Thursday, 1 October 2015

Simple, quick Reg NMS thoughts for the day

There are too many non-public venues and too many complexities around various venues, public or not.

Make an ATS a time limited "pre-exchange" license. Perhaps one or three years. The venue should become a public, open exchange or pack-up and go home. Principle: markets should be fair and open.
Depiction of traders under the buttonwood tree outside 68 Wall Street
(Source: Wikipedia / Library of Congress)

Block venues, currently called an ATS, should be separately licensed and have a minimum size or value threshold for an order. $1M? Perhaps they should just go away or be limited to overnight gatherers that then cross the next day, or the next week, at a fair price such as VWAP. If you don't like it, use algos to trade on public exchanges.

Payment for order flow (PFOF) used to make sense in a less mature world but now it is a perversion preventing fair and open markets, especially for retail. Most retail orders in the US never get to an exchange. This is wrong. PFOF should only be allowed for small brokers as a dip of the hat to small brokers' cost structures. Big brokers should be judged on how they serve their customers. Principle: trades should not be unduly siphoned off from public and fair market places.

Pricing for all exchanges should be one volume tier. Order type and passivity differentiation is OK if not linked to volume. If an exchange needs to consider economies of scale, do it with connection or membership fees as a fixed monthly or annual cost. Principle: fair and simpler markets.

All order types should be replicable from a connected co-location with simple order types, such as limit or ioc, with no disadvantage. Complex order types have unintended consequences and impose complexity on the client. I could imagine an SEC approved list of order type families being limited to perhaps five or ten. If the SEC approves a new family, then one gets kicked out. All other order types would have to be composed from these and be replicable by a client of the exchange with no disadvantage. Participants, including retail, should not be disadvantaged by complex order types. Principle: fair and simple markets.

If delays are used in a matching process, all information should be similarly delayed. That is, there should be no preferential information within the matching boundary, even for an exchange. There shouldn't be complex time based reasoning about time differentials in a matching process. Time differentials are akin to "knowing the future" for a decision and distort reality. Principle: need to simplify and keep markets fair.

Brokers need to do 15c3. A broker needs to understand their clients' credit. Exchanges, as so far as margin or capital requirements for a broker, should do so as well. Perhaps allow third party risk evaluators (somewhat replacing prime brokers)?

Buttonwood Agreement: The first version of Reg NMS?
(Source) (Click to enlarge)
Internalisers, as an ATS, should be a public exchange or shut down. Private parties that wish to exchange ownership should do it transparently in a public forum if they make more than some number of very low number transactions per day. You should allow private exchange of ownership but private trading, whether or not it is under a buttonwood tree, should be limited. Principle: fair, public, and open.

Not sure what to do about routing... perhaps it should be the responsibility of public exchanges or a system closer to that in Canada.

A quick 15 minute dump (or 30 minutes with pictures) until I change my mind tomorrow,


Tuesday, 15 September 2015

UBS and IEX gain - ITG lose - FINRA ATS Tier 1 Weekly Stats

The new weekly FINRA ATS Tier 1 Stock volume report came out yesterday for the week of Aug 24. It was a big week for volume in the markets. The total number of shares trading in the pools increased 37% from 3.7B the week prior to 5.1B for the week of 24 Aug.

As you can see from the chart below, UBS gained share to become the #1 ATS for Tier 1. IEX's gain in share was also notable though its ranking remained steady at #3.

The ITG POSIT slump continued. You can see their share in the chart below as the big orange line. In a week of improved volumes,  ITG's volume actually decreased. ITG's share dropped to 1.62% to be 67.1% below the recent minor peak of 4.92% share reported 20th July. ITG POSIT would now need to better than triple its market share to regain the ground it has lost since 20 July which is a similar story to that recently reported in ITG's August report regarding ITG POSIT Alert, their large block platform.

ITG POSIT market share summary

Date Volume Tier 1 ATS %
Total Volume Tier 1 ATS
24 Aug 82,129,300 1.62%
17 Aug 82,526,400 2.23%
10 Aug 78,325,400 2.41%
3 Aug 96,944,300 2.62%
27 Jul 144,365,800 3.88%
20 Jul 175,855,300 4.92%
13 Jul 142,353,700 4.57%
6 Jul 167,849,900 4.84%
29 Jun 127,840,200 4.76%

(Click to enlarge)
ATS data is provided via and is copyrighted by FINRA 2015

Thursday, 10 September 2015

ITG - POSIT Alert down 68% for Aug - tripling would not recover to normal

ITG released their usual monthly update on trading volumes via an SEC Edgar 8K form today.

