The Canadian Securities Exchange provides an alternative to traditional exchanges as it has lower costs and capitalization requirements than the other primary markets in Canada.
Currency: Canadian Dollar (CAD)
CSE uses the same underlying technology for its primary market as it does for its alternative trading venue.
Note: not all order types are available for every gateway.
Limit Buy/Sell→ShortSell (Day/IOC)
Limit Buy/Sell→ShortSell Reserve (Day)
Market Buy/Sell→ShortSell (Day/IOC)
Pegged Midpoint Buy/Sell→ShortSell (Day)
Alternative Trading Systems (ATS)
Basic Market Rules
Lot Size: varies by price, as follows:
|$0.10 to $1
Tick Size: varies by price, as follows:
Short Sale Rules: short sell orders must be properly marked. There is no locate requirement intraday.
Circuit Breakers: a market-wide trading halt will occur when the circuit breakers, defined in the IIROC Circuit Breakers document, are triggered. Tied primarily to movements of the Dow Jones Industrial Average. On days when US markets are closed, the S&P/TSX Composite will be used as reference.
This section provides a basic overview of trading on the systems operated by the Canadian Securities Exchange (CSE). It is not intended to be a comprehensive description of all the functionality of the trading systems.
The CSE has retained the Investment Industry Regulatory Organization of Canada (IIROC) as its regulation services provider, or market regulator. The Universal Market Integrity Rules (UMIR) apply to all activity on the CSE. All markers, identifiers, and order types required by UMIR are available.
Pre-Open and Post-Open Priority and Allocation
The CSE matches orders by price/time priority at the opening and in post-open but will seek out the same firm crosses first (also known as firm priority or broker preferencing). For billing purposes, trades at the opening are designated active or passive according to time priority. Each side of an unintentional cross will be designated as active or passive according to time priority. Intentional crosses executed at the bid/ask are subject to interference from the book and that portion of a cross that is interfered with will be considered an unintentional cross for billing purposes. Orders are time stamped at the time of entry. First-in, First-out (FIFO) allocation distributes order volumes on the basis of each order’s time of entry into the trading system.
Orders entered during the pre-open market state are queued in the regular term book and an opening price is calculated (the “Calculated Opening Price” or “COP”). Each symbol has only one opening price per move from pre-open to open market state. The COP is based only on the regular term book. Terms orders match and trade only after the opening state change. The following criteria are used to calculate the opening price in consecutive order:
Maximize share traded volume
Minimize imbalance in share volume
Better price for the market side with higher demand
Minimize net change from the previous day’s closing price
Maximize share price
The pre-opening phase is from 08:00:00 – 09:30:00. During this phase, orders can be entered and cancelled but will not be matched. Matching takes place at the open (09:30:00).
Note: the CSE trading system does not support the following special trading sessions/facilities: STS crosses, LSTS (Last Sale Trading Session), MOC (Market on Close), MBF session (or MBF – Must Be Filled orders), or Option expiry.
For more information, see the Order Types and Functionality page. CSE operates under rules similar to the TSX.
Trading in the Dark
The CSE offers three types of pegged orders. These are hidden orders (not visible in public market data) where the trading price is pegged to the National Canadian Best Bid and Offer (“NBBO”).
All types of dark orders will trade ahead of any visible volume in the CSE book*:
- Dark MidPoint
Orders will peg to the Mid-point of Protected NBBO. The order automatically adjusts the pegged value as the quote moves over time, but it will not execute when the mid-point exceeds the stated limit.
- Dark Market
Orders will peg to the opposite-side Protected NBBO. The order automatically adjusts the pegged value as the quote moves over time, up/down to the stated limit.
- Dark Primary
Orders will peg to the same-side Protected NBBO. The order automatically adjusts the pegged value as the quote moves over time, up/down to the stated limit.
- Dark MPI
Similar to a Primary Peg with a one-tick aggressive offset, except that it will book at a same-side NBBO where the pegged value would otherwise be at the midpoint. The order automatically adjusts the pegged value as the quote moves over time, up/down to the stated limit.
The CSE has a single book for both hidden and visible orders; any order* attempting to interact with visible orders will first trade with pegged orders in the book.
Pegged orders are a good choice for traders wanting to be ahead of any other orders already booked at the best bid or ask.
No Pre-trade Market Impact
Dark orders are not visible when they are booked. They will not lead to traders on the same side (on any market) improving their price in order to jump ahead of your order.
Similarly, a pegged order will not lead to traders on the opposite side of the market seeing your interest to trade, making their orders less aggressive and potentially moving the spread away from your order.
Choosing the Right Peg
Primary Price Improvement peg is the least aggressive Peg order. It trades at a better price compared to the other two peg types.
The Mid-point peg is a balance of aggression between Primary and Market peg orders.
A good choice when trying to get ahead of other primary pegs or if you suspect the instrument is being pinged for mid-point price improvement.
Orders are pegged to the Mid-Point of the NBBO. Orders must cross the NBBO or the order will get cancelled back by CSE as the price is not aggressive enough.
The Market Peg is the most aggressive. It will trade only one tick or less better than if you cross the market.
It allows a trader to be passive and book more volume than is immediately available to hit on the other side of the spread and trade ahead of all other peg types.
*Orders marked with the Bypass marker do not interact with any form of hidden orders. Bypass orders are used for special functions like simultaneously trading at multiple price levels and are a rare occurrence.
Orders will be pegged to the NBBO with buy orders being pegged one tick inside the offer and sell orders being pegged one tick inside the bid.
Opportunities in CSE Dark Trading
We would like to remind traders about how dark orders work on the CSE/XCSE gateway.
CSE offers two types of dark orders:
- Pegged orders
- Seek dark liquidity only (SDL) orders
All pegged order types (Primary, Midpoint, and Market) on the CSE will go to their dark pool and receive fees corresponding to dark executions.
To send Dark Peg orders, traders can configure them in Keyboard Setup under Destination: CSE and Order Type: DARK Peg.
To send SDL orders, traders can configure them in Keyboard Setup under Destination: Seek Dark Liquidity for Limit and Market order types.
The CSE has shared materials with us that have more information about their dark orders, their fees, and how they work.
What are Peg Orders?
Peg orders on the CSE are dark orders and can only trade with visible orders. Peg orders are always passive.