Brad Wall says the shooting on Parliament Hill is also forcing an outdoor ceremony to be moved indoors out of concern for military personnel and international diplomats expected to attend.
The event is now invitation-only and the public is being barred from attending.
Wall initially said that a police dog would be used to sweep the building, but that was called off because there wasn't enough time for the canine unit to get to the legislature before the speech.
In Alberta, Premier Jim Prentice says that there is robust security that includes armed sheriffs and protocols with police.
Security has also been heightened at the Manitoba legislature, where police cruisers are stationed outside.
Saskatchewan Opposition Leader Cam Broten says the shooting raises questions about the merits of future security measures such as metal detectors at the legislature.
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