The filing fills in a bit more of the picture of declining volumes that has been discernible from the FINRA ATS volumes. Let's meander through.

Firstly, we need to consider the market environment.

The market was busy in August, in case you hadn't noticed. The consolidated market was around 7.92 billion shares average daily volume (ADV) for August 2015, which from August 2014 at 5.24B ADV, represents an increase of 51% over the same month from the prior year. August 2015's consolidated volume represented an increase of 17.5% from July 2015's 6.74B ADV.

July was a busy month for ITG with 16.2M ADV for the block oriented POSIT Alert and 101.0M ADV for regular POSIT.

All things being equal, ITG should have seen increased volumes in August given the market state, except for that little old SEC report and settlement. That takes us to ITG's 8K filing:

ITG U.S. Trading Activity

# of

Total U.S.

Average U.S.
Daily Volume



Alert Daily

Trade Size

Avg. Trade
Size Ex-

August 2015


















*Excluding shares crossed through POSIT Alert from ITG algorithms

The year to date figures include August, so if we back those out we get:

# of Trade Days Average POSIT daily volume

Average POSIT Alert daily volume
August 2015
21 55,991,590 -40.37%
5,095,790 -68.25%

146 93,901,299


Remarkably if POSIT Alert volume now tripled, POSIT Alert will not have recovered to the prior levels. Quite some remediation is required.

The scandalous SEC settlement came out on Aug 12. So, although a prospective settlement was announced late July, the market's full understanding did not kick in till half way through August. Offsetting this overstatement of "current" or immediate volume embedded in the monthly statistics is the fact that the ITG DC had shut-down temporarily affecting volume.

This is just for the US. The 8K reports the following with regard ex-US business,
"The average daily commissions in August 2015 in ITG’s Canadian, European and Asia Pacific businesses was down a combined 35% compared to the second quarter of 2015."
This comment,
"During August 2015 there was an increase in the percentage of trading activity from sell-side clients as compared to the level in the second quarter of 2015, significantly reducing the overall average revenue per share."
indicates that besides an exaggerated negative effect on revenue, the the buy-side has been the larger portion of the volume disappearance. You have to wonder why the buy-side trades with ITG at all, especially knowing they are paying more than the sell-side.

The decrease in volume is worse than it seems as market volumes have increased significantly.

The ITG share price finally crashed through the 52-week low today settling at $14.21 which was -7.85% for the day. The Board members who were sitting prior to 2011 have still not resigned. Why is Gasser still listed at being a director on the board? Does ITG sill prop trade? Did ITG mislead the US Senate in testimony? The class action law suits continue brewing.

It's not an easy time for the many good staff at ITG let down by their board and a few senior managers.

Tuesday, 8 September 2015

ITG - POSIT market share decline continues

The market share of ITG's POSIT dark pool slipped a place in the rankings to fifteenth according to the FINRA data released today, being for the week of 17 August 2015. POSIT had a small decline in market share to 2.23% of all ATS Tier 1 shares by volume which is a loss of approximately 55% of market share since 20 July 2015.

The following board members have not resigned from ITG's board; they should:

  • Maureen O'Hara (Jan 2003 -)
  • Minder Cheng (Nov 2010 -)
  • Christopher V Dodds (Jun 2008 -)
  • Robert C Gasser (Oct 2006 -) 
  • Timothy L Jones (Mar 2005 -) 
  • Steven S Wood (Feb 2010 -)

ITG POSIT statistics for Tier 1 US Stocks - released by FINRA 8-Sep-2015

Date Volume Tier 1 ATS %
17 Aug 82,526,400 2.23%
10 Aug 78,325,400 2.41%
3 Aug 96,944,300 2.62%
27 Jul 144,365,800 3.88%
20 Jul 175,855,300 4.92%
13 Jul 142,353,700 4.57%
6 Jul 167,849,900 4.84%
29 Jun 127,840,200 4.76%

ATS data is provided via and is copyrighted by FINRA 2015

Tuesday, 1 September 2015

ITG Posit - market share now 50% below peak

The latest Finra Tier 1 ATS Stock data was released 31 August. It shows the ITG Posit share slide continuing after the scandal announcement.

