THE SECURITIES AND EXCHANGE COMMISSION HAS NOT PASSED UPON THE MERITS OR ACCURACY OF
THE DISCLOSURES IN THIS FILING.

Contents


ATS-N/CA: Filer Information

Filer CIK
0001692652 
Filer CCC
********  
File No:
013-00156 
OneChronosis making this filing pursuant to the Rule 304 under the Securities Exchange Act of 1934
Statement about the Form ATS-N Amendment pursuant to Instruction A.7 (g) of this form.
This filing amends the disclosures concerning the availability of the Expressive Bidding Service. Specifically, Part II Items 5 and 7, and Part III Items 2, 3, 4, 5, 7, 11, and 23 have been amended.

This Amendment applies to the Subscribers, but not the Operator of the ATS, as the Operator does not trade on the ATS. 
Is this a LIVE or TEST Filing? Radio button checked LIVE Radio button not checked TEST
Is this an electronic copy of an official filing submitted in paper format in connection with a hardship exemption? Checkbox not checked

Submission Contact Information

Name
 
Phone Number
 
E-Mail Address
 

Notification Information

Notify via Filing Website only? Checkbox not checked

ATS-N/CA: Part I: Identifying Information

Identifying Information

1. Is the organization, association, Person, group of Persons, or system filing the Form ATS-N a broker-dealer registered with the Commission? Radio button checked Yes Radio button not checked No
2. Full name of registered broker-dealer of the NMS Stock ATS ("Broker-Dealer Operator") as stated on Form BD:

OneChronos Markets LLC 

3. Full name(s) of NMS Stock ATS under which business is conducted, if different:

NMS Stock ATS Full Name Record: 1
OneChronos 
4. Provide the SEC file number and CRD number of the Broker-Dealer Operator:

a. SEC File No.:

008-69882 

b. CRD No.:

000286322 

5. Provide the full name of the national securities association of the Broker-Dealer Operator, the effective date of the Broker-Dealer Operator's membership with the national securities association, and Market Participant Identifier ("MPID") of the NMS Stock ATS:

a. National Securities Association:

FINRA 

b. Effective Date of Membership:

07/09/2018 

c. MPID of the NMS Stock ATS:

CGXS 

6. Provide, if any, the website URL of the NMS Stock ATS:

https://www.onechronos.com 

7. Provide the primary, and if any, secondary, physical street address(es) of the NMS Stock ATS matching system:

Primary Address
Street 1
800 Secaucus Rd 
Street 2
 
City
Secaucus 
Zip
07094 
State
NEW JERSEY  
Secondary Address

8. Attach as Exhibit 1, the most recently filed or amended Schedule A of Form BD for the Broker-Dealer Operator disclosing information related to direct owners and executive officers.

Attach / Remove / View Exhibit 1

Checkbox not checked Select if, in lieu of filing, OneChronos  certifies that the information requested under this Exhibit is available at the website above and is accurate as of the date of this filing.

9. Attach as Exhibit 2, the most recently filed or amended Schedule B of Form BD for the Broker-Dealer Operator disclosing information related to indirect owners.

Attach / Remove / View Exhibit 2

Checkbox not checked Select if, in lieu of filing, OneChronos  certifies that the information requested under this Exhibit is available at the website above and is accurate as of the date of this filing.

10. For filings made pursuant to Rule 304(a)(2)(i)(A) through (D) (i.e., Form ATS-N Amendments), attach as Exhibit 3 a document marked to indicate changes to "yes" or "no" answers or additions to or deletions from any Item in Part I, II, and Part III, as applicable. Do not include in Exhibit 3 Items that are not changing.

Attach / Remove / View Exhibit 3

ATS-N/CA: Part II: Activities of the Broker-Dealer Operator and its Affiliates


Item 1: Broker-Dealer Operator Trading Activities on the ATS

a. Are business units of the Broker-Dealer Operator permitted to enter or direct the entry of orders and trading interest (e.g., quotes, conditional orders, or indications of interest) into the NMS Stock ATS? Radio button not checked Yes Radio button checked No
d. Can orders and trading interest in the NMS Stock ATS be routed to a Trading Center operated or controlled by the Broker-Dealer Operator? Radio button not checked Yes Radio button checked No

Item 2: Affiliates Trading Activities on the ATS

a. Are Affiliates of the Broker-Dealer Operator permitted to enter or direct the entry of orders and trading interest into the NMS Stock ATS? Radio button not checked Yes Radio button checked No
d. Can orders and trading interest in the NMS Stock ATS be routed to a Trading Center operated or controlled by an Affiliate of the Broker-Dealer Operator? Radio button not checked Yes Radio button checked No

