(October 10 – 10:15 ET) – The TSE is seeking comments on a plan to implement an electronic volume-weighted average price trading system. TSE brokers and eligible institutional clients will be able to access it directly.
The TSE’s board has approved the plan. It now requires assent from the Ontario Securities Commission.
In June 2000, the TSE entered into an agreement with Ashton Technology Canada to operate Ashton’s proprietary eVWAP trading system as a facility of the exchange. The eVWAP trading system provides pre-opening order matching for large-sized equity orders at a volume weighted average pric determined after the close of the regular session. It will also provide anonymity.
The exchange says it believes that the introduction of the eVWAP facility will address the need for brokers and eligible institutions to trade large blocks of stocks efficiently and anonymously in order to reduce “market impact” costs.
The eVWAP system will accept orders from 6:30 a.m. until 9:15 a.m. at which point the matching sequence is run. The executed trades will be confirmed by 9:20 a.m. The price is determined at 4:15 p.m. based upon the eVWAP Price and the trades are reported by approximately 4:20 p.m. At 9:15 a.m. the system matches intentional crosses and then matches orders in the first and then the second tier. Priority is determined within the first two tiers by size and then time priority. The system will disseminate trade reports immediately after the matching sequence is run at 9:15 a.m. or after 4:15 p.m. when the eVWAP Price is determined.
Initially, stocks included in the S&P/TSE 60 Index will be eligible for the new system, which is expected to start early in 2001. The exchange will be inviting users to participate in testing in November or December. Comments are due within 30 days.
-IE Staff