Notice of Proposed Changes - Chi-X Canada ATS Limited

 
Chi-X Canada ATS Limited (“Chi-X”) has announced its plans to implement the changes described below on February 2, 2010. It is publishing this Notice of Proposed Changes in accordance with the requirements set out in OSC Staff Notice 21-703 (October 9, 2009) 32 OSCB 8007.

Sweep and Cross Order

Description of Proposed Changes and Reasons for Changes

The Sweep and Cross Order is being introduced to facilitate customers trying to execute an intentional cross. This order type will facilitate an intentional cross by displacing any better priced orders on protected markets. Chi-X will route immediate or cancel orders (“IOC’s”) to all protected markets that contain displayed prices that are better than the customer’s limit price. The IOC’s will be sent to all markets simultaneously and carry the bypass marker. Once Chi-X has attempted to execute against all better prices on the protected markets, it will send a “cross” order to the Chi-X books.

Impact of the Changes

The automation of a process generally done manually by brokerage firms in Canada will result in efficiencies and less errors when customers are executing a cross.

Consultations

The introduction of this order type is being made in response to several customer requests.

Consideration of Alternatives

No other alternatives were considered.

Existence of Proposed Change in the Market

No other marketplace in Canada currently offers this type of order.

Post Only Order

Description of Proposed Changes and Reasons for Changes

The Post Only Order will replace the Liquidity Provision Order that Chi-X currently offers to customers. Chi-X will offer its subscribers the option of designating an order as liquidity providing only. An order marked as Post Only will post on Chi-X if it will add liquidity otherwise it will be passively re-priced one tick increment and booked. The Post Only order will not interact with hidden liquidity. The change is that if a Post Only Order is immediately executable and therefore would immediately remove liquidity, the order will be re-priced one tick increment rather than being cancelled which is presently the case with the immediately executable Liquidity Provision Order.

Impact of the Changes

This type of order is used by clients trying to avoid the increased costs associated with removing liquidity. Re-pricing the orders rather than rejecting the order is expected to increase the efficiency and usage of this order type.

Consultations

The introduction of this order type is being made in response to several customer requests.

Consideration of Alternatives

No other alternatives were considered.

Existence of Proposed Change in the Market

At present, at least one other marketplace in Canada offers a “Post Only” order type with orders immediately executable being rejected. Only Chi-X Canada ATS Limited offers the capability for this order type being re-priced to avoid just being rejected in the Canadian marketplace.