Item 3: Order Interaction with Broker-Dealer Operator; Affiliates

a. Can any Subscriber opt out from interacting with orders and trading interest of the Broker-Dealer Operator in the NMS Stock ATS? Radio button not checked Yes Radio button checked No
b. Can any Subscriber opt out from interacting with the orders and trading interest of an Affiliate of the Broker-Dealer Operator in the NMS Stock ATS? Radio button not checked Yes Radio button checked No

Item 4: Arrangements with Trading Centers

a. Are there any formal or informal arrangements (e.g., mutual, reciprocal, or preferential access arrangements) between the Broker-Dealer Operator and a Trading Center to access the NMS Stock ATS services (e.g., arrangements to effect transactions or to submit, disseminate, or display orders and trading interest in the ATS)? Radio button not checked Yes Radio button checked No

Item 5: Other Products and Services

a. Does the Broker-Dealer Operator offer Subscribers any products or services for the purpose of effecting transactions or submitting, disseminating, or displaying orders and trading interest in the NMS Stock ATS (e.g., algorithmic trading products that send orders to the ATS, order management or order execution systems, data feeds regarding orders and trading interest in, or executions occurring on, the ATS)? Radio button checked Yes Radio button not checked No
If yes, identify the products or services offered, provide a summary of the terms and conditions for use, and list here the applicable Item number in Part III of this form where the use of the product or service is explained. If there is no applicable Item in Part III, explain the use of the product or service with the ATS here.
OneChronos Markets, LLC, the Broker-Dealer Operator ("Operator") of the ATS, provides a supplemental service called the "Expressive Bidding Service" that is available to Subscribers as well as to institutional investors that may submit orders to the ATS indirectly through Subscribers, such as hedge funds, principal trading firms, etc. (collectively, Subscribers and other users of this service are "External Users"). External Users specify customizable execution constraints ("Bidder Logic") for use with a type of multi-part order permitted by the ATS known as an Expressive Order (described in detail in Part III Item 7). External Users are not able to transmit any orders to the ATS. External Users communicate Bidder Logic directly to OneChronos employees (business development, engineering, or both), and engineering staff deploy and activate the Bidder Logic into the ATS.


We use the term "Subscriber" throughout this ATS-N to refer to a broker-dealer that is authorized by the Operator to submit orders, including Expressive Orders, directly to the ATS. Only an External User that is a Subscriber may send an Expressive Order directly to the ATS. Other External Users are not authorized to send Expressive Orders directly to the ATS for execution, and may only do so through, and as a customer of, a Subscriber. Such an External User may direct a Subscriber to send an Expressive Order on its behalf to the ATS, using the External User's specified Bidder Logic. For the limited purpose of accessing the Expressive Bidding Service, such an External User is a "subscriber" of that service for purposes of SEC Regulation ATS, even though it is not a Subscriber that is authorized to submit orders to the ATS.


Upon request, OneChronos employees will provide technical support and guidance related to interaction with the ATS (e.g. connectivity, usage of order types, and construction and management of Bidder Logic). 
b. If yes to Item 5(a), are the terms and conditions of the services or products required to be identified in Item 5(a) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No
c. Does any Affiliate of the Broker-Dealer Operator offer Subscribers, the Broker-Dealer Operator, or both, any products or services for the purpose of effecting transactions or submitting, disseminating, or displaying orders or trading interest in the NMS Stock ATS? Radio button not checked Yes Radio button checked No

