Industry

PDF Version
PDF Version

REQUEST FOR COMMENTS
IMPLEMENTATION OF A PRE-TRADE MATCHING FACILITY
ALTERNATIVE TRADE EXECUTION

The Board of Directors of TSX Inc. ("TSX") has approved amendments ("Amendments") to the Rules of the Toronto Stock Exchange ("TSX Rules"). The Amendments provide for an additional rule set and definitions to govern the operations of a pre-trade matching facility within the Toronto Stock Exchange, referred to as the Alternative Trade eXecution ("ATX").

The text of the Amendments is attached. The Amendments will be effective upon approval by the Ontario Securities Commission ("Commission") following public notice and comment. Comments on the proposed Amendments should be in writing and delivered within 30 days of the date of this notice to:

Amer Chaudhry
Legal Counsel
TSX Group Inc.
The Exchange Tower
130 King Street West, 3rd Floor
Toronto, Ontario M5X 1J2
Fax: (416) 947-4461
e-mail: amer.chaudhry@tsx.com

A copy should also be provided to:

Cindy Petlock
Manager, Market Regulation
Capital Markets Branch
Ontario Securities Commission
Suite 1903, Box 55
20 Queen Street West
Toronto, Ontario M5H 3S8
Fax: (416) 595-8940
e-mail: cpetlock@osc.gov.on.ca

Terms not defined in this Request for Comments are defined in the TSX Rules.

1.0 OVERVIEW

1.1 ATX will be a subscription-based trading facility of the Toronto Stock Exchange ("Exchange") designed to match subscriber order flow against in-house interests as well as the interests of other subscribers in a blind electronic book ("Central Intent Book" or "CIB"). Each of these interests is represented by an intent ("Intent") that constitutes a willingness of an ATX subscriber to buy or sell a security if certain conditions are met in the market. Orders and Intents that are matched on ATX will be sent to the trading engine of the Exchange for trade execution at an improved price from the posted best bid/offer. The introduction of ATX will provide market participants with an additional facility to enter orders to trade securities, in addition to the Exchange's existing trading facilities.

1.2 ATX is intended to consolidate multiple streams of liquidity from multiple trading desks within a Participating Organization ("PO"), other POs' trading desks and from the pooling of upstairs client interest (negotiated block trades agreed to off-Exchange). This consolidation and other ATX features are designed to deliver subscribers additional accessible liquidity, price improvement over the posted best bid/offer and lower execution costs. The primary utility of the ATX facility is to enable subscribers to process large blocks of demand and supply of a security in a cost efficient manner. Large blocks of demand and supply within ATX will have access to additional depth of liquidity at the top of book price. These large hidden blocks, once designated as Intents, may then be filled gradually by applying smaller orders of the subscriber's own ATX designated order flow, as well as the ATX designated order flow of all other subscribers. Such large blocks of Intents will be able to fill against smaller orders without causing any movement of the posted best bid/offer because the price matches in ATX are within the posted best bid/offer and Intents are not visible to the market. Also, Intents that represent large blocks of demand can interact with other Intents that are large blocks of supply to generate single ticket fills, thereby lowering execution costs.

2.0 DESCRIPTION OF THE PROPOSED ATX FACILITY

Provided below is a description of the proposed features of the ATX facility.

ATX Participants

2.1 All POs that subscribe to the ATX facility will be eligible to participate in ATX, and will be required to enter into a standard ATX subscriber agreement ("Subscriber Agreement") with the TSX. Also, POs may grant their eligible clients access to the ATX facility in accordance with TSX Rules 2-501, 2-502 and 2-503 and the respective policies (such subscribers and their eligible clients are collectively referred to as "ATX Participants").

Orders and Intents

2.2 Currently, a PO's order flows are entered on its trading terminals through user IDs ("User IDs") provided by the Exchange. POs that subscribe to the ATX facility will be able to designate which of their current User IDs will channel order flows to the ATX facility. This feature will allow subscribers the option (i) to direct orders through the ATX facility en route to the central limit order book of the Exchange, or (ii) direct orders to by-pass the ATX facility and flow directly to the central limit order book by assigning order flow to the appropriate User IDs.

2.3 Only ATX Participants may enter Intents to the ATX facility. Intents will be visible only to the user that entered the Intent and the designated trading administrator of the PO. Intents entered into the ATX facility are considered active Intents until they reach the Central Intent Book unmatched. Once such Intents enter the CIB they are considered to be passive Intents that reside in the CIB until a match is made or when such Intent is cancelled or expires.

