CIX Frequently Asked Questions - Answers on Trading, Market Data & Access

If you have further questions, please don't hesitate to reach out to our team.

Overview

What is CIX?

CIX is a financial technology company that is in the process of registering as an Alternative Trading System (ATS) with the Ontario Securities Commission (OSC) and with the Canadian Investment Regulatory Organization (CIRO).

What is IntelligentCross?

IntelligentCross is a US equities ATS registered with the Securities and Exchange Commission. The parent company of IntelligentCross is Imperative Execution, a financial technology company.

What is CIX IntelligentCross Canada?

CIX has partnered with Imperative Execution to bring IntelligentCross to Canada. CIX will offer three orderbooks that use IntelligentCross technology. Two lit books: CIX IntelligentCross ASPEN and CIX IntelligentCross ASPEN VERT. One dark book: CIX IntelligentCross MIDPOINT.

Throughout this FAQ, all three CIX IntelligentCross order books are referred to together as CIX IntelligentCross Canada.

CIX IntelligentCross Canada uses optimized price discovery and matches orders near-continuously, to achieve maximum price stability after trades. The CIX IntelligentCross Canada matching process enables better displayed prices and tighter spreads, making the market more efficient.

Who can be a CIX Subscriber and who can access CIX IntelligentCross Canada?

Any registered Canadian broker-dealer can become a subscriber of CIX and access CIX IntelligentCross Canada. CIX only permits registered broker-dealers to be subscribers. All firms also must be in good standing with CIRO to be eligible to become a subscriber. Subscribers also must satisfy certain other eligibility requirements including accepting CIX’s terms for access and trading.

What are the CIX IntelligentCross Canada matching models?

CIX IntelligentCross Canada utilizes two different matching models: (1) a MIDPOINT book that only accepts non-displayed midpoint orders and (2) ASPEN, a full limit order book with displayed capability.

Does CIX IntelligentCross Canada include two or three orderbooks?

CIX IntelligentCross Canada offers a total of three order books: two ASPEN orderbooks and one MIDPOINT orderbook.

Do the CIX IntelligentCross Canada matching models - MIDPONT and ASPEN - interact with one another?

All three CIX IntelligentCross Canada order books (ASPEN, ASPEN VERT, and MIDPOINT) are distinct and do not interact with one another. Orders resting in one book do not rest on or interact with orders resting in another book.

What are the different ASPEN orderbooks?

CIX IntelligentCross Canada offers two distinct ASPEN orderbooks: ASPEN and ASPEN VERT.

ASPEN and ASPEN VERT act independently of one another and orders resting in one book do not rest on or interact with orders resting in another book. The two ASPEN books are also distinguished by different fee structures – ASPEN utilizes a Maker/Taker fee structure offering rebates to liquidity providers while ASPEN VERT utilizes a Taker/Maker fee structure offering rebates to liquidity takers.

Order Types

What order types are accepted in the MIDPOINT book?

The MIDPOINT book only accepts midpoint peg orders, which are not accepted in either of the ASPEN books.

What order types are accepted in the ASPEN books?

Please find a link to our order types and functionality guide here.

What order types are eligible to be displayed in ASPEN?

Limit orders, primary peg orders (with or without a limit price), post only add liquidity orders and iceberg orders are eligible to be displayed.

What order types are non-displayed in ASPEN?

All orders with IOC time in force instructions, hidden limit orders, the reserve portion of an iceberg order and market peg orders.

Market Data

Where can I get market data for the ASPEN books?

Displayed orders from both ASPEN books are available in CIX’s market data feed for CIX IntelligentCross Canada - IQX.

Matching on CIX IntelligentCross Canada

How does the CIX IntelligentCross Canada matching schedule operate?

CIX IntelligentCross Canada uses a matching mechanism which is near-continuous and matches orders at scheduled times (match events). Matching schedules are calculated using an overnight optimization process that uses historical performance measurements from prior days’ matches.

Does each security have an individualized matching schedule?

Each security has an individualized matching schedule, computed daily to maximize price stability after trades.

What are the minimum/maximum match schedule time bands for each security?

Match schedules are defined by “minimum/maximum time bands” for each security.

For example, for the ASPEN and ASPEN VERT books these bands can have a minimum time of 150 microseconds and a maximum time of 900 microseconds (i.e., the maximum time for scheduling a match event is capped at 900 microseconds).