Item 6: Activities of Service Providers

a. Does any employee of the Broker-Dealer Operator or its Affiliate that services both the operations of the NMS Stock ATS and any other business unit or any Affiliate of the Broker-Dealer Operator ("shared employee") have access to confidential trading information on the NMS Stock ATS? Radio button not checked Yes Radio button checked No
b. Does any entity, other than the Broker-Dealer Operator, support the services or functionalities of the NMS Stock ATS ("service provider") that are required to be explained in Part III of this form? Radio button checked Yes Radio button not checked No
If yes, both identify the service provider and provide a summary of the role and responsibilities of the service provider in response to the applicable Item number in Part III of this form, as required. List the applicable Item number here. If there are services or functionalities that are not applicable to Part III, identify the service provider, the services and functionalities, and also provide a summary of the role and responsibilities of the service provider here.
1) Equinix: provides OneChronos physical network connectivity services, and datacenter management services for physical IT infrastructure, including: Points of Presence, the matching engine, market data intake (i.e. SIP data) systems, and time synchronization systems, as described in Part III Items 5, 11, 21, and 23, respectively. Equinix provides power, cooling, server installation, troubleshooting, and various connectivity support services for these systems, along with the physical security controls described in Part II Item 7(a);
2) Instinet, LLC ("Instinet"): OneChronos has entered into a clearing agreement with Instinet. Trades executed (matched) by the ATS are electronically transmitted to Instinet for post-trade clearing and settlement as described in Part III Item 22;
3) Beeks Financial Cloud ("Beeks"): provides OneChronos datacenter infrastructure including server rack space and rooftop GPS antenna access for: Points of Presence, the matching engine, market data intake (i.e. SIP data) systems, and time synchronization systems described in Part III Items 5, 11, 21, and 23, respectively.
4) Pico Quantitative Trading ("Pico"): provides OneChronos networking infrastructure and services for network connectivity between OneChronos and third parties such as: a) Subscribers (for order entry described in Part III Item 5), and b) trade reporting destinations (for regulatory and clearing reports described in Part III Items 11 and 21).
5) Exegy Inc ("Exegy"): provides consolidated SIP data for use in the market data system described in Part III Items 11, 20, and 23. 
c. If yes to Item 6(b), does the service provider, or any of its Affiliates, use the NMS Stock ATS services? Radio button checked Yes Radio button not checked No
If yes, identify the service provider, or the Affiliate as applicable, and the ATS services that the service provider or its Affiliates use.
Instinet, LLC provides clearing and settlement services to the ATS and is a Subscriber to the ATS. 
d. If yes to Item 6(c), are the services that the NMS Stock ATS offers and provides to the entity required to be identified in Item 6(c) the same for all Subscribers? Radio button checked Yes Radio button not checked No

Item 7: Protection of Confidential Trading Information

a. Describe the written safeguards and written procedures to protect the confidential trading information of Subscribers to the NMS Stock ATS, including:

i. written standards controlling employees of the ATS that trade for employees' accounts; and

ii. written oversight procedures to ensure that the safeguards and procedures described above are implemented and followed.
The Operator maintains Written Supervisory Procedures ("WSPs") that govern the use of Confidential Trading Information.


The Operator classifies as Confidential Trading Information: orders and order handling instructions, Conditional Indications (as described in Part III Item 9), executions, clearing reports, non-tape TRF reports, risk configurations, and Bidder Logic (as described in Part II Item 5). Intraday and historical data are both considered Confidential Trading Information. The commingling of data that would otherwise not be considered confidential with Confidential Trading Information (for example, application performance logs containing raw FIX message data) is also treated as Confidential Trading Information. Individuals with access to a system that stores or processes Confidential Trading Information are considered to have access to that information.


ACCESS TO AND USE OF CONFIDENTIAL TRADING INFORMATION: The Operator's activities as a broker-dealer are limited to operation of its alternative trading system. Operator employees operating the ATS may have access to Confidential Trading Information. A Series 24 registered supervisor ("ATS Supervisor") ensures the Operator restricts access to Confidential Trading Information to employees (and temporarily hired contractors, together with employees, "personnel") who are operating the ATS, those whose roles require access to such information for performing their duties, or those responsible for the Operator's compliance with Reg ATS and other applicable rules, as further described in Part II Item 7(c) below.


Operator personnel with access to Confidential Trading Information are only authorized to use such information as required by their job functions, and are prohibited from using such information for trading for their own accounts. They cannot disseminate such information to anyone not authorized to receive that information. The Operator requires all employees, including those with authorized access to Confidential Trading Information, to undergo annual compliance training that includes instruction and attestation relating to the protection of Confidential Trading Information.

The Operator performs at least quarterly reviews to confirm that those personnel with access to Confidential Trading Information continue to have a valid need to access such information, as described under KEY SECURITY CONTROLS below.

As covered more fully in the ATS's Subscriber Agreement, the Operator's personnel and certain third parties (such as accountants and lawyers) may receive a subscriber's confidential information, which may include Confidential Trading Information, in connection with performing services for the Operator or its subsidiaries or affiliates (e.g., auditing, development or surveillance). To the extent they may receive Confidential Trading Information, such persons will be legally bound by confidentiality obligations substantially similar to those that apply to the Operator under the Subscriber Agreement. Any such Information will not be shared until a third party has satisfactorily undergone a Third Party Risk Assessment (as described below under KEY SECURITY CONTROLS).