2.4 Intents will include a specific limit price, which entails buying up to or selling down to the specified limit price of such Intents. Also, ATX Participants will be able to specify for each Intent entered in ATX, a minimum quote spread and minimum quote volume, as described below. These spread and volume parameters, along with the limit price, will indicate the conditions under which an Intent will match in the ATX facility. If the minimum quote spread or the minimum quote volume of the Intent is not satisfied, the Intent will remain in the Central Intent Book and will not match until the posted best bid/offer meets the desired conditions. Minimum quote spreads and volume targets will provide greater trading flexibility to enable ATX Participants to carry out their trading strategies.

2.5 A minimum quote spread is a spread value that is entered on an Intent that specifies a minimum quote spread that must be satisfied in order for an Intent to be eligible to match in ATX. A minimum quote spread is satisfied if the posted best bid/offer spread is greater than or equal to the spread on the Intent.

2.6 A minimum quote volume is a volume level that is entered on an Intent that specifies a minimum quote volume that must be satisfied in order for an Intent to be eligible to match in ATX. A minimum quote volume is satisfied if the aggregate volume of the posted best bid/offer, on the same side as the Intent, is greater than or equal to the Intent's specified minimum volume.

ATX Matching

2.7 ATX orders and active Intents will attempt to find matches with passive Intents in the CIB on a continuous basis during Exchange hours. Although ATX Intents can be entered during the pre-open session and the extended trading session, no matching will occur until the regular trading session opens and a posted best bid/offer is available. During the pre-open session and the extending trading session, Intents will be booked in the CIB but ATX orders will by-pass ATX en route to the Exchange.

2.8 ATX will hold passive Intents from multiple ATX subscribers in the CIB. The CIB and the Exchange's central limit order book will not interact with each other. Intents will not interact with the Exchange's central limit order book, and orders passing through the ATX facility that are not matched within the ATX facility will be booked in the central limit order book of the Exchange. Unlike the Exchange's central limit order book, the CIB will provide anonymity by not making Intents and the detail relating to such Intents visible to the market.

2.9 Orders designated for ATX will pass through the ATX facility in search of a match with passive Intents en route to the Exchange's central limit order book. Active Intents will likewise attempt to match with passive Intents before they become passive Intents. Orders can match with multiple Intents and Intents can match with multiple orders.

2.10 ATX orders and active Intents are queued in time priority by symbol and attempt to match with passive Intents in the CIB as they leave the queue. For this reason, an order will not interact with another order or active Intent, and active Intents will not interact with each other in ATX.

2.11 Based on their respective time priority, orders and active Intents will scan the CIB for potential partial or complete matches with passive Intents. When a full or partial match occurs, a match message will be sent to the Exchange for validation, and after such validation the match becomes a trade on the Exchange. Any unmatched order or residual volume thereof will not be booked in the CIB, but will proceed to the Exchange's central limit order book, and will interact within such book as any other non-ATX designated order. Any unmatched active Intent or residual volume thereof will proceed to the CIB and become a passive Intent. These passive Intents will no longer actively seek a match against other passive Intents. The passive Intent will continue to reside in the CIB until it (i) matches an ATX designated order or an active Intent, (ii) expires or (iii) is cancelled.

2.12 If a PO changes the conditions of a passive Intent, such changed passive Intent will be cancelled and replaced in the CIB. The change to an Intent will trigger a new match attempt against the passive orders in the CIB; in other words, the change will cause the passive Intent to act as an active Intent and seek a match before the existing passive Intent is replaced in the CIB.

2.13 For a match to occur within ATX, the specified limit price, the minimum quote spread and minimum quote volume of the Intent must be satisfied, as described above.

Multi-Tiered Priority

2.14 ATX applies a multi-tiered methodology to allocate ATX orders and active Intents to passive Intents in the CIB. The matching of ATX orders and Intents will occur in the following sequential manner: intra-dealer priority (internalization), volume priority, and then time priority.

