- I. In the absence of orders, if the price of the cross order respects the auction tunnels.
- II. When the spread is wide (larger than a tick size):
- a) Between the bid/ask, respecting the tick size for each security or derivative.
- b) At the bid/ask in the following cases:
- Orders relating to structured transactions.
- Orders designed to correct operational errors by a participant.
- III. In situations where the bid/ask spread is tight (equal to a tick size), cross orders can be registered at the best bid or ask in the following cases:
- a. Orders of a size disproportional to the liquidity of the security or derivative, according to parameters to be issued by B3 from time to time.
- b. Orders of a size disproportional to the liquidity of the security or derivative for execution at the average price for the day, generated by TWAP (time-weighted average price) or VWAP (volume-weighted average price) algorithms, according to parameters to be issued by B3 from time to time.
- c. Orders relating to structured transactions.
- d. Orders designed to correct operational errors by a participant
It should be noted that item II b) above applies only to assets and derivatives with a defined cross order minimum size. Cross orders for instruments without a defined minimum size will be entered at the best bid or ask rejected in the situation described in II b) above.
For cross orders registered via a master account, volumes relating to III a) and III b) above will be calculated for the trading account instead of the final account.
