Exchange Market Thresholds and Controls

Currently, "Marketplace Thresholds" are part of an integrated approach to prevent erroneous transactions, preserve market integrity and manage intraday sudden and unexplained market volatility.

Each of the Bourse's controls play an important role in the overall risk mitigation process.

The main controls currently in effect on the Bourse are:

Market Operations Manual Supervision Controls

For derivatives the underlying of which is exchange-traded, an automatic trading halt mechanism based on the circuit-breaker policy of the underlying exchange is in place;
A discretionary authority is granted to market supervisors to halt trading upon sudden and unforeseeable events that may affect market integrity;
Procedures for the cancellation or adjustment of trades allow market supervisors to quickly cancel trades or adjust trades prices;

Trading Platform Automated Controls and Limits (Marketplace Thresholds)

An order price filter that validates incoming orders on futures and options on futures based on their price
Maximum volume thresholds that validate incoming orders based on their size
Price limit X - Order Price Protection
Price limit Y -Trade Price Protection
Dynamic Top of the Book Price limit

Platform Market Controls Application for MX Derivative Instrument category:

	Order Price Filters	X	Y	Dynamic Top of Book	Market Order with Protection
CRA	yes	yes	no	no	yes
COA	yes	yes	no	no	no
CGB	yes	yes	no	no	yes
LGB	yes	yes	no	no	no
OGB	yes	no	no	no	no
CGF	yes	yes	no	no	yes
OGF	yes	no	no	no	no
CGZ	yes	yes	no	no	yes
OGZ	yes	no	no	no	no
SXF	yes	yes	no	yes	yes
SXM	yes	yes	no	yes	no
SDV	yes	yes	no	yes	no
SEG	yes	yes	no	yes	no
SCG	yes	yes	no	yes	no
SCF	yes	yes	no	yes	no
SXA	yes	yes	no	yes	no
SXB	yes	yes	no	yes	no
SXH	yes	yes	no	yes	no
SXK	yes	yes	no	yes	no
SXU	yes	yes	no	yes	no
SXY	yes	yes	no	yes	no
SXD	yes	yes	no	yes	no
SXG	yes	yes	no	yes	no
SXR	yes	yes	no	yes	no
SXS	yes	yes	no	yes	no
SXT	yes	yes	no	yes	no
SXW	yes	yes	no	yes	no
USX Options	yes	no	no	no	no
Equity & ETF Options	no	yes	yes	no	no
Index Options	yes	no	no	no	no

Trading Platform Automated Controls and Limits detailed descriptions

(1) Order Price Filters

The Bourse currently computes and disseminates the Order price Filters via its market data feeds for every listed product traded on the Bourse. Current limits are static for all futures and options on futures. The range is set as a differential (+/-) from the previous day's settlement price with the following values:

CRA, COA	0.90
CGB	3.00
OGZ, OGF, OGB	0.50
CGZ	0.8
CGF	1.50
LGB	0.8
SXF, SXM, SDV, SEG, SCG, SCF	7% early; 15% regular
SXA, SXB, SXH, SXK, SXU, SXY, SXD, SXG, SXR, SXS, SXT, SXW	7% early; 15% regular

(2) Order Maximum Volume Thresholds

The Bourse currently assigns and disseminates the Order Maximum Volume via its market data feeds for every listed product traded on the Bourse. Current limits are static for all MX Instruments are:

CRA, COA	9,999
CGB	9,999
CGB Calendar Roll Spreads	24,999
OGZ, OGF, OGB	9,999
CGF	9,999
CGZ	9,999
LGB	9,999
SXF, SXM, SDV, SEG, SCG, SCF	9,999
SXA, SXB, SXH, SXK, SXU, SXY, SXD, SXG, SXR, SXS, SXT, SXW	9,999
USX Options	99,999
Equity ETF Options	99,999
Index Options	99,999
Single Share Futures	99,999

(3) Price limit X - Order Price Protection

X is a price limit based on a calculated control price that filters incoming orders based on their price. This limit validates incoming order prices against a predetermined control price. Any order above or below the limit price will be automatically rejected and a message to that effect will be sent to the market participant who entered the order. This order price validation should avoid transactions at prices that would be deemed detrimental to market integrity.

(4) Price limit Y - Trade Price Protection

Y is a price limit based on a calculated control price that validates the potential execution price of the next executable order. This limit is narrower than the X limit and validates the potential execution price against the same control price predetermined by the Bourse for each instrument. Any order priced within X's limits will be accepted into the Central Limit Order Book ("CLOB"). The price limit functionality will intervene if the potential execution price of an order exceeds the Y's limits and prevent the transaction from occurring.