(a) Intra-dealer Priority: When an order or active Intent is entered into the ATX facility, ATX will first try to generate a full or partial match within the PO's passive Intents. The matching of a PO's Intent or order flow, will be determined by its in-house priority allocation groups ("PAGs") for passive Intents. PAGs will be established by POs to optimize their intra-firm liquidity strategy. PAG assignments will be determined by the PO in accordance with Universal Market Integrity Rules ("UMIR"), and not by the Exchange or individual traders at the PO. Within a PO, ATX matches will be allocated sequentially according to PAG priority, and within each PAG priority matches will be allocated based on time priority. PAGs are intended to automate internal allocation methods currently used by POs. For example, a dealer may choose a sequential PAG priority that gives top priority to client accounts followed by the proprietary trading desk and then the registered trader's desk. In this example, passive Intents of PO clients would have the first opportunity to match with incoming ATX orders and active Intents of the same PO. Any residual (unmatched) volume in the active Intent or order would then attempt to match with the proprietary desk's passive Intents. Any further residual (unmatched) volume would then attempt to match with passive Intents from the registered trader's desk.

(b) Volume Priority: After the intra-dealer matching opportunities are exhausted, the ATX facility will attempt to match based on volume priority any unfilled orders and Intents with all other ATX Participants. This volume priority is achieved by meeting a specific volume threshold set by the Exchange. The Exchange, in consultation with potential subscribers, has determined that the initial volume requirement will be 5,000 shares. The Exchange may change this initial volume threshold, but will provide advance notice, in accordance with the Subscriber Agreement, to subscribers of such change. The volume threshold is intended to encourage subscribers to enter large blocks of demand and supply of securities as Intents on the ATX facility. If there are multiple Intents that meet or exceed the volume priority threshold then such Intents will match in time priority.

(c) Time Priority: In the final tier, unfilled orders and active Intents will attempt to match with passive Intents in strict time priority based on the CIB time stamp of passive Intents.

Orders that do not match in ATX, including orders with residual unmatched volume are sent immediately to the Exchange while unmatched Intents or Intents with residual volume remain in the CIB.

Price of Matches

2.15 All matches in ATX will occur at a price that improves on the posted best bid/offer. The amount of price improvement described below has been established by the TSX with input from potential subscribers. Subject to notifying all ATX subscribers in advance, TSX may, from time to time, change the amount of price improvement on ATX matches. This notification provision will be set out in the Subscriber Agreement.

2.16 The initial amount of price improvement to be provided by the ATX facility will depend on the type of match that has occurred.

2.17 When an order matches against a passive Intent in the CIB, a one-tick price improvement will be provided to the order side of the match. A sell order will be matched at a price that is one tick above the posted best bid, and a buy order will be matched at a price that is one tick below the posted best offer.

2.18 When an active Intent matches against a passive Intent, the match will be priced at the midpoint of the posted best bid/offer. This midpoint pricing shall provide equal price improvement to both sides of the match, except where the calculated midpoint price results in a tick increment less than one cent. In such cases, the midpoint match price shall be rounded to the next valid tick increment as set out in Rule 4-404 (minimum ticks), with the benefits of the rounding accruing to the passive Intent because it will have a higher time priority in the CIB.

Best Bid/Offer

2.19 TSX anticipates that other visible equity marketplaces that trade Exchange-listed securities will eventually operate in Canada. In this event, TSX intends to incorporate a posted best bid/offer within the ATX facility that reflects the best bid or best offer on the Exchange or any other significant visible equity marketplaces to facilitate regulatory requirements. Until such time, posted best bid/offer will refer to the Exchange's best bid/offer.

Match Execution and Attribution

2.20 All ATX matches are sent to the Exchange for execution. The ATX match becomes a trade only after the match is validated by the Exchange. If, after the ATX match and before execution occurs on the Exchange, the posted best bid/offer changes so that the match price is outside the posted best bid/offer, the Exchange will reject the match (Price Validation Feature). No trade will result from such match and a message will be sent by the Exchange to the applicable POs.

2.21 If the same subscriber to ATX is on both sides of the match and neither side of the match is designated as a "client" (CL) or "non-client" (NC) order or Intent, such a match will be executed on the Exchange but will not be eligible for distribution on any TSX outbound data feeds ("Off-Market Trade"). Also, the summary and historical data of the Exchange will not incorporate such Off-Market Trades.

2.22 Matches in ATX that are executed on the Exchange will be reported to the trading community via outbound data feeds, including the Toronto Broadcast Feed, and will be attributed to ATX. Also, ATX will feature the same attribution choices as the Exchange for orders; POs can choose to attribute an order to their firm or trade anonymously under broker number 01.

Messages

2.23 ATX will generate STAMP or FIX order entry response messages based on the protocol under which the order was entered.

