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Notice of Approval and Summary of Comments and Responses to April 13, 2012 Proposal on Changes to Alpha IntraSpreadTM Facility and Opening
NOTICE OF APPROVAL
AND
SUMMARY OF COMMENTS AND RESPONSES TO APRIL 13, 2012
PROPOSAL ON CHANGES TO ALPHA INTRASPREAD™ FACILITY AND OPENING
Background
The Ontario Securities Commission (OSC) published on April 13, 2012 (35 OSC Bulletin 15), Alpha Exchange Inc.’s (Alpha)’s notice regarding changes to Alpha’s IntraSpreadTM Facility and Opening.
Comment Process
The OSC and Alpha received one comment letter from one marketplace 1. The summary and response to comment follows the summary of the amendments being approved.
Nature and Purpose of the Amendments
The amendments include two new attributes for Dark orders:
- A Contra Order Type Matching Preference (COMP) attribute, which determines which of the types of orders the Dark order will trade against:
- Trade only with incoming SDLTM orders
- Trade only with other Dark orders, whether resting or incoming
- Trade with both SDLTM and Dark orders
Dark orders with COMP attribute that supports matching with Dark orders can only be priced at 50 per cent of the spread.
- A Minimum Acceptable Quantity (MAQ) attribute, which optionally limits the size that the Dark order will trade against, when trading with other Dark orders. The MAQ condition does not apply to trades against SDL orders.
- Validating the COP
The amendments include an additional validation of the COP to ensure it falls within the Opening Market Conditions Price Band, which is determined as the highest/lowest of the NBB, NBO and NLSP plus/minus the Opening Market Conditions parameter. The NBB and NBO represent the best displayed prices of any market with the exception of Alpha and any halted or frozen markets. Opening Market Conditions Price Band validation is optional and is enabled on a security by security basis.
Securities where the COP is validated against the Opening Market Conditions Price Band will open with a price which is in line with the current market conditions on other markets. - Managing the Delayed Opening
With the amendments, Members can also enter new and amend existing orders when a security is delayed from opening. With every order change in the book, the COP is recalculated and re-validated using updated market conditions. In the absence of user activity, the re-validation is performed periodically by the system.
Under proposed Amendments, the book will automatically transition into Continuous Trading session once the COP falls within the applicable price bands. In addition, as with the current functionality, Alpha Trading Services can manually force the opening at the COP if deemed necessary.
The amendments will become effective on June 11, 2012.
Summary of Comment and Responses
1. Chi-X Canada ATS Limited