For MIDPOINT, these bands can have a minimum time of 200 microseconds and a maximum time of 2 milliseconds. Midpoint orders require a minimum resting period of time to be eligible to participate in a midpoint match event. The minimum resting period will not exceed 200 milliseconds. The actual match event time is randomized within the match event band throughout the course of the trading day.

When are match events scheduled?

Match events are scheduled continuously while the book is in a “matchable state” (i.e., there is an order on each side eligible to match). An incoming order that will make the book potentially matchable will trigger a scheduling of a match event if one has not already been scheduled.

What orders can participate in a match event?

Any order for a security that arrives prior to a match event for that security (and that has not been cancelled, has become unmarketable, or has been repriced prior to the match event) will be eligible to participate in the next match event. For MIDPOINT, only orders that have rested on the order book for a minimum period of time are eligible to match; in no event will the minimum resting period exceed 200 milliseconds. There are no minimum resting periods for orders on the ASPEN and ASPEN VERT books.

Is the CIX IntelligentCross Canada matching process symmetric?

The matching process is completely symmetric, i.e., the match times within CIX IntelligentCross Canada are not chosen to favor a particular side of the trade. No subscribers are given any type of priority through the matching process, and the matching process is blind to the identity of the subscriber. Both sides of the trade are on equal footing for the next scheduled match, while maintaining full control of their orders (i.e., both sides can cancel or update their orders at any time prior to the match).

What is the matching priority regime for CIX IntelligentCross Canada?

The first step in determining match priority occurs prior to the specific CIX IntelligentCross Canada book entering into a matchable state. Prior to entering into a matchable state, CIX IntelligentCross Canada gathers orders in its system and such orders’ match priority will be based on price, broker and the time at which such orders are received relative to other orders.

The second step in determining match priority occurs after the CIX IntelligentCross Canada book enters into a matchable state. After the CIX IntelligentCross Canada book enters into a matchable state, the match priority for any orders that arrive between that time and before the match event will be based on the time of their receipt by the ATS, i.e., sequentially in order of arrival.

In match events, when applicable, price improvement will always be provided to the taker (i.e., the remover).

Can orders entered into CIX IntelligentCross Canada be canceled or amended?

Open orders may be amended to the extent the amendment is received before a match event involving that order occurs. Order amendments are processed in the order in which they are received by the ATS. An open order also may be canceled to the extent the cancellation order is received before a match event involving that order occurs.

How does amending an order affect its match priority?

The match priority of an order will be preserved when amending the quantity of an order to a value less than the existing quantity of the order. The match priority of an order will be lost when amending the quantity of an order to a value greater than the existing quantity or when amending any other value in addition to the quantity of the order.

How does CIX IntelligentCross Canada determine the NBBO to price executions?

CIX IntelligentCross Canada uses proprietary direct feeds from Canadian exchanges and ATSs to determine the NBBO to price executions.

Does CIX IntelligentCross Canada execute outside the NBBO?

CIX IntelligentCross Canada executes all orders within the framework of the NBBO protected quote range.

Operations/Connectivity

Where are CIX IntelligentCross Canada’s primary matching engines located?

CIX IntelligentCross Canada’s primary matching engines are located in the Equinix TR2 in Toronto, Canada.

How do I connect to CIX IntelligentCross Canada?

Subscribers wanting to connect directly to CIX IntelligentCross Canada’s User Acceptance Testing (“UAT”) and Production servers will need to execute the applicable CIX agreements. Subscribers will also need to have TR2 cross-connects with the servers of CIX IntelligentCross Canada’ co-location and network provider, SDC, or connect through other network service providers that have a presence in TR2.

How do CIX IntelligentCross Canada subscribers access/enter orders into CIX IntelligentCross Canada?

CIX IntelligentCross Canada subscribers access the ATS via a Financial Information Exchange (“FIX”) connection. Such access is available to subscribers through an internet protocol address via communications that are compliant with the FIX API provided by CIX IntelligentCross Canada; the ATS currently supports FIX 4.2. CIX IntelligentCross Canada does not accept orders via any other forms of communication (e.g., telephone, email, instant message).

How do I route to the different books?

A subscriber who wishes to trade in MIDPOINT, ASPEN or ASPEN VERT books must affirmatively identify those books when entering their order via FIX tag ExDestination [100]. See the CIX IntelligentCross Canada FIX specifications for more details.

Does CIX IntelligentCross Canada provide co-location?

CIX IntelligentCross Canada does not offer the ability to co-locate directly with the CIX IntelligentCross Canada matching engine.

Does CIX IntelligentCross Canada route any orders outside of its system?