2.24 ATX matches will generate match requests that will then be validated by the Exchange. Validated matches executed by the Exchange will become trades. Trade reports will be generated for such trades and disseminated in the same manner as other trade reports occurring on the Exchange. A trade report relating to an Off-Market Trade will be encrypted and visible only to the ATX Participant, the Exchange and regulators.

Order and Intent Type Restrictions; Minimum Intent and Order Size

2.25 Market orders and limit orders will be eligible for ATX, however, the entry of orders and Intents on ATX are restricted to standard trading and settlement terms. Short sales may be entered but must be marked appropriately. Jitney orders are not eligible for crosses on the Exchange. Consistent with this practise, jitney orders will not be eligible to match in ATX. Ineligible orders that are routed through ATX will pass through the ATX facility without matching, and will be directed to the Exchange.

2.26 Intents and orders must be at least one security in volume.

Eligible Stock

2.27 Any of the securities listed on the Exchange are eligible for the ATX facility. The Exchange will maintain a list of valid symbols. Upon entry of an order or Intent, participants will receive a reject message if the stock symbol on the order or Intent is not valid. Securities that are halted, delayed, frozen, or inhibited on the Exchange will not be eligible for matching in ATX.

Last Sale Price

2.28 ATX trades of at least one board lot, as defined in the TSX Rules, are considered by TSX to be representative of the publicly visible market in a security and, therefore eligible to set the last sale price posted on the Exchange. Odd lot orders less than one board lot in size that are matched on ATX and executed on the Exchange are not eligible to set the last sale price. This restriction is intended to prevent the manipulation of last sale price by very small orders or Intents, which could generate adverse price movements. An Off-Market Trade will not be eligible to set last sale price.

Connecting to ATX

2.29 The ATX facility will reside between the ATX subscriber's trading terminal and the Exchange, and operate on hardware that is physically separate from the core trading engine of the Exchange. ATX will, however, utilize the front end gateway and protocols (STAMP and FIX) currently used for order entry on existing PO trading terminals. Such terminals are connected by direct telecommunication lines with the Exchange.

2.30 Subscribers will route their orders through the ATX facility by establishing a new front end telecommunication connection to the Exchange or reassigning an existing telecommunication connection, and designate the User IDs whose orders will flow through this new connection. Intent entry and the management of ATX functionalities will be provided to subscribers through a secure, web-based interface with the ATX facility, which can be integrated into existing trading terminals by TSX certified vendors.

ATX Feed

2.31 ATX will utilize existing back end systems at the Exchange to disseminate trade data.

Implementation

2.32 Implementation is anticipated by the end of 2006.

3.0 UMIR

3.1 All subscribers to ATX are expected to comply with UMIR in accordance with TSX Rules. Furthermore, the functionalities and features of the ATX facility are consistent with UMIR, and will assist POs in complying with their UMIR obligations as described below.

3.2 If an Intent in the ATX facility for the short sale of a security results in a match price below the last sale price, no match will occur. In this event, a short sale Intent shall be retained in the CIB until such time as last sale price permits a match or it is cancelled. Also, an order for the short sale of a security for a price below last sale price will not be eligible for a match within ATX and such order will pass to the Exchange and be subject to existing trading protocol. These features are consistent with UMIR requirements on short selling.

3.3 The PAG feature of the ATX facility will be designed to allow POs to prioritize their ATX trading strategy to make it consistent with the client priority requirements in UMIR. POs can ensure client Intents are filled first by assigning them top PAG priority; therefore, allowing a PO not to trade ahead of a client Intent that was received prior to the entry of a principal order or non-client order.

3.4 ATX facilitates the prevention of trading through better posted prices on the Exchange. The Price Validation Feature of the ATX facility ensures that ATX matches will not trade through better-priced visible orders.

3.5 Also, the opportunity for price improvements on orders designated for ATX and Intents will facilitate compliance with best execution obligations for POs.

4.0 PROPOSED AMENDMENTS

4.1 The proposed Amendments implement an additional rule set and definitions to govern the operations of the ATX facility, and are set out in Appendix "A" hereto.

5.0 AMENDMENT PROCESS

5.1 After discussion with various POs, proposed changes were raised for discussion at the July 2006 meeting of the Trading Advisory Committee ("TAC") for TSX. In July 2006, a draft of the amendments to the TSX Rules with respect to ATX were reviewed and approved by TAC. On July 26, 2006, the Board of Directors of TSX approved the Amendments.

