CX2 GUARANTEED EXECUTION FACILITY
The Nasdaq Canada CX2 Guaranteed Execution Facility enables Nasdaq Canada Members to receive guaranteed auto-executions of at least the size of the Guaranteed Minimum Volume (GMV) for the residual portion of GEF Eligible Orders. GEF Members provide auto-executions against residual portions of GEF Orders at the NBB or NBO after all visible quotes, visible portions of iceberg orders and non-displayed orders have been displaced on CX2 for a Designated Security. The order matching priority against GEF Orders is the same as other orders in the CX2 Trading Book. GEF auto-executions are only available when there is a visible quote on CX2 at the NBB or NBO. GEF Facility Eligible Orders that are not immediately marketable, or not marked IOC, are canceled back. GEF auto-executions are not available when there is a locked or crossed market on a Designated Security. The maximum size of a GEF auto-execution is 50 standard trading units.
When a match occurs, Nasdaq Canada sends an unsolicited trade report to the GEF Member(s) responsible for meeting GEF obligations for that Designated Security and an execution message to the Member who entered the GEF Order. GEF Order execution messages are included in the CX2 market data feed and provided to the TMX Information Processor in accordance with National Instrument 21-101 Marketplace Operation. The GEF is available for Designated Securities during regular trading hours between 9:30 a.m. and 4:00 p.m.
Competition between GEF Members
For each Designated Security there can be up to five GEF Market Makers responsible for guaranteeing automatic immediate fills for incoming GEF Orders (Assigned Security). Where there are multiple GEF Market Makers for a Designated Security, GEF Market Makers are able to compete with one another for a larger portion of incoming GEF Orders by increasing their GEF Committed Volume. Order allocation between GEF Members is determined on a pro-rata basis. Pro-rata share allotments are rounded up or down to the nearest Board Lot. This order allocation methodology is used to compensate GEF Members for the additional risk taken by GEF Members for their willingness to trade larger size. The GMV for each Designated Security is publicly available. GEF Member Committed Volume will not be disseminated and will only be known by the Exchange System.
GEF Eligible Orders
A GEF Facility Eligible Order is a client order entered for a Designated Security where the entire size of the original parent order is less than or equal to a pre-determined multiple of the GMV determined by Nasdaq Canada, provided that the order is not:
- One of multiple orders for the same client on the same day;
- An order entered by a DEA client, unless the DEA client is a broker acting as an agent for retail client order flow;
- An order entered on behalf of a US dealer unless
- The order is for a client of a US dealer, and;
- The dealer first confirms the order is for a client of the US dealer or;
- For a client that is generally involved in active and continuous trading on a daily basis.
In order for a GEF Facility Eligible Order to be a GEF Order the order must be marked GEF and IOC.
GEF Member Obligations
Each GEF Member must meet the following obligations on a monthly basis for each Assigned Security on CX2 in order to ensure they continue to serve as a GEF Member:
Guaranteeing fills of at least the size of the GMV against any residual portion of GEF Orders at the NBB or NBO after all visible quotes at the NBB or NBO have been displaced;
- Providing a quote of at least 2 Board Lots on each side of the market 95% of the time within 5% of the last sale price;
- Providing a quote at the NBB and NBO at least 20% of the time.
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