An upgrade for the ITS TraderLite Workstations is now available for all users. This upgrade provides an enhanced MOC Imbalance Window which allows users to display the six (6) fields that the TSX will begin providing as part of the New TSX MOC Model on October 18th, 2021. More information about this initiative is available here https://app.tmx.com/new-moc/.
As of Oct 18th, 2021, the TSX MOC imbalance state will begin at 3:50 PM instead of the current time of 3:40 PM, and the MOC Imbalance messages will be refreshed every 10 seconds until market close.
The six new fields being provided in the MOC Imbalance state are:
- Paired Volume The number of MOC and LOC shares that are able be matched at the Reference Price.
- Market Order Imbalance Volume Indicates the share Imbalance when considering MOC orders only. Note this will not change from the Freeze period as MOC orders are not allowed after this time.
- Market Order Imbalance Side Side (buy or sell) of the Market Order Imbalance Volume.
- Near Indicative Closing Price The calculated closing price that will maximize the number of shares matched based on on-close orders (MOC, LOC) and visible continuous market orders. Undisplayed volume is excluded from this calculation to prevent information leakage. Effectively, this is the price at which the closing print would occur at the time of publication.
- Far Indicative Closing Price The calculated closing price that will maximize the number of shares matched based on closing interest only (MOC, LOC). This calculation excludes CLOB orders.
- Price Variation This field indicates the absolute value of the percentage of deviation of the Near Indicative Closing Price from the Reference Price. This will alert traders of symbols that may close outside of the volatility parameters and encourage offsetting liquidity.
Please contact ITS Operations by e-mailing firstname.lastname@example.org or calling 416-233-3961 x0 or 1-855-233-3961 x0 if you have any questions about this notice.