported in certain cases χ type not supported The listed order types are defined by UMIR based on whether an order meets certain conditions. s may support the order type even though the marketplace does not describe the order using the UMIR definition. For example, orders entered in the pre-opening session on the TSX will meet the definition of an Opening as the order has been entered prior to the opening of trading on that marketplace for the purpose of calculating and executing at the opening price on the TSX. For example, Peg, Fill-or-Kill, Immediate-or-Cancelled orders and/or Iceberg orders, as may be available on the marketplace. Will not support orders with special settlement terms. In the event special settlement required due to de-listing, ICX will modify settlement. Basis trades accepted at prices at UMIR standard trading increments only. VWAP trades accepted at prices at UMIR standard trading increments only. If triggered, the order is entered as a limit order at the trigger price. Fill-or-Kill orders entered through STAMP accepted. Fill-or-Kill orders entered through FIX rejected unless marked Immediate-or-Cancelled. All Marketflow orders are, by default, Fill-or-Kill orders. s are executed in the Special Trading Session from 4:15 to 5:00 p.m. Summary Comparison of Canadian Equity s - current as of February 20,