However, the slide from the previous week is small and within the bounds of regular noise in market share.

The notable statistic is that the 10-August share of 2.41% is over 50% below the 20-July recent pre-scandal disclosure peak. It is 50.5% of the four weeks of pre-scandal market share. You'd expect that the recent data centre problems and temporary shut-down of Posit will not help the statistics improve in a months time.

ITG POSIT Tier 1 Statistics - FINRA release 31 August 2015

Date Volume Tier 1 ATS %
10 Aug 78,325,400 2.41%
3 Aug 96,944,300 2.62%
27 Jul 144,365,800 3.88%
20 Jul 175,855,300 4.92%
13 Jul 142,353,700 4.57%
6 Jul 167,849,900 4.84%
29 Jun 127,840,200 4.76%

(Click the graphic above to enlarge)
ATS data is provided via and is copyrighted by FINRA 2015

Friday, 28 August 2015

Trade system performance - state of the art

I get asked about this a bit. What latency, wire to wire, stimulus to response, would be state of the art for a trading system or EMS?

How quaint: 1 ms == 1,000,000 ns
Ask two people and you'll get seven opinions. This post represents my current meandering point of view. At least until later today, perhaps.

First, a little historical context.  A little after the turn of the century, I started a new job at Susquehanna. Someone had drawn with a marker the important goal for the team on the window. It simply said, "< 2ms." In those ye olde times of yore, the fastest vendor system going around was Orc's Liquidator which was not far from around 0.5 ms with its approximately seven figure price tag. Seems positively Penny Farthing now. Today we count nanoseconds.

Ignoring other factors, which are almost always more important, my view on state of the art engineering, assuming a 10G connection, is roughly:

Ho-hum <  2,000 ns
Good <     500 ns
Excellent <     100 ns

Ho-hum < 10,000 ns
Good <  5,000 ns
Excellent <  2,000 ns

Today, low latency is a necessary but insufficient condition for success. Sufficient speed is assumed. You have to dial in your peculiar "sufficiency" for your circumstance. Fast enough with an eye to cost as you can only win with trades you can afford to do. Low latency capabilities are now widespread and thus the main focus is typically elsewhere.

However, we all need to remember, Knuth's "premature optimization is the root of all evil" does not apply here. Architecture has to be planned. Too late is too late.

Waste not, want not.


The following Asset Managers need to select their tools with greater care:

Monday, 24 August 2015

ITG Posit - Aug 3 Finra ATS stats - was 62% higher before scandal

The first full week of trading after the announcement of a possible ITG SEC settlement has percolated out via the FINRA ATS Statistics for Tier 1 US stocks. The statistics are post the ITG press release but before the gory SEC details were available. The SEC's settlement announcement and details were published August 12.

The raw numbers for ITG POSIT are:

Date Num Shares ATS share%
3-August-2015 96,944,300 2.62%
27-July-2015 144,365,800 3.88%
20-July-2015 175,855,300 4.92%
13-July-2015 142,353,700 4.57%
6-July-2015 167,849,900 4.84%

The 96.9M shares reported for the week of August 3 has to be increased 62.5% to get to the average of 157.6M shares reported for the weeks from July 27 to July 6. This is a cute way of describing a 38.5% fall in the numbers of shares traded by POSIT compared to the prior weeks' average.

Below is a rather hastily put together chart of the history of recent ATS Tier 1 stocks (click on the picture to enlarge). ITG POSIT is the large orange line with the big circular symbols. IEX has picked up share as ITG has fallen and, to a lesser extent, so has MSPL MS POOL (ATS-4) as other ATS stats also lifted slightly.

ITG continues to trade significantly above its 52 week low and further board changes have not yet been announced.
ATS data is provided via and is copyrighted by FINRA 2015

Thursday, 13 August 2015

ITG - post settlement meanderings

Ex-CEO Robert Gasser's compensation from 2010 to 2014 was:

$15,695,178 = 77% of the SEC settlement

The SEC's findings suggest there may be a case for clawback.

