Eligible Securities
All listed Canadian securities denominated in Canadian dollars.
Market Data
No quotes are published by ICX, nor IOIs generated.
Prints are disseminated electronically through third-party data vendors such as TMX IP, TMX Datalinx, Bloomberg® and Thomson Reuters®.
VWAP pricing is calculated using direct Canadian marketplace feeds and consolidated by Instinet for VWAP at 4:10 pm. It is then sent to matched subscribers and made available to the market. ICX produces and provides end-of-day files on all trades, including symbol and price.
CBX will calculate the NBBO midpoint on a continuous basis. ICX will produce and provide end-of-day files on all trades including symbol and price.
Minimum Volume Increment – VWAP Cross and CBX have a minimum volume of 100 shares and allow 100 share increments.
ICX Pricing
ICX pricing mechanisms are as follows:
- VWAP Cross – matched orders are priced using the consolidated VWAP price (calculated from Bloomberg) at 4:10 pm. The VWAP price is calculated from all Canadian visible marketplace's direct feeds and consolidated by Instinet. We include all trades in the VWAP as the standard practice.
- CBX - matched orders meeting regulatory minimums for board lots are priced using the NBBO mid-point at the time of the match.
VWAP Cross Allocation of Trades
The VWAP Cross allocates trades on a pro-rata basis, based on order volume sent to the match.
Risk Controls and Order Enhancements
- Cash Balancing: Controls subscriber's risk by setting dollar constraints on the entire portfolio.
- Minimum Fill: subscribers can place minimum execution constraints on their portfolio or individual names.
- Price Limits: subscribers can limit exposure by setting price constraints.
- Volatility Protection: We monitor after-hours trading until the match runs.
- Halting Policy: We monitor any halts in primary markets and apply to ICX.
- Cost Savings: Crossing confidentiality eliminates market impact. Complete anonymity allows unfilled orders to be never seen in the market and midpoint pricing in CBX saves execution costs on the spread.
Halts, Delayed Opens and Adherence to Primary Market (TMX)
ICX halts and opens securities inline with the primary market. Similarly, delayed opens and other market events imposed by the primary market are followed. A halted security may still have a match and trade in the VWAP Cross while open and the VWAP are calculated based on the trading day. A security that does not open on a particular day will not receive matches that day.
| Market Place Event | Market Place Event |
|---|---|
| Delayed open or halt before open | VWAP Cross accepts orders and matches dependent on the securities opening. VWAP is calculated based on the portion of the day the security is open. |
| Security does not open | Orders and matches are rejected. |
| Halted during day and reopens | VWAP Cross accepts orders. The VWAP is calculated based on the portion of the day the security is open. |
| Halted during day and does not reopen | VWAP Cross accepts orders while open. The VWAP is calculated based on the portion of the day the security is open. |
Publication of Pre and Post Trade Information
A pre and post trade data feed can be available to CIRO. Post trade data are sent to CDS, CIRO and TMX IP for post trade transparency. Pre trade data can be available for VWAP as required by regulators, but not offered to subscribers. The post trade data feed will continue to be offered to all clients and vendors who sign a contract of use.
ICX Special Cases and Special Terms Order Handling
| Order Types | Order Treatment | Description |
|---|---|---|
| Opening Orders | REJECT | Limit/ Market On Open orders are not available and rejected. |
| VWAP Cross Order Post-9:15 am | REJECT | VWAP Cross orders post 9:15 are rejected. |
| Closing Orders | REJECT | Limit On Close orders are not available and rejected. |
| GTC | REJECT | Good Till Cancel orders are rejected. |
| Odd Lots | REJECT | Orders less than 100 shares will be rejected. |
| Special Terms Limit Order | VWAP | Some Special Terms orders will be accepted such as AON, and MinQty parameters. |
Clearly Erroneous Trade Policy
Definition – the execution of an order to buy, sell, or sell short a security, entered in error (e.g. in terms of price, quantity, side or symbol) at a price substantially away from, or inconsistent with, the prevailing market price for that security at the time of execution.
Trade rulings are made exclusively by CIRO.
ICX reserves the right to initiate a review of a clearly erroneous transaction, regardless whether a member request has been submitted, if it determines in its sole discretion that circumstances warrant such a review. If all subscribers involved with the trade consent, ICX will cancel or amend the trade or details subject to the approval of CIRO.
ICX will facilitate the cancellation of any transactions where CIRO has determined the transaction is null and void. If CIRO determines that an amendment of a material term is necessary, ICX shall instruct the relevant parties to cancel and correct the execution.
Conflicts arising from Common Ownership
Instinet Canada Cross Limited (ICX) is a subsidiary of Instinet Canada Limited (ICL).
There may be a perceived risk that ICX might offer preferential treatment to ICL Although ICL is a subscriber to ICX, no advantages in pricing, access, information or treatment is given by ICX to ICL over any non-affiliated subscriber.
Safeguards, are in place and have been implemented around inter-company dealings and sharing of confidential information. These Safeguards are outlined in the compliance manual. Tied selling is not allowed amongst the affiliated entities.
Referrals
ICX currently does not support any referral arrangements between the marketplace and any service providers or vendors. Please contact your ICX representative if you have any questions.