KEY SECURITY CONTROLS: The Operator employs a broad range of security controls to protect its trading systems and Confidential Trading Information. The principal controls are as follows:

1) Centralized identity management: The Operator maintains a central repository of user accounts for Operator personnel ("Internal Users"), which may include temporary contractors hired by the Operator as well as employees of the Operator. Only an ATS Supervisor or a designee can establish new accounts for Internal Users or External Users. Internal Users may only access Confidential Trading Information if their accounts have been authorized, as discussed in the "Authorization" section in paragraph (3) below;


2) Authentication: The Operator requires the use of strong passwords meeting specified length and complexity requirements for all authenticated internal and external systems and services. Systems require multi-factor authentication whenever possible. Anti-brute-force mechanisms such as request throttling, IP whitelisting and blacklisting, account lockouts, and the use of cryptographic hashing help protect user credentials against both online and offline attacks;


3) Authorization: The Operator uses Role-based access control ("RBAC") to manage access to resources and systems for both Internal and External Users. In an RBAC process, categories of Roles are identified. Persons in particular Roles are given defined access to specific systems and resources, and thereby to specific categories of Confidential Trading Information. Accounts of specific Internal Users and External Users are granted Roles. Those Accounts can then only access a system or resource to the extent that their configured Roles allow the access. For example, an Internal User in the Operations area who requires routine access to cleared transaction information, but not to "live" orders, would be assigned an Account for which the Role was configured to deny access to live order information. A Subscriber External User would only have access to information related to its orders and transactions, and not to that of other Subscribers. The "principle of least privilege" dictates what Roles are appropriate for a given Account. The Operator's CCO or a designee of the CCO conducts periodic (at least quarterly) audits of Roles and their assignments to Accounts. These audits analyze the current and expected job functions of Operator personnel, the Roles configured for their Accounts, and whether the systems, data, and other resources accessible through those Roles are necessary for those personnel to perform their job functions. As personnel responsibilities change, e.g. through assignments to new positions or due to systems or processes re-design, the CCO or designee would assess the (continued) need for those personnel to access specific kinds of Confidential Trading Information, and, as a result, the CCO or designee may require a change in Accounts or re-configuration of Roles;


4) Encryption: the Operator requires the use of strong encryption for data in transit over any untrusted network. Transmission of unencrypted data is not permissible unless a physical security model, e.g. a private cross connect between a Subscriber and an Operator trading system, provides comparable security guarantees. Media encryption protects Confidential Trading Information (as defined in Part II Item 7(d)) as part of the nightly archival process;


5) Physical Security: all production ATS trading systems are hosted in a SOC (System and Organization Controls) certified facility (described in Part II Item 6) which employs strong security controls, such as: surveillance, physical barriers, armed security, and multi-factor access controls. This facility maintains fully redundant HVAC and power systems to reduce the risk of outages and business interruptions. Control of production trading systems happens over a physically secured private network;


6) Change Management: The Operator employs a rigorous change management process for changes to all of its production systems, including the trading systems described in Part III ("Production Systems"). Any proposed changes to Production Systems are analyzed by a designated "Change Team" for: software and/or configuration integrity; adherence to regulatory requirements and disclosures; impact on systems, operations, and practices; changes to External User-facing elements; and adherence to policies and procedures. These reviews include an assessment of the impact of the change on Confidential Trading Information, including how it is processed and stored, access to the information by Internal Users and External Users, and possible vulnerability to unauthorized access or misuse. The Change Team includes senior management of the Operator and ATS System, Business Development and Compliance managers;


7) Monitoring: the ATS uses a combination of proprietary and commercial software that monitors: a) trading system status, utilization, connectivity, and message rates; b) anomalies in trading data (orders, executions, reports, market data); and c) centrally aggregated system and application log data for anomalous events and unauthorized access to critical systems and systems containing Confidential Trading Information;


8) Incident Management: The Operator maintains a documented incident response process identifying steps to investigate and remediate security incidents, and a list of designated emergency contacts to alert upon detection of a security incident;


9) Third Party Risk Assessment: The Operator maintains a list of third-party suppliers with whom it conducts business. Before integrating any new third-party supplier, the Operator conducts a risk assessment that analyzes a) the type and classification of data that third party may access, and b) the potential threats to that data. For any third parties that have access to or may reasonably receive access to Confidential Trading Information, the risk assessment includes a thorough review of the third-party's security controls, business continuity controls, data protection and privacy practices, policies and procedures. These reviews focus on the ability of the third party to protect the confidentiality, availability, and integrity of Confidential Trading Information at each point where such information is stored or processed;