Reflections in a Dark Pool (source)
Given the Securities Exchange Act of 1934 Section 17 violations already found and admitted, there seems to be a prima facie case for the same argument for the non-omega $70+M ITG has made from prop trading since 2002.

There is no direct evidence of interaction with customer flows from those trades, just hearsay and scepticism. Nevertheless, the same SEC argument applies: many buy-side customers were misled as to the agency-only nature of the firm directly by ITG, or indirectly via their sales and marketing collateral.

Perhaps further penalties would be lighter than the previous ratio of nine to one ($18M to $2M)? That would be for the best as otherwise any disgorgement of such profits would be a significant portion of ITG's June 30 cash balance of $211.79M.

I do wonder what interest really exists in the various ITG investor class suits. It seems likely to be more distraction than reality. The top 10 institutions own 46.36% but the median holding is just 0.015% of assets. This suggests the main shareholders have more important things to worry about. Perhaps aggrieved customers would be a better target for the law firms as a refund of trading fees may be of interest. Not quite the same cookie-cutter type of class lawsuit though.

ITG's insider sales list may be due for some scrutiny.

Kevin J.P. O'Hara's resignation from the board looks better today. 

The board allowed Project Omega to start. Why is the rest of the board not being held to account?

A sale or merger (reverse or otherwise) seems inevitable as a different level of trust is only possible with completely new management, and a new board.

It's not the end of the beginning but the beginning of the end.


ITG - Prop trading for June Q 2015, Y2014, Y2013 and down the rabbit hole

As I've nauseously over-meandered previously, here (Dec 2014), here (one line July 2015), here (Dead Firm Walking), here (Gasser Gone), and here (Settlement), ITG continues to proprietary trade.

Here are the rough figures from 2000 that I could find in the 10Qs and 10Ks. Generally it represents ITG Canada's "Other" revenue line (excluding some mentioned items):

$ in thousands
Q2 2015 1,770
Q1 2015 1,834
Y2014 8,526
Y2013 8,193
Y2012 6,020
Y2011 6,282
Y2010 5,572
Y2009 8,450
Y2008 - Peak? 16,512
Y2007 11,042
Y2006 8,800
Y2005 increased
Y2004 ?
Y2003 ?
Y2002 ?
Y2001 ?
Y2000 ?

Total 83,001

Roughly, ITG's non-Omega prop trading was worth somewhere between $70M and $100M. It is not clear though and $70M would seem too low. 2005 was the year I was made aware of it but it wasn't obvious from the financial reports back then. Perhaps there is more in other line items I've not touched on here.

So, quite a bit more profit than Project Omega's $2M from the SEC settlement. ITG was not so hopeless at prop trading that the limited $2M made them seem.

Here are a few quotes from the reports:
2008: "Interlisted arbitrage trading revenues improved to $15.9 million compared with $10.9 million in the prior year, benefiting from higher market volatility."
2007: "Other revenues included $10.9 million from our interlisted arbitrage activities versus $8.8 million in 2006"
2002: "(e) income/loss from positions taken by ITG Canada as customer facilitations (a customary practice in the Canadian marketplace) as well as income from same day Canadian interlisted arbitrage trading."
2009: "Revenues from principal trading (included in other revenues) were down in 2009 compared to 2008. Aside from an unfavorable foreign exchange impact of $0.6 million, the reduction was attributable to several factors including lower market volatility and the expanding presence of high frequency participants (which has narrowed spreads and therefore reduced profitable trading opportunities)."
2010: "Revenues from principal trading (included in other revenues) were lower in 2010 as the expanded presence of professional trading firms has significantly reduced the spread to be earned and thus limited principal."
In ITG's latest 10-Q filed with the SEC on August 10, 2015, on page 20 of the ITG report to the SEC,
"Other revenues include: (i) income from principal trading in Canada, including arbitrage trading,"
However, this quarter ITG is more circumspect than usual in the Canadian segment and fail to elaborate what the "Other" line item consists of in any regard. In previously quarters "Other" has typically been mainly prop trading via the US / CAD interlisted stock arbitrage, but there are no indications this time. If typical, prop trading would be most of the $1.77M "Other" revenue for the quarter.