Note: Both the X and Y limits for a given product are based on the same calculated control price.

While the X limits are disseminated to market participants via SOLA's s High Speed Vendor Feed and Order Book Feed to participants' front-end systems, the Y limits are not disseminated via SOLA's HSVF.

Consequently, the Bourse publishes Y limits threshold percentages that are active thresholds for all option classes in the MX platform.

	Y% Below Control price	Y% Above Control price
ITM 8 and Up	30	40
ITM 7	35	50
ITM 6	40	60
ITM 5	45	90
ITM 3-4	60	120
ITM 2	80	150
ATM ITM1	80	150
OTM 1-3	90	160
OTM 4	99	180
OTM 5-6	99	200
OTM 7	99	250
OTM 8	99	300

ATM At the Money
ITM In the Money
OTM Out of the Money

(5) Dynamic Price Control Top of the Book Price Protection

The Top-of-the-Book Price Limits that the Bourse are price limits based on dynamic resting Bid/Ask of the current Central Limit Order Book ("CLOB") that validate the order limit price before the transaction.

The Top-of-the-Book Price Limits (TBPL) functionality validates the order limit price against the most recent dynamic snapshot of the resting Bid/Ask for a given contract within the CLOB. All sell orders use the resting Bid price as the reference price (or the resting Ask price if no bid is available), and all buy orders use the resting Ask price as the reference price (or the resting Bid price if no Ask price is available). If there is neither a Bid nor an Ask price in the CLOB, the Top-of-the-Book Price Limits functionality remains inactive. Any order priced within or at the Top-of-the-Book Price Limits are allowed in the electronic trading system.

Any order outside the Top-of-the-Book Price Limits is rejected by the system.

A limit order (including Stop Limit orders) with a price outside of the Top-of-the-Book Price Limits will be rejected even if there is enough for it to be filled before reaching the Top-of-the-Book Price Limits.

Moreover, during all pre-opening phases, only the Order Price Filters and X limits are active. For Stop Orders, the difference between the stop limit price and the stop trigger price will be validated against the Top-of-the-Book Price Limits.

The latest TBPL price limits for Index futures are enumerated in the table below.

Symbol	Description	Current TBPL Threshold
SXF	S&P/TSX 60 Index Standard Futures	1%*
SXM	S&P/TSX 60 Index Mini Futures	1%*
SDV	S&P/TSX60 Dividend Futures	7%*
SEG	S&P/TSX 60 ESG Index Mini Futures	1%*
SCF	S&P/TSX Composite Index Mini Futures	1%*
SCG	S&P/TSX Composite ESG Index Mini Futures	1%*
SXA	S&P/TSX Global Gold Index	1%*
SXB	S&P/TSX Capped Financials Index	1%*
SXH	S&P/TSX Capped Information Technology Index	1%*
SXK	S&P/TSX Composite Index Banks (Industry Group)	1%*
SXU	S&P/TSX Capped Utilities Index	1%*
SXY	S&P/TSX Capped Energy Index	1%*
SXD	S&P/TSX Composite Energy GICS Sector Total Return Index	1%*
SXG	S&P/TSX Composite Financials GICS Level Sector Total Return Index	1%*
SXR	S&P/TSX Composite Real Estate GICS Sector Total Return Index	1%*
SXT	S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index	1%*
SXS	S&P/TSX Composite Media GICS Industry Group Total Return Index	1%*
SXW	S&P/TSX Composite Insurance GICS Industry Group Total Return Index	1%*

* Limits are reviewed on a periodic basis to be set at a level that represent approximately 1% of the underlying index (7% for the SDV).

(6) Market order with Protection

A market order with protection prevents orders from being filled at extreme prices. Market orders with protection are filled within a predefined range of prices, referred to as the protected range. For bid orders, protection points are added to the current best offer price to calculate the protection price limit. For offer orders, protection points are subtracted from the current best bid price.

The defined Protected Range Value (in dollars) fo all eligible Instruments that will permit Market order with Protection are:

Symbol	Minimum Price Fluctuation	Market Order Protection Bands
CRA (Front Month)	0.0025	0.015
CRA (All Others)	0.005	0.03
CRA Strategies (Intra) (Front Month)	0.0025	0.015
CRA Strategies (Intra) (All Others)	0.005	0.03
CGB	0.01	0.16
CGB Strategies (Intra)	0.01	0.08
CGF	0.01	0.08
CGF Strategies (Intra)	0.01	0.04
CGZ	0.05	0.04
CGZ Strategies (Intra)	0.05	0.02
SXF	0.10	1.00
SXF strategies	0.01	0.50