6.0 PUBLIC INTEREST ASSESSMENT

6.1 The proposed ATX facility is designed to improve efficiencies in trading securities listed on the Exchange by:

    • Providing access to greater liquidity

    • Delivering better-priced fills

    • Reducing market impact costs

    • Providing greater opportunity for single price execution of large orders

    • Lowering execution costs

    • Expanding the set of trading facilities and strategies available to marketplace participants

6.2 ATX is designed to deliver an additional source of liquidity to ATX Participants by enabling the interaction of small retail order flow with large blocks of supply and demand, which have typically been inaccessible and restricted to trading in the upstairs market.

6.3 ATX will provide better execution to all ATX Participants through automated price improvement on the posted best bid/offer. The ATX's CIB, which is a blind electronic book, keeps undeclared interest hidden thereby lowering market impact costs by preventing unintended information leakage which may adversely affect the posted best bid/offer for a security.

6.4 Also, ATX enables Intents to potentially match with a greater volume of securities than what is otherwise visible on the Exchange's central limit order book and with price improvement over the posted best bid/offer. This feature may reduce the need to execute against multiple orders on the Exchange's central limit order book at potentially less favourable prices. In addition, this feature allows an investor to reach its trading objective with fewer executions thereby reducing overall transaction costs.

6.5 With ATX, ATX Participants will have greater choice within the Canadian capital market in selecting a trading facility that optimizes their trading strategies.

6.6 For these reasons, the Exchange believes that introducing the proposed ATX facility is not contrary to the public interest.

6.7 We submit that in accordance with the Protocol for Commission Oversight of Toronto Stock Exchange Rule Proposals, the Amendments will be considered "public interest" in nature. The Amendments would, therefore, only become effective following public notice, a comment period and the approval of the Commission.

7.0 QUESTIONS

7.1 Questions concerning this notice should be directed to Amer Chaudhry, Legal Counsel, TSX Group Inc. at (416) 947-4501.

 

APPENDIX "A"

THE RULES

OF

THE TORONTO STOCK EXCHANGE

RULES (as at •, 2006)

POLICIES

 

PART 1 - INTERPRETATION

 

1-101 Definitions (Amended)

 

 

(1)

In all Exchange Requirements, unless the subject matter or context otherwise requires:

 

 

"Alternative Trade eXecution (ATX)" is a subscription-based facility of the Exchange to match Intents against Exchange destined order flow as well as other Intents. All matches in ATX are sent to the Exchange for trade execution.

 

 

Added (•, 2006)

 

 

"ATX Subscriber" means a Participating Organization that has subscribed to use ATX.

 

 

Added (•, 2006)

 

 

"Best Bid" means the highest price of committed orders on the Exchange (or another marketplace as determined by the Exchange) to buy a particular security, where each order is at least one board lot.

 

 

Added (•, 2006)

 

 

"Best Bid Offer (BBO)" means the Best Bid and Best Offer.

 

 

Added (•, 2006)

 

 

"Best Offer" or "Best Ask" means the lowest price of committed orders on the Exchange (or another marketplace as determined by the Exchange) to sell a particular security, where each order is at least one board lot.

 

 

Added (•, 2006)

 

 

"Central Intent Book (or CIB)" means a blind electronic book that holds all Intents entered by ATX Subscribers.

 

 

Added (•, 2006)

 

 

"Intent" means a willingness of a person to buy or sell a security provided that certain specified conditions are satisfied, such as a quote spread and bid offer quote volume.

 

 

Added (•, 2006)

 

 

"Minimum Quote Spread" is a spread value that is entered on an Intent by an ATX Subscriber that specifies a minimum quote spread that must be satisfied in order for an Intent to be eligible to match in ATX.

 

 

Added (•, 2006)

 

 

"Minimum Quote Volume" is a volume that is entered on an Intent by an ATX Subscriber that specifies a minimum quote volume that must be satisfied in order for an Intent to be eligible to match in ATX.

 

 

Added (•, 2006)

 

 

"Priority Allocation Group (PAG)" is a feature in ATX that allows an ATX Subscriber to define its in-house priority allocation for purposes of matching orders and Intents.

 

 

Added (•, 2006)

 

 

PART 4 -- TRADING OF LISTED SECURITIES

 

 

DIVISION 1 - MARKET FOR LISTED SECURITIES

 

 

4-108 ATX Facility

 

 

(1)

Intent Entry

 

 

Intents may be entered, by an ATX Subscriber, into the CIB at any time on a Trading Day. Intents entered in the CIB will not interact with the Book.

 

 

(2)

Intent Size Increment

 

 

The ATX facility operates in a minimum size increment of one security for each Intent.

