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Exchange Information

Location

The Montreal Exchange (MX) was founded in 1874 and is Canada’s oldest exchange. By 1999, MX was the only financial derivatives exchange in Canada. It became a for-profit corporation on October 1, 2000, and became the first traditional exchange in North America to be fully electronic in 2001.

Matching

MX provides matching via their SOLA® electronic trading platform and matching (i.e. Trading) engine. The SOLA Trading engine is located in Markham, Ontario.

MX matches orders by price/time priority (FIFO) and Opening matching algorithms.

Supported Products

Traders connecting to MX via the MX Gateway have access to futures, options on futures, future spreads, and option strategies for derivatives in the following product categories:

  • Interest Rate
  • Index (futures and future spreads only)
  • Climate exchange futures

Unsupported Products

The MX Gateway currently does not support equity, ETF, currency, and index options listed by the Montreal Exchange. When these products are provided via the MX HSVF price feed, they will be supported in a future gateway release.

Supported Exchange Functionality

TT supports the following exchange functionality that is critical to current MX traders:

  • Resting Market On Open (MOO) order quantities
  • The number of orders at each level of aggregated depth
  • Implied prices
  • Cross orders
  • Iceberg orders
  • Request for Quotes (RFQ)
  • Threshold prices (lower and upper)
  • Report executed Block trades
  • Inter-Group Strategies (IGS)

Unsupported Exchange Functionality

The MX Gateway currently does not support the following:

  • Cancel on Disconnect
  • Drop Copy and MX Risk Tools
  • Committed Orders
  • User-Defined Strategies

Trading Hours

Trading hours vary per product at MX, so you will have to contact the exchange for the exact trading hours and market states for specific products. The following table shows the general trading hours for the product categories supported by the MX Gateway (all times are Montreal local time (EST)).

Montreal Exchange Trading Hours
Product CategoryHours (EST)
Interest rate (e.g., BAX, CGB)5:30 AM - 4:00 PM. Three trading sessions occur within this time frame.
Index (e.g., SXF, SCF)5:30 AM - 4:15 PM. Two sessions within this time frame; one session for SXO.
Climate exchange futures (e.g. MCX)9:30 AM - 4:00 PM.

Market States

The MX market states occur during the regular and extended trading sessions. Each MX market state or “trading stage” may occur multiple times throughout the trading day depending on which products are being traded.

The following table describes the MX market states.

MX Market States
Exchange Market StateDescription
Pre-Opening

Order Entry: Traders can enter, change, and cancel orders, but no matching occurs. Market on Open (MOO) orders are accepted, but not required to calculate a Theoretical Opening Price (TOP).

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange provides a Theoretical Opening Price (TOP) that the MX Gateway sends as the Indicative Open Price, a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity. The gateway also sends the PRE-OPEN market state to X_TRADER®, which displays it in the S column of the Market Grid.

State Changes: Occurs prior to the Opening phases of the early, regular, and extended trading sessions.

No-cancellationOrder Entry: Traders can enter orders, but cannot delete or change orders. No matching occurs.

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange provides a Theoretical Opening Price (TOP) that the MX Gateway sends as the Indicative Open Price, a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity.

State Changes: Occurs prior to the Opening phases of the early, regular, and extended trading sessions.

Opening

Order Entry: Normal order entry, modification, and cancellation permitted and matching occurs.

Market Data: All filled orders update Last Traded Price and Last Traded Quantity. In addition, only prices in the Open state affect the High/Low prices for the trading day. Resting market and limit orders are matched at the price calculated by the exchange when the market moves from Pre-Open and No-cancellation to Open.

State Changes: Remains open until Closing state prior to the Extended Session.

Closing

Order Entry: No order actions (new, change, delete) permitted and no matching occurs.

Market Data: The daily closing price is the price at which the greatest possible volume can be matched in the respective contract.

State Changes: The trading period ends with the Closing state, then moves to Closed before the Extended Session.