CIX IntelligentCross Canada does not route any order flow to a destination outside CIX IntelligentCross Canada.

What are the CIX IntelligentCross Canada MIC codes?

INCC - CIX IntelligentCross Operating Code
INCC - CIX IntelligentCross Midpoint
ASPC - CIX IntelligentCross ASPEN
ASPV - CIX IntelligentCross ASPEN VERT

Does CIX IntelligentCross Canada support odd lots or mixed lots?

IntelligentCross ASPEN:
Odd lot and mixed lot orders are handled the same as board lot orders within the IntelligentCross ASPEN central limit order book, following the same priority logic, supporting minimum trading increments of one share.

IntelligentCross ASPEN VERT:
Odd lot and mixed lot orders are supported in a separate combined fractional-odd lot terms order book within IntelligentCross ASPEN VERT. Odd lot trading can be transacted through either broker preferencing or a Fractional Liquidity Provider (FLP) within IntelligentCross ASPEN VERT.

IntelligentCross MIDPOINT:
Odd lot and mixed lot orders are not currently supported within the IntelligentCross MIDPOINT dark book.

Does CIX IntelligentCross Canada accept orders with “Time-in-Force” Instructions (e.g., Day, IOC, GTT)?

CIX IntelligentCross Canada accepts orders with time-in-force instructions of Day, IOC or GTT.

Day will be the default time-in-force instruction. Day orders will remain on CIX IntelligentCross Canada’ books from the time of receipt until the end of regular trading hours.

IOC orders in ASPEN [and ASPEN VERT] will remain in force until the completion of the next match event, and if unexecuted, will be canceled. IOC in combination with the midpoint peg instruction is processed as a midpoint peg order with time-in-force instruction. These IOCs may interact with the resting book for multiple match cycles and are cancelable anytime by the subscriber. IOC orders may be submitted with or without a limit price and will be non-displayed.

Good til time (GTT) orders must be entered with a specific time of expiry (ExpireTime) in seconds (up to millisecond precision available). GTT orders are accepted within the CIX IntelligentCross Canada MIDPOINT order book only.

Can Immediate Or Cancel (IOC) orders be canceled?

Yes. IOC orders on CIX IntelligentCross Canada are regular orders with a specific Time In Force (TIF). On the ASPEN books, the TIF is such that the order can participate in exactly one match event. On MIDPOINT the TIF is such that the order can participate in at least one match event.

Does CIX IntelligentCross Canada offer a self-trade prevention, or “anti-internalization,” feature?

CIX IntelligentCross Canada provides an “anti-internalization” setting to its subscribers. This setting can be enabled upon client request and will prevent the self-matching of two orders from the same subscriber on CIX IntelligentCross Canada order books. This setting will be enforced by the Client ID setting.

How are orders handled in a locked or crossed market?

CIX IntelligentCross Canada will not match if the NBBO, as determined by the proprietary data feeds for a stock, is crossed (where the NBB price exceeds the NBO price) or locked (where the NBB price equals the NBO price).

General

What securities are eligible to trade in CIX IntelligentCross Canada?

CIX IntelligentCross Canada trades TSX, TSXV, CSE and CBOE Canada listed securities.

How does CIX IntelligentCross Canada’s clear trades?

CIX IntelligentCross Canada clears all trades with the Canadian Depository Service (CDS).

Does CIX IntelligentCross Canada operate as an open, fair access market?

CIX IntelligentCross Canada operates as an open, fair access market.

What are CIX IntelligentCross Canada’s hours of operation?

CIX IntelligentCross Canada is open for the transaction of business on all business days during which the Toronto Stock Exchange (TSX) is open for business and observes the holiday schedule of the TSX. CIX IntelligentCross Canada MIDPOINT and ASPEN will be operational during regular Canadian market hours, generally 9:30AM to 4:00AM Eastern Time. ASPEN VERT will operate between 7:00AM ET and 8:00PM ET.

CIX IntelligentCross Canada will begin to accept orders at 6:30AM ET, thirty minutes prior to the open of trading on ASPEN VERT (Pre-Market Order Acceptance Period) and two and a half hours prior to the open of trading on ASPEN and MIDPOINT.

Is CIX IntelligentCross Canada an approved ATS?

CIX is in the process of obtaining regulatory approval to launch and operate the CIX IntelligentCross Canada order books. Upon receipt of regulatory approval, CIX will announce the anticipated launch date for CIX IntelligentCross Canada books. CIX will launch all three CIX IntelligentCross Canada order books simultaneously.