In the 10-K for the year ended Dec 31 2014, we can see the further mention on page 31 and page 32,

with the following comment,
"Other revenues increased slightly due to an increase in income earned on foreign exchange transactions and principal arbitrage trading, partially offset by losses on client accommodations and the impact of currency translation."
So, it seems around $8M for both 2014 and 2013 for ITG's prop trading? Prop trading certainly may help the bottom line.

We don't know if customer or pool activity is involved directly or indirectly for stock or FX as part of this prop arb.

At least in the 10-K on page 12 with regard to risks we can read,

"We incur limited principal trading risk in our Canadian Operations. 

        A limited portion of our revenues is derived from principal trading in our Canadian Operations, including arbitrage trading and the net spread on foreign exchange contracts executed to facilitate equity trades by clients in different currencies. As a result of this trading, we may incur losses relating to the purchase or sale of securities and currencies for our own account. Although we attempt to close out all of our positions by the end of the day, we bear the risk of market fluctuations and we may incur losses due to changes in the prices of such securities and currencies. Any principal gains or losses resulting from these positions could have a disproportionate effect, positive or negative, on our revenues and profits, and could also result in reputational damage."
Maybe ITG should stop prop trading?


PS: I wonder if any of these insider sales may be problematic? 

ITG - Project Omega's SEC settlement

ITG's well publicised fall from grace with respect to Project Omega's prop trading against POSIT has been settled with the SEC. The sums are in-line with those previously mentioned by ITG, totalling approximately $20M.
Board accountability?
ITG share price from 1999 sourced via Google Finance
(click to enlarge)

SEC press release is here.
SEC settlement PDF is here.
ITG Investor Relations: ITG completes settlement with SEC.
Hitesh Mittal terminated Aug 9 by AQR [WSJ Bradley Hope].

From the ITG press release,
"Interim Chief Executive Officer, Jarrett Lilien, said: “...we now have the opportunity and the responsibility to restore the bond of trust with our clients and make it stronger than ever before."
A noble goal.

There are some awkward parts to meander through:
"Even within ITG, Project Omega was only to be discussed on a “need-to-know” basis, and even the customer-facing side of ITG was not informed of Omega’s existence." [paragraph 28]
ITG analysed which customers were "best" to facilitate against,
"Based on these ongoing profit and loss analyses, and without POSIT subscribers’ knowledge or consent, the Omega team made decisions about whether to stop trading with a small number of subscribers and to continue trading with others." [paragraph 46]
The "Basic Facilitation" strategy example given by SEC,
"Step 1: Using the Aleri Feed, Omega detects an ITG sell-side customer order to buy shares of XYZ stock where the best bid is $10.00 and the best offer is $10.02 per share.
Step 2: Omega buys XYZ stock for $10.00 per share in a displayed market. 
Step 3: ITG algorithm routes ITG sell-side customer order to buy XYZ stock to POSIT. 
Step 4: Omega sells XYZ stock to ITG sell-side customer in POSIT for $10.02 per share,resulting in trading revenues of $0.02 per share for ITG." [paragraph 44]

The "Heatmap" example from the SEC report,
"Step 1: Using the Heatmap Feed, Omega detects a midpoint execution for an ITG customer on an order to sell XYZ stock in an external dark pool (“ABC Dark Pool”) where the best bid is $10.00 and the best offer is $10.02 per share. Omega infers that more midpoint liquidity could exist in ABC Dark Pool.
Step 2: Omega buys XYZ stock for $10.00 per share in a displayed market.
Step 3: Omega sells XYZ stock at the midpoint for $10.01 per share in ABC Dark Pool, resulting in revenues of $0.01 per share for ITG." [paragraph 57]
Liquidity executive was reprimanded. Omega shut-down. Omega adjusted. Omega restarted with Liquidity executive in place with no organisational changes. [paragraphs 64-66].
"...Project Omega continued to have improper access to information identifying POSIT subscribers. In addition, the Omega team continued to coordinate with ITG’s POSIT development team to identify the sell-side subscribers for Omega to trade with in POSIT and to ensure that such subscribers were configured to trade “aggressively” in POSIT." [paragraph 67]
Notably the number of shares traded against Heatmap was not discussed by the SEC:
"Project Omega traded a total of approximately 1.3 billion shares, including approximately 262 million shares traded with unsuspecting subscribers in POSIT in connection with the Facilitation Strategy." [paragraph 70]
The active rounding up of customers to be aggressive within the pool so ITG could take advantage of them is especially troubling. Customers are not sheep.