ATS EMPLOYEES' TRADING ACTIVITY: In accordance with FINRA Rule 3210 employees of the Operator must report to the CCO all personal investment accounts, as well as related accounts (those of immediate family members residing with the employee or to whom the employee provides material financial support, or other accounts the employee controls). These reports must be made to the CCO within 30 days of commencing employment or promptly upon opening a new account. Employees are strictly prohibited from trading on firm proprietary information, Confidential Trading Information, other confidential ATS External User information, and material non-public information ("MNPI"). The CCO surveils employee personal and related accounts for activity that may be indicative of possible abuses or violations of federal securities law, including those proscribing insider trading, which may include, as examples, excessive trading activity, activity that departs materially from typical activity in the account under review, or unusual trading activity in securities of a company with breaking news in the press. Operator employees operating the ATS may have access to External User orders and trading information; those and other employees described in Part II Item 7(d) may have access to information about Subscriber trading strategies and objectives. All Operator personnel are strictly prohibited from using any such information to their personal advantage. Annual compliance training includes materials and an attestation relating to employee trading activity, trading activity with regards to Confidential Trading Information, and identification, escalation and misuse of MNPI. The CCO reviews account statements received from broker-dealers where employees hold accounts on a monthly basis. Patterns of activity, as exemplified above, that may be indicative of insider trading or misuse of confidential data, including External User Confidential Trading Information, are subject to further scrutiny and escalation. 
b. Can a Subscriber consent to the disclosure of its confidential trading information to any Person (not including those employees of the NMS Stock ATS who are operating the system or responsible for its compliance with applicable rules)? Radio button checked Yes Radio button not checked No
If yes, explain how and under what conditions.
A Subscriber or External User can consent to the disclosure of its confidential trading information by providing written permission to the operator. For example, a Subscriber or External User may submit a request to the Operator that the Operator share the Subscriber's or External User's Confidential Trading Information with a third party Person to perform transaction cost analysis on their order and execution data, or to perform review of their Bidder Logic). The Operator may deny such a request if, for example, the disclosure conflicts with obligations the operator has to other Subscribers or External Users, or in other agreements. The operator must also have written confirmation from the Subscriber or External user of the type and classification of data that the Person may access. The Person will then be subject to all of the KEY SECURITY CONTROLS listed in Part II Item 7(a) with the exception of Third Party Risk Assessment. 
c. If yes to Item 7(b), can a Subscriber withdraw consent to the disclosure of its confidential trading information to any Person (not including those employees of the NMS Stock ATS who are operating the system or responsible for its compliance with applicable rules)? Radio button checked Yes Radio button not checked No
If yes, explain how and under what conditions.
A Subscriber or External User can withdraw its previously provided consent and permission relating to the disclosure of its confidential trading information by written request to the operator.  
d. Provide a summary of the roles and responsibilities of any Persons that have access to confidential trading information, the confidential trading information that is accessible by them, and the basis for the access.
Operator personnel responsible for the day-to-day operation of the ATS have access to Confidential Trading Information to the extent that their responsibilities require it, as provided by the RBAC process described in Part II Item 7(a). The following personnel are authorized to access Confidential Trading Information:


1) ATS Operations staff, who require access to Confidential Trading Information, e.g. for market surveillance, analysis, and customer support;


2) ATS Engineering staff, who require access to Confidential Trading Information, e.g. for development and support of ATS matching systems and analysis of ATS matching performance as described in Part III Item 11;


3) Operator Supervisory and Compliance staff, who require routine access to Confidential Trading Information in summary form, e.g. for market surveillance and investigation of any errors or anomalies, and may require non-routine access to more detailed Confidential Trading Information in the investigation or analysis of particular events, activities or Users;


4) Sales staff, who require access to Confidential Trading Information in summary form, e.g. for analysis of ATS participation and liquidity properties. Individuals who do not have access to specific subsets of Confidential Trading Information, e.g. sales staff who are asked by a Subscriber for assistance in evaluating the efficacy of Bidder Logic used in constructing Expressive Orders, may request access from an ATS Supervisor or designee on an as-needed basis.


Persons from third-party service providers as listed in Part II Item 6, may have access to Confidential Trading Information as necessary or appropriate in connection with their performance of services for OneChronos (for example: clearing, settlement, surveillance, fraud detection). Such access is permitted with limited scope, subject to the evaluation, legal agreement and audit procedures for third-party vendors described in Part II Item 7(a). As part of the quarterly audit process described under KEY SECURITY CONTROLS in Part II Item 7(a), the Operator will review the type and scope of access of third-party service providers to Confidential Trading Information. As part of the review, the Operator confirms those providers continue to have a valid reason to access such information. 

