SIGMA X CANADA

FIX Interface Specification

Version 01.12.2011

FIX Connectivity Support:

(212) 357-6233
gs-fix-team@gs.com

This document contains confidential and proprietary information of the

Goldman Sachs Group, Inc.
Introduction to SIGMA X Canada
SIGMA X Canada is Goldman Sachs Canada Inc’s (“GSCI”) non-displayed Alternative Trading System
(“ATS“) that provides subscribers with the opportunity for price improvement, liquidity enhancement, and
faster executions while reducing market impact and footprint in the public marketplaces.

SIGMA X Canada Order Book

The SIGMA X Canada Order Book (“Order Book”) is comprised of liquidity-providing orders routed by
participants. Orders directed to SIGMA X Canada will interact with other orders resting in the Order Book as
well as orders passing through the ATS on the way out to the public markets via the Goldman Sachs
Execution & Clearing, L.P. (“GSEC”) smart order router for Canadian markets (“SOR”). Please note that
GSEC is a U.S.-registered broker-dealer affiliate of GSCI and only participants who also are clients of GSEC
will be able to access SIGMA X Canada using the SOR.

Accessing SIGMA X Canada

SIGMA X Canada can be accessed by participants during the hours of 7:00 a.m. to 4:00 p.m. EST directly
according to the FIX Interface Specifications outlined below or by routing orders through GSEC’s direct
market access platform, REDIPlus®, or GSEC’s FIX-based trading and connectivity system, GSETConnect,
using the SOR or an algorithm made available to them by GSEC. SIGMA X Canada orders are matched
during the hours of 9:30 a.m. to 4:00 p.m. EST.

Clients accessing SIGMA X Canada thorough GSEC must be properly entitled for SIGMA X Canada and the
SOR by their account service representative.

Introduction to the SOR

The SOR is GSEC’s smart order router that has been designed to simplify trading in the Canadian marketplace
where competing market venues have fragmented liquidity. The SOR leverages technology to consolidate
access to all Canadian pools of liquidity for Canadian TSX-listed securities.

Notes on General Requirements

Default Values – Default values are specified in this document. These values are supplied by the ATS’s
order management infrastructure and are not required to be sent by clients or vendors.

FIX Versions – This specification includes tags from versions 4.0 through 4.4. Vendors or clients who cannot
support certain tags are encouraged to contact the SIGMA X Canada FIX team to arrange alternative tag
numbers.

Order Amendment and Cancel/Replace – Order parameters can be cancel/replaced with some
exceptions. Consult with your GS representative for additional details.

Order Entry Time Restrictions – SIGMA X Canada orders are accepted between 7:00 a.m.-4:00 p.m. EST.
SIGMA X Canada orders are matched during hours of continuous operation (9:30-4:00pm EST).
Note: All time-related parameter values must be expressed in the GMT time zone, UTC format.

Orders directed to SIGMA X Canada outside of these hours will be rejected. Participants accessing SIGMA X
Canada through GSEC can route orders via the SOR during pre-, continuous, and post market sessions
provided the tags needed to be specified on the order can be communicated to SIGMA X Canada.

Order Size Restrictions – The SIGMA X Canada order management infrastructure enforces maximum
order size restrictions on a per-order basis to help prevent erroneous orders. Orders that exceed the maximum
size will be rejected. Other risk controls are available for both direct ATS and SOR orders.
Rejects – Invalid orders will be rejected with a FIX Execution message (Tag 35=8) with order status of
Rejected (Tag 39=8).

Required and Default Values – Most parameters are either optional or have the supplied defaults
shown in this FIX specification. Fields labeled as (Required) in the specification must be sent in the
FIX order message.
Note: that text values are case sensitive.

Tags Required on ATS and SOR orders:

Currency: Tag 15. All orders should contain the ISO currency code for the primary market of the security.
Product Symbols: Tag 22 and Tag 48.
Valid values for Tag 22 are:
5 = RIC (preferred for Canadian orders)
Tag 48 = Security ID.
Side: Tag 54
Valid values for Tag 54 are:
1 = Buy
2 = Sell
5 = Sell Short
6 = Sell Short Exempt
Quantity:
Tag 38 = number of shares
SIGMA X Canada Order Types

Order Type Required FIX Tags Description

& Values

ATS IOC Order 100=SX IOC orders checks for an immediate execution within SIGMA X
59=3 Canada. IOC orders will never be routed to the public markets and the
54=1,2,5,6 user receives an OUT on the unexecuted portion.

ATS DAY Order 100=SX DAY orders route to SIGMA X Canada ATS directly. There orders will
59=0 interact with other marketable orders within Order Book as well as
54=1,2,5,6 orders passing through SIGMA X Canada to leverage the SOR.