Board accountability? 

"Thereafter, on the recommendation of senior management, Group’s Board of Directors approved a proprietary trading desk that was limited in scope..." [paragraph 22]
Enough said. 

If in doubt refer to the last 15 years of share price history.

Further proprietary trading by ITG?

Given these SEC comments and findings:

13. ITG has historically operated and marketed itself, and has a reputation as, an independent “agency-only” brokerage firm. This designation was meant to convey that the firm did not engage in proprietary trading for its own account. 
27. Proprietary trading represented a significant departure from ITG’s core “agency-only” business model and public profile, and ITG had concerns that Project Omega or proprietary trading at ITG could result in reputational risk for the firm...
79. As a result of the conduct described above, ITG Inc. and AlterNet willfully violated:
a. Sections 17(a)(2) of the Securities Act, which prohibits, directly or indirectly, in the offer or sale of securities, obtaining money or property by means of any untrue statement of a material fact or any omission to state a material fact necessary in order to make the statements made, in light of the circumstances under which they were made, not misleading; and 
b. Section 17(a)(3) of the Securities Act, which prohibits, directly or indirectly, in the offer or sale of securities, engaging in any transaction, practice, or course of business which operates or would operate as a fraud or deceit upon the purchaser.
What do we make of the rest of the ongoing ITG proprietary trading, as mentioned previously here and here? It has been going on for well over a decade now. Hidden in plain sight, that prop trading has been far more profitable than Project Omega ever was, according to ITG's own 10-Q filings. Has it ever interacted with ITG's customers or pools?  Given what the SEC has found out about the hidden nature, and need to know basis, of Project Omega, perhaps ITG's client facing staff really don't know the full details? They certainly can't be sure.

The main strategy reported in the ITG Inc's 10-Q filings is the ongoing proprietary trading of US securities as part of the interlisted arb by their Canadian subsidiary. We don't know if there are other strategies involved beyond this stock and currency focused arb. The interlisted stocks may be traded in both CAD and USD. Such trades may cleared by DTCC, and the Canadian CDS Clearing and Depository Services Inc due to their joint arrangements and the securities' fungibility. They are the same stocks in both countries with the same ISINs after all. These stocks are fairly well integrated and joined at the hip via the Canadian and US national market systems.

Is it the domain of the SEC, or IIROC to investigate? US & Canadian customers. US and Canadian securities. US listed entity with SEC filings but a Canadian subsidiary. US control and reporting.

At the end of the day if a customer in the US has traded one of the interlisted stocks tabled below, that customer was competing with ITG Inc via their subsidiary, ITG Canada. The SEC facts and findings in this settlement with respect to proprietary trading and Section 17 of the Securities Act may also be relevant in this instance.

Furthermore, I'm not sure who should care about ITG's testimony to the US Senate to understand if the testimony was at all misleading. Someone should. ITG Canada is registered as market maker with TMX.  Should an Attorney General care? Which one?

A number of potential lawsuits, previously noted, that sprang up after ITG's original PR on the matter have evolved from expressions of interest, to actual filings of class action lawsuits. This seems unsurprising as you'd have to think there may be reasonable grounds for such filings based on the SEC findings. As this should be no surprise, it seems a contingent liability should have already been put on the balance sheet given the SEC settlement was accounted for in the last set of accounts. So far the lawsuits filed, or advertised, are shareholder focused rather than customer focused which I wouldn't have predicted given the normal enterprising nature of legal firms. Give them time, I guess.

In a world of many alternatives, you'd have to be a bit mad to continue with ITG services if you didn't have to. However, it's not always easy to rework your processes. The downward spiral could take many months. For the Asset Managers out there, it may be that the pooled efficiency and accountability of a buy-side owned broking firm with DMA, algo, internalisation, and HFT skills could be a greater immediate need than Luminex.