ATS-N/CA: Part III: Manner of Operations


Item 1: Types of ATS Subscribers

Select the type(s) of Subscribers that can use the NMS Stock ATS services: Checkbox not checked   Investment Companies  
Checkbox not checked   Retail Investors  
Checkbox not checked   Issuers  
Checkbox checked   Brokers  
Checkbox not checked   NMS Stock ATSs  
Checkbox not checked   Asset Managers  
Checkbox not checked   Principal Trading Firms  
Checkbox not checked   Hedge Funds  
Checkbox not checked   Market Makers  
Checkbox not checked   Banks  
Checkbox checked   Dealers  
Checkbox checked   Other  
If other, identify the type(s) of subscriber.
Institutional Investors as External Users that are authorized to use the Operator's Expressive Bidding Service only; such persons are not authorized to access the ATS directly to submit orders. 

Item 2: Eligibility for ATS Services

a. Does the NMS Stock ATS require Subscribers to be registered broker-dealers? Radio button checked Yes Radio button not checked No
b. Are there any other conditions that the NMS Stock ATS requires a Person to satisfy before accessing the ATS services? Radio button checked Yes Radio button not checked No
If yes, list and provide a summary of the conditions.
Applicants to be a Subscriber to access the ATS directly for submitting orders must be duly registered under the Securities Exchange Act of 1934 with the SEC as a broker-dealer and in good standing; a member of FINRA or (only if it does not have customers) a member of an exchange that is registered with the SEC as a national securities exchange; and registered and/or qualified in those states and other jurisdictions where its business requires such registration and/or qualification. Applications must be satisfactorily complete and include the following documents for consideration:


1) Subscriber Agreement;
2) Expressive Bidding Terms of Service Addendum to the Subscriber Agreement (required only if using Expressive Bidding Service described in Part II Item 5);
3) Attestation of electronic filing of NSCC Form 9-A, 9-B, Attachment #1;
4) FINRA Uniform Reporting Agreement;


To receive initial approval and maintain access as a Subscriber, broker-dealer applicants must meet and maintain the following requirements:

a) Applicants must complete all application materials, as set forth above;
b) Applicants must be self-clearing, or clear through another broker-dealer, supplying information detailing their clearing relationship as prescribed above. Operator reserves the right to confirm the standing of the applicant, its clearing broker and the adequacy of clearance and settlement arrangements, with the applicant's clearing broker, NSCC, DTC or other registered clearing agency, as applicable;
c) Subscribers must remit all applicable payments on a timely basis;
d) Subscribers must meet the technical requirements prescribed by the Operator, including but not limited to connectivity certification and verification of a Subscriber's ability to send orders and cancellations and receive execution reports as well as unsolicited cancels;
e) Subscribers must have executed and not terminated the OneChronos Subscriber Agreement;
f) Subscribers and its personnel must otherwise remain in compliance with their obligations as set forth in the Subscriber's Agreement, the OneChronos User Manual (found on its public website), and other policies and procedures of which Subscriber is notified in writing by OneChronos reasonably in advance of effectiveness.


Eligibility to Access the Supplemental Expressive Bidding Service:


External Users may access the Expressive Bidding Service as described in Part II Item 5(b). A Subscriber is not required to use the Expressive Bidding Service but may elect to use this service by agreeing to the Operator's terms of service set forth in an optional addendum to the subscriber agreement. The Expressive Bidding Service is also available to any institutional investor (e.g., hedge funds, principal trading firms) as an External User if such person agrees to the Operator's terms of service set forth in an agreement developed for use with such External Users.


An External User may submit its specific Bidder Logic ("Submitted Bidder Logic") to reside within the ATS electronically to designated OneChronos employees, as discussed in Part II Item 5. Submitted Bidder Logic submissions are NOT orders themselves. In addition, only Subscribers may submit orders directly to the ATS for execution.


A person's Submitted Bidder Logic represents conditionality that may be attached to an order submitted to the ATS (termed a "Target Order") for execution. Subscribers may submit Target Orders that reference Submitted Bidder Logic to the ATS; the combination of the Target Order and referenced Submitted Bidder Logic is referred to as an "Expressive Order." Expressive Orders are always submitted to the ATS via FIX protocol. External Users that are not Subscribers cannot establish FIX connections to the ATS and cannot directly enter Expressive Orders into the ATS. Such an External User may instead direct a Subscriber with which it has established a customer relationship to submit an Expressive Order on its behalf that references the External User's Submitted Bidder Logic.

