CSA Staff Notice 23-326 Order Protection Rule Market Share Threshold for April 1, 2020 to March 31, 2021

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CSA Staff Notice 23-326
Order Protection Rule: Market Share Threshold for the period April 1, 2020 to March 31, 2021 February 13, 2020 Introduction On June 20, 2016, the Canadian Securities Administrators (the CSA or we) published a notice1 (the 2016 Notice) regarding the implementation of the market share threshold. This notice updates the list of protected and unprotected marketplaces published on January 31, 2019. The updated list will be in effect from April 1, 2020 to March 31, 2021. We note that there are no changes compared to the list published last year. The text of this notice is available on the websites of the CSA jurisdictions, including:
www.lautorite.qc.ca www.albertasecurities.com www.bcsc.bc.ca www.fcnb.ca nssc.novascotia.ca www.osc.gov.on.ca www.fcaa.gov.sk.ca www.mbsecurities.ca Purpose The purpose of this notice is to provide the list of marketplaces that display protected orders (protected marketplaces) and marketplaces whose orders will not be protected (unprotected marketplaces) for the purposes of Regulation 23-101 respecting Trading Rules (Regulation 23-101) and the order protection rule (OPR) for the period April 1, 2020 to March 31, 2021 because they do not:
(i) provide automated trading functionality as they have an intentional order processing delay, and/or (ii) meet the market share threshold. The market share threshold has been set at 2.5%. 2 1 CSA Staff Notice 23-316 Order Protection Rule: Implementation of the Market Share Threshold and Amendments to Policy Statement to Regulation 23-101 respecting Trading Rules. 2 CSA Staff Notice 23-316 includes a description of the calculation of the market share threshold.

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OPR Requirements
Section 6.1 of Regulation 23-101 requires marketplaces to establish, maintain and
ensure compliance with policies and procedures that are reasonably designed to prevent trade-throughs of better priced protected bids and offers. Section 6.4 of Regulation 23-101 imposes the same requirement on marketplace participants that assume responsibility for compliance with OPR by entering directed-action orders.
Section 1.1 of Regulation 23-101 defines protected bids and offers as bids and offers
displayed on a marketplace offering automated trading functionality, and about which information is provided to an information processor.
Section 1.1.2.1 of Policy Statement to Regulation 23-101 respecting Trading Rules
outlines the circumstances in which a marketplace that introduced an intentional order processing delay would not be considered to be providing automated trading functionality. In those circumstances, the orders on that marketplace would not be protected. Orders on “dark” marketplaces are not protected as they are not displayed. Therefore, orders on ICX, LiquidNet, MATCHNow, NEO Exchange dark book (NEO-D) and Nasdaq CXD are unprotected for the purposes of OPR. List of Protected and Unprotected Marketplaces Below we have listed the protected and unprotected marketplaces. The orders displayed on the marketplaces listed in Table 1 below are protected because either the marketplace meets the market share threshold and/or the orders are for securities that are listed by and traded on that marketplace:
Table 1 – Marketplaces that Display Protected Orders
Marketplace Market Share Status Reason Protected NEO-L 3.84 Protected Meets market share threshold CSE 7.91 Protected Meets market share threshold Nasdaq CXC 11.94 Protected Meets market share threshold Nasdaq CX2 4.25 Protected Meets market share threshold Omega 4.66 Protected Meets market share threshold TSX 46.59 Protected Meets market share threshold TSX Venture 9.38 Protected Meets market share threshold Orders displayed on the marketplaces listed on Table 2 below will be unprotected because either the marketplace does not provide automated trading functionality, does not meet the market share threshold or does not display orders:
Table 2 – Marketplaces whose Orders Are Unprotected
Marketplace Market Share Status Reason Unprotected NEO-N 3.60 Unprotected Does not provide automated trading functionality Alpha 7.74 Unprotected Does not provide automated trading functionality

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Marketplace Market Share Status Reason Unprotected Lynx 0.07 Unprotected Does not meet market share threshold ICX Unprotected Does not display orders LiquidNet Unprotected Does not display orders MATCHNow Unprotected Does not display orders Nasdaq CXD Unprotected Does not display orders NEO-D Unprotected Does not display orders QUESTIONS Please refer your questions to any of the following:
Roland Geiling
Derivatives Product Analyst
Exchanges and SRO Oversight
Autorité des marchés financiers
Roland.Geiling@lautorite.qc.ca
Serge Boisvert
Senior Policy Analyst
Exchanges and SRO Oversight
Autorité des marchés financiers serge.boisvert@lautorite.qc.ca Alina Bazavan Senior Analyst, Market Regulation Ontario Securities Commission abazavan@osc.gov.on.ca Alex Petro Trading Specialist, Market Regulation Ontario Securities Commission apetro@osc.gov.on.ca H. Zach Masum Manager, Legal Services British Columbia Securities Commission zmasum@bcsc.bc.ca Jesse Ahlan Regulatory Analyst, Market Structure Alberta Securities Commission jesse.ahlan@asc.ca