So, now that the SEC settlement for Project Omega is done, perhaps ITG can get on with the important task at hand: a sale or merger (reverse or otherwise). A different level of trust may be possible with completely new management, and a new board.

I'm sure ITG's many good, previously uninformed, client facing staff would also appreciate understanding if they are delivering to their customers, not only a full accounting of historical events, but also a truthful "agency-only" message.

Happy trading,


Interlisted stocks [TMX source]

Almaden Minerals Ltd. AAU:US
Advantage Oil & Gas Ltd. AAV:US
Barrick Gold Corporation ABX:US
Agnico Eagle Mines Limited AEM:US
AEterna Zentaris Inc. AEZS:US
First Majestic Silver Corp. AG:US
Alamos Gold Inc. AGI:US
Agrium Inc. AGU:US
Asanko Gold Inc. AKG:US
Atlantic Power Corporation AT:US
Atlatsa Resources Corporation ATL:US
Golden Minerals Company AUMN:US
Yamana Gold Inc. AUY:US
Avalon Rare Metals Inc. AVL:US
Alderon Iron Ore Corp. AXX:US
Banro Corporation BAA:US
Brookfield Asset Management Inc. BAM:US
BlackBerry Limited BBRY:US
Brookfield Renewable Energy Partners L.P. BEP:US
Progressive Waste Solutions Ltd. BIN:US
Brookfield Infrastructure Partners L.P. BIP:US
Ballard Power Systems Inc. BLDP:US
Bank of Montreal BMO:US
Bank of Nova Scotia (The) BNS:US
Brookfield Canada Office Properties BOXC:US
Brookfield Property Partners L.P. BPY:US
Baytex Energy Corp. BTE:US
B2Gold Corp. BTG:US
Burcon NutraScience Corporation BUR:US
Bellatrix Exploration Ltd. BXE:US
Cameco Corporation CCJ:US
Central Fund of Canada Limited CEF:US
Colliers International Group Inc. CIGI:US
Celestica Inc. CLS:US
Canadian Imperial Bank Of Commerce CM:US
Canadian National Railway Company CNI:US
Canadian Natural Resources Limited CNQ:US
Cott Corporation COT:US
Canadian Pacific Railway Limited CP:US
CounterPath Corporation CPAH:US
Crescent Point Energy Corp. CPG:US
Cardiome Pharma Corp. CRME:US
Catamaran Corporation CTRX:US
Cenovus Energy Inc. CVE:US
Concordia Healthcare Corp. CXRX:US
Cynapsus Therapeutics Inc. CYNA:US
Dominion Diamond Corporation DDC:US
Dejour Energy Inc. DEJ:US
Denison Mines Corp. DNN:US
DragonWave Inc. DRWI:US
Descartes Systems Group Inc. (The) DSGX:US
Ecopetrol S.A. EC:US
Encana Corporation ECA:US
Entree Gold Inc. EGI:US
Eldorado Gold Corporation EGO:US
Enbridge Inc. ENB:US
Endo International plc ENDP:US
Enerplus Corporation ERF:US
Endeavour Silver Corp. EXK:US
Franco-Nevada Corporation FNV:US
Fortuna Silver Mines Inc FSM:US
FirstService Corporation FSV:US
Goldcorp Inc. GG:US
CGI Group Inc. GIB:US
Gildan Activewear Inc. GIL:US
General Motors Company GM:US
General Moly Inc. GMO:US
Great Panther Silver Limited GPL:US
Granite Real Estate Investment Trust GRP.U:US
Golden Star Resources Ltd. GSS:US
Gran Tierra Energy Inc. GTE:US
Central GoldTrust GTU:US
Gazit-Globe Ltd. GZT:US
HudBay Minerals Inc. HBM:US
U.S. Geothermal Inc. HTM:US
Hydrogenics Corporation HYGS:US
IAMGold Corporation IAG:US
iShares Gold Trust IAU:US
Imperial Oil Limited IMO:US
IntelliPharmaCeutics International Inc. IPCI:US
Just Energy Group Inc. JE:US