SOR (ATS Pass 8031=SOR Sweeps orders through the SIGMA X Canada ATS to improve execution
Through) Order 100=; quality before being routed to the public markets.
59=0,3 Any unexecuted portion of the order is posted to the public markets by
54=1,2,5,6 the SOR based on default posting logic that is configurable per user.

SIGMA X Canada & SOR Execution Instructions

Execution Required FIX Description

Instructions Tags & Values
Peg Primary 18=R Buy orders will track the NBBO bid price and Sell orders will track
54=1,2,5,6 the NBBO ask price.
40=P

Peg Mid 18=M Peg Mid allows an order’s limit to track the NBBO mid price. This
54=1,2,5,6 order type’s primary usage is to facilitate midpoint execution crosses
40=P while improving spread capture.

Peg Market 18=P Buy orders will track the NBBO ask price and Sell orders will track
54=1,2,5,6 the NBBO bid price.
40=P

Price Limit 44=Price Limit Orders will be sent directly to SIGMA X Canada at the specified limit
40=2 price. Price limit can be used in conjunction with all peg orders.
54=1,2,5,6
Note - SIGMA X Canada treats market orders as Peg Market orders.
SIGMA X Canada Order Modifiers

Modifiers FIX Tags & Required Description

Values

Minimum 110 No MXQ defines the lowest number of shares an order will
Execution ever print for within SIGMA X Canada. If an opposite side
Quantity (MXQ) order meets a user’s limit price, but does not satisfy the
user’s MXQ threshold, the orders will not match.

Note - This attribute is available for all SIGMA X Canada

order types.

Discretion Offset 389=$$.cc No An order with discretion is willing to buy (sell) at a higher
(Explicit Value) (lower) price. It is a value added to buy orders and
subtracted from sell orders. Explicit values are in terms of
cents to be added/subtracted from the order’s base limit
price.

Discretion 11388 No
(Relative Value) Values: Within SIGMA X Canada relative discretion prices (Bid,
Mid, or Ask) are acceptable. Thus, a user’s order could
11388=101 float at an explicit or relative price (ex Peg Bid) and have
Discretion BID discretion to another relative price (ex Mid).

11388=102 This will often be used in conjunction with a Minimum

Discretion ASK Discretion Quantity as a user would be willing to pay up if
a significant quantity existed within SIGMA X Canada.
11388=103
Discretion MID Note - Discretion Offset (explicit) will override if used in
conjunction with Discretion Relative Values.

Minimum 11100 No Minimum Discretion Quantity (MDQ) defines the

Discretion minimum number of shares for which a SIGMA X Canada
Quantity (MDQ) order will utilize its discretion. If an opposite side order is
within the price bounds of a user’s discretion, but its
quantity does not meet the user’s MDQ, the user’s order
will not pay up (or sell down) to facilitate an execution.

Note - MDQ can only be used in conjunction with a

SIGMA X Canada order that has a defined discretion.
Optional Canadian Order Markers

Marker FIX Tags & Values Required Description

TraderID 6751 Yes The Canadian PO’s user ID for a trader.

Values:

Registered TSXtrader ID

AccountType 6750 No Type of trading account.

Values:

NC (NonClient) Default
CL (Client)
ST (Equities Specialist)
IN (Inventory)
PT (Professional Trader)
MP (ME pro order on TSX)
OF (Options firm account)
OT (Options market maker)

Anonymous 6761 No Flag to indicate if the order is to be represented as

Values: anonymous broker (001).

N = No (default)
Y = Yes

BasketTrade 6754 No Identifies the order as part of a basket trade.

Values:

N = No (default)
1*5Digit = BasketNumber

TSXBrokerNumber 6774 No An Exchange-assigned three-digit public

Values: number identifying a Member Firm.
Anonymous orders are assigned a public
Three-digit public PO broker number of 001.
number

Jitney 6757 No An order that is marked as being executed on behalf

Values: of another Canadian PO.

N = No (default)
1*3Digit =
TSXBrokerNumber

ProgramTrade 6755 No A marker to indicate that the order is part of a

Values: specialized basket trade comprised of index
securities to offset an options or futures position.
N = No (default)
Y = Yes
 RegulationID 6763 No Identification marker for UMIR-specific designation
Values: to orders and trades.

IA = InsiderAccount
NA = Not Applicable, only
used on OMR
SS = Significant Shareholder

SIGMA X Canada Execution Reports

Execution Reports FIX Tags & Values Description

Liquidity Info 8023=1 (Adding) Liquidity information can be provided on all executions within the
8023=2 (Removing) SIGMA X Canada. User defined field will transmit back to the client
details on whether their execution added or removed liquidity from
book.

*Note – Liquidity Info is added upon request.

Last Market 30=SGMC All SIGMA X Canada executions will be represented with a last market
of SGMC on execution reports.

Executing Broker 76=GSCI Executing broker on all trades done within SIGMA X Canada will
return a contra party of GSCI.