 

 

(3)

Order Entry

 

 

Orders from an ATX Subscriber may be routed to ATX at any time on a Trading Day. Orders that an ATX Subscriber routes to ATX will not be held in the CIB but will match with Intents held in the CIB in accordance this Rule 4-108.

 

 

(4)

Eligible Orders

 

 

Orders which are at least one security in volume are eligible for matching in ATX.

 

 

(5)

Matching of Intents and Orders

 

 

 

(a)

All Intents entered by an ATX Subscriber must have a Minimum Quote Spread and a Minimum Quote Volume specified. Both of these conditions must be satisfied in order for an Intent to be eligible to match in ATX. A Minimum Quote Spread is satisfied, if, at the time of the match, the spread value of the BBO is greater than or equal to the Intent's Minimum Quote Spread. A Minimum Quote Volume is satisfied if, at the time of the match, the aggregate volume of the BBO, on the same side as the Intent, is greater than or equal to the Intent's Minimum Quote Volume.

 

 

 

(b)

Orders will be immediately matched with Intents in the CIB that are on the contra side of the order, subject to Rule 4-108(5)(a). A buy order will be matched with a sell Intent at the Best Offer, at such time, plus price improvement as determined by the Exchange, from time to time, with such price improvement being provided to the order. A sell order will be matched with a buy Intent at the Best Bid, at such time, plus price improvement as determined by the Exchange, from time to time, with such price improvement being provided to the order.

 

 

 

(c)

Subject to Rule 4-108(5)(a), active Intents will be immediately matched with other Intents in the CIB that are on the contra side of the active Intent. An active buy Intent will be matched with a sell Intent at the Best Offer, at such time, plus price improvement as determined by the Exchange, from time to time, with such price improvement being provided to the active buy Intent. An active sell Intent will be matched with a buy Intent at the Best Bid, at such time, plus price improvement, as determined by the Exchange from time to time, with such price improvement being provided to the active sell Intent.

 

 

 

(d)

All matching in ATX will occur during the Regular Session but will not occur if the security is halted or delayed by the Exchange or RS.

 

 

 

(e)

Matches will not execute if at the time the match is reported to the Exchange it is outside the posted BBO quote.

 

 

(6)

Priority of Matches

 

 

Notwithstanding Rules 4-801 and 4-802 and subject to Rule 4-108(5)(a), orders shall match with Intents in the CIB, active Intents shall match with other Intents in the CIB:

 

 

 

(a)

Orders shall match with Intents in the CIB in the following manner and sequence:

 

 

 

 

(i)

orders with Intents from the same ATX Subscriber according to such ATX Subscriber's PAG assignment. Intents with the same PAG assignment are matched with orders in time priority; then

 

 

 

 

(ii)

orders with Intents that meet a minimum volume requirement, as determined by the Exchange from time to time. Where multiple Intents meet the minimum volume requirement, these Intents shall be matched in time priority, without regard to the size of the Intents; then

 

 

 

 

(iii)

orders with all other Intents in time priority; then

 

 

 

 

(iv)

any residual volume of the order is sent immediately to the Book.

 

 

 

(b)

Active Intents shall match against Intents in the CIB in the following manner and sequence:

 

 

 

 

(i)

Intents with other Intents from the same ATX Subscriber according to such ATX Subscriber's PAG assignment. Intents with the same PAG assignment are matched with other Intents in time priority; then

 

 

 

 

(ii)

Intents with other Intents that meet a minimum volume requirement, as determined by the Exchange from time to time. Where multiple Intents meet the minimum volume requirement, these Intents shall be matched in time priority, without regard to the size of the Intent; then

 

 

 

 

(iii)

Intents with all other Intents in time priority.

 

 

(7)

Unmatched Intents

 

 

An unmatched Intent will remain in the CIB until such Intent:

 

 

 

(a)

is matched with an order or an active Intent;

 

 

 

(b)

is cancelled by the ATX Subscriber; or

 

 

 

(c)

expires based on the duration of the Intent.

 

 

(8)

Application of Exchange Requirements

 

 

Except as otherwise provided in this Rule, all Exchange Requirements shall apply to the entry and execution of Intents and orders. For greater certainty, for purposes of Rule 2-501, Rule 2-502, Rule 2-503 and their related policies, reference to the term orders shall include both orders and Intents entered in the ATX facility, and reference to the term Book in Policy 2-502(2)(e) shall include CIB.

 

 

Added (•, 2006)