Kingsway Financial Services Inc. KFS:US
Kinross Gold Corporation KGC:US
Kelso Technologies Inc. KIQ:US
Lake Shore Gold Corp. LSG:US
Mad Catz Interactive, Inc. MCZ:US
MDC Partners Inc. MDCA:US
Mountain Province Diamonds Inc. MDM:US
Methanex Corporation MEOH:US
Mercer International Inc. MERC:US
Manulife Financial Corporation MFC:US
Magna International Inc. MGA:US
Minco Gold Corporation MGH:US
Mines Management Inc. MGN:US
Mitel Networks Corporation MITL:US
Merus Labs International Inc. MSLI:US
McEwen Mining Inc. MUX:US
MAG Silver Corp. MVG:US
Northern Dynasty Minerals Ltd. NAK:US
NovaCopper Inc. NCQ:US
Neptune Technologies & Bioressources Inc. NEPT:US
Novagold Resources Inc. NG:US
New Gold Inc. NGD:US
North American Energy Partners Inc. NOA:US
Nevsun Resources Ltd. NSU:US
Neovasc Inc. NVCN:US
Novadaq Technologies Inc. NVDQ:US
Oncolytics Biotech Inc. ONCY:US
Open Text Corporation OTEX:US
Pan American Silver Corp. PAAS:US
Pembina Pipeline Corporation PBA:US
Points International Ltd. PCOM:US
Precision Drilling Corporation PDS:US
Pattern Energy Group Inc. PEGI:US
Pengrowth Energy Corporation PGH:US
Platinum Group Metals Ltd. PLG:US
Polymet Mining Corp. PLM:US
Potash Corporation of Saskatchewan Inc. POT:US
Primero Mining Corp PPP:US
Performance Sports Group Ltd. PSG:US
Pretium Resources Inc. PVG:US
Penn West Petroleum Ltd. PWE:US
Restaurant Brands International Inc. QSR:US
Ritchie Bros. Auctioneers Incorporated RBA:US
Rubicon Minerals Corporation RBY:US
Rogers Communications Inc. RCI:US
Rare Element Resources Ltd. REE:US
Resolute Forest Products Inc. RFP:US
Royal Gold Inc. RGLD:US
Richmont Mines Inc. RIC:US
Royal Bank of Canada RY:US
Seabridge Gold Inc. SA:US
Sandstorm Gold Ltd. SAND:US
Shopify Inc. SHOP:US
Shaw Communications Inc. SJR:US
Sun Life Financial Inc. SLF:US
Silver Wheaton Corp. SLW:US
SMART Technologies Inc SMT:US
Sprott Physical Platinum and Palladium Trust SPPP:US
Silver Standard Resources Inc. SSRI:US
Student Transportation Inc. STB:US
SunOpta Inc. STKL:US
Stantec Inc. STN:US
Suncor Energy Inc. SU:US
Silver Bull Resources, Inc. SVBL:US
SilverCrest Mines Inc. SVLC:US
Silvercorp Metals Inc. SVM:US
Sierra Wireless Inc. SWIR:US
TransAlta Corporation TAC:US
Tahoe Resources Inc. TAHO:US
TransAtlantic Petroleum Ltd TAT:US
Thompson Creek Metals Company Inc. TC:US
Teck Resources Limited TCK:US
Tucows Inc. TCX:US
Toronto-Dominion Bank (The) TD:US
TearLab Corporation TEAR:US
TransGlobe Energy Corporation TGA:US
Taseko Mines Limited TGB:US
Timmins Gold Corp. TGD:US
International Tower Hill Mines Ltd THM:US
Thomson Reuters Corporation TRI:US
TransCanada Corporation TRP:US
Turquoise Hill Resources Ltd. TRQ:US
Tanzanian Royalty Exploration Corporation TRX:US
Transition Therapeutics Inc. TTHI:US
TELUS Corporation TU:US
Domtar Corporation UFS:US
Ur-Energy Inc. URG:US
Energy Fuels Inc. UUUU:US
Vermilion Energy Inc. VET:US
Vista Gold Corp. VGZ:US
Valeant Pharmaceuticals International Inc. VRX:US
Westport Innovations Inc. WPRT:US
Western Copper and Gold Corporation WRN:US
Solitario Exploration & Royalty Corp. XPL:US
Exeter Resource Corporation XRA:US