On April 16, 2015, the Ontario Securities Commission approved proposed amendments to Alpha’s Trading Policies that were published on November 6, 2014, subject to a revision and to terms and conditions noted below.
These amendments include the implementation of a randomized order processing delay on all orders other than “post-only” orders, which by definition cannot remove liquidity from the order book. The proposal as published referenced a randomized delay of 5-25 milliseconds. This was subsequently revised and the proposal was approved with a randomized order processing delay of 1-3 milliseconds.
In approving the Alpha order processing delay, the Commission imposed the following terms and conditions:
- orders displayed in the Alpha order book will not be considered to be protected under the Order Protection Rule (“OPR”) in Part 6 of National Instrument 23-101 Trading Rules (“NI 23-101”); and
- Alpha will provide analyses of the impact of the Alpha speed bump on the market as required by the Commission.
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