As explained in Part 2 Item 5, the term "Subscriber" is used throughout this ATS-N to refer to a broker-dealer that is authorized by the Operator to submit orders to the ATS, but for the limited purpose of accessing the Expressive Bidding Service, an External User that is not a Subscriber within that meaning is considered a "subscriber" of the Expressive Bidding Service for purposes of SEC Regulation ATS. 
c. If yes to Item 2(b), are the conditions required to be identified in Item 2(b) the same for all Persons? Radio button checked Yes Radio button not checked No
d. Does the NMS Stock ATS require Subscribers to enter a written agreement to use the ATS services? Radio button checked Yes Radio button not checked No

Item 3: Exclusion from ATS Services

a. Can the NMS Stock ATS exclude, in whole or in part, any Subscriber from the ATS services? Radio button checked Yes Radio button not checked No
If yes, list and provide a summary of the conditions for excluding, in whole or in part, a Subscriber from the ATS services.
The Operator approves and denies Applicants to be Subscribers in its sole discretion. The Operator may reject Applicants and terminate Subscriber Agreements, Expressive Bidding Terms of Service, or both if, for example, an Applicant or Subscriber is charged with, or is determined to have committed, material violations of the federal securities laws, FINRA rules, or other relevant rules or regulations, or is deemed by Operator to have engaged in conduct or activities that may be materially detrimental to the operation of the ATS, the reputation of the Operator or the ATS, or the interests or well-being of other Subscribers or External Users of the ATS.


If Operator personnel become aware of issues related to a Subscriber's participation in the ATS regarding any of the criteria set forth above in Part III Item 2(b) they may bring those issues to the attention of the team responsible for review of new and ongoing Subscribers ("Application Review Team"; which consists of a Registered Principal of the Operator, a Business Development person, and such other personnel as the Operator may designate). If deemed necessary the Application Review Team may convene and determine whether a Subscriber is still eligible for access in light of new information, and if their continued access jeopardizes the well-being of the ATS or other Subscribers. The Application Review Team may take actions including the termination of a Subscriber Agreement or the imposition of restrictions on a Subscriber's activities. If the Application Review Team concludes that action is necessary, they will document the material facts and actions taken before communicating them to the Subscriber via a Registered Principal of the Operator.


If an application is denied, approved subject to terms and conditions, a Subscriber Agreement is terminated, or a Subscriber's activities are restricted, the applicant or Subscriber may request a written explanation of the determination made by the Operator. Upon receiving the Operator's written explanation, the Applicant/Subscriber will have 30 calendar days to respond or otherwise cure that which is the cause of the denial, termination, limitation or restriction of services. 
b. If yes to Item 3(a), are the conditions required to be identified in Item 3(a) the same for all Subscribers? Radio button checked Yes Radio button not checked No

Item 4: Hours of Operation

a. Provide the days and hours of operation of the NMS Stock ATS, including the times when orders or trading interest can be entered on the ATS, and any hours of operation outside of regular trading hours.
The ATS operates Monday through Friday according to the standard market hours schedule below, with the exception of the following NYSE market holidays: New Years Day, Martin Luther King Jr. Day, Presidents' Day, Good Friday, Memorial Day, Juneteenth National Independence Day, Independence Day, Labor Day, Thanksgiving Day, and Christmas Day.

Standard Market Hours (US Eastern time):
1) 8:00am: begin accepting FIX connections / sessions;
2) 9:15am: begin accepting orders;
3) 9:30am: begin executing orders (i.e. first call auction will take place at or after 9:30am);
4) 4:00pm: stop executing orders (i.e. final call auction will take place at or before 4:00pm)*;
5) 5:00pm: all FIX sessions disconnected.


* The ATS stops executing orders at 1:00pm instead of 4:00pm on: the day prior to observed Christmas Day, the day prior to observed Independence Day, and the day after Thanksgiving Day. FIX sessions are disconnected at 2:00pm instead of 5:00pm on these days. 
b. Are the hours of operations the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 5: Means of Entry

a. Does the NMS Stock ATS permit orders and trading interest to be entered directly into the ATS (e.g., via Financial Information eXchange ("FIX") protocol, Binary)? Radio button checked Yes Radio button not checked No
If yes, explain the protocol that can be used to directly enter orders and trading interest into the ATS.
The ATS is designed to accommodate multiple points of presence ("Points of Presence", "PoP", "PoPs") for order entry. Only Subscribers may directly submit orders to the ATS, and may only do so by establishing a connection via FIX (4.2) protocol at a PoP maintained by the Operator. Currently, the Operator maintains a single PoP at Equinix NY5. Such orders are time-stamped then transmitted to the (centralized) matching engine location at Equinix NY5. Further information on the PoP model follows in Part III Items 5, 6 and 11. No other order entry protocols are available.


ORDER AND BIDDER LOGIC SUBMISSION:

Only a Subscriber may submit orders to the ATS. External Users may submit their Bidder Logic to the ATS (as described in Part II Item 5), but such Submitted Bidder Logic submissions are NOT orders themselves.


An External User's Submitted Bidder Logic represents conditionality that may be attached to an order submitted to the ATS (termed a "Target Order") for execution. Subscribers may submit Target Orders that reference Submitted Bidder Logic (the combination of which is the "Expressive Order") to the ATS via FIX protocol. An External User that is not a Subscriber may direct a Subscriber with which it has established a customer relationship to submit an Expressive Order on its behalf that references the External User's Submitted Bidder Logic. 
b. If yes to Item 5(a), are the protocols required to be identified in Item 5(a) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No
c. Are there any other means for entering orders and trading interest into the NMS Stock ATS (e.g., smart order router, algorithm, order management system, sales desk)? Radio button not checked Yes Radio button checked No

Item 6: Connectivity and Co-location

a. Does the NMS Stock ATS offer co-location and related services (e.g., cabinets and equipment, cross-connects)? Radio button checked Yes Radio button not checked No
If yes, provide a summary of the terms and conditions for co-location and related services, including the speed and connection (e.g., fiber, copper) options offered.
The ATS allows Subscribers to connect directly to the ATS via cross-connect or extranet, through one or more of the ATS's Point of Presence systems (see Part III Item 5 for a description of points of presence). The currently maintained PoP is located at Equinix NY5. Connectivity is provided via 10 gigabit single-mode optical fiber (SMF). See Part III Items 11(a) and 11(c) for details. Cross-connects are managed by Equinix. Subscribers must maintain an agreement with Equinix to establish a cross-connect with the ATS. 
b. If yes to Item (6)(a), are the terms and conditions required to be identified in Item 6(a) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No
c. Does the NMS Stock ATS offer any other means besides co-location and related services required to be explained in this Item 6(a) to increase the speed of communication with the ATS? Radio button not checked Yes Radio button checked No
e. Does the NMS Stock ATS offer any means to reduce the speed of communication with the ATS (e.g., speed bumps)? Radio button not checked Yes Radio button checked No

Item 7: Order Types and Attributes

a. Identify and explain each order type offered by the NMS Stock ATS. In your explanation, include the following:

i. priority, including the order type's priority upon order entry and any subsequent change to priority (if applicable); whether and when the order type can receive a new time stamp; the order type's priority vis-à-vis other orders on the book due to changes in the NBBO or other reference price; and any instance in which the order type could lose execution priority to a later arriving order at the same price;

ii. conditions, including any price conditions (e.g., how price conditions affect the rank and price at which it can be executed; conditions on the display or non-display of an order; or conditions on executability and routability);

iii. order types designed not to remove liquidity (e.g., post-only orders), including what occurs when such order is marketable against trading interest on the NMS Stock ATS when received;

iv. order types that adjust their price as changes to the order book occur (e.g., price sliding orders or pegged orders) or have a discretionary range, including an order's rank and price upon order entry and whether such prices or rank may change based on the NBBO or other market conditions when using such order type; when the order type is executable and at what price the execution would occur; whether the price at which the order type can be executed ever changes; and if the order type can operate in different ways, the default operation of the order type;

v. whether an order type is eligible for routing to other Trading Centers;

vi. the time-in-force instructions that can be used or not used with each order type;

vii. the circumstances under which order types may be combined with another order type, modified, replaced, canceled, rejected, or removed from the NMS Stock ATS; and

viii. the availability of order types across all forms of connectivity to the NMS Stock ATS and differences, if any, in the availability of an order type across those forms of connectivity.
STANDARD ORDER TYPES: The ATS supports the following "Standard Order" types:


1) "Limit Order": an order which (if filled) executes at or above (for an order to sell) or at or below (for an order to buy) the User specified price. Limit Orders must include a security (symbol), a side (buy or sell), a limit price, and a maximum quantity (shares);


2) "Peg Order": a type of Limit Order which (if filled) executes at the NBB, NBO, or midpoint of the NBBO (or better) as indicated by execution instructions. Determination of the NBBO and midpoint price follows in Part III Items 11 and 23. Peg Orders must include a security (symbol), a side (buy or sell), and a maximum quantity (shares). Peg orders can also optionally include a limit price and/or an offset amount. Offset amounts must be expressed in increments greater than or equal to one penny ($.01). Buy orders will not execute at a price greater than the lowest of: the limit price, the NBO, or the peg price plus or minus the offset amount. Sell orders will not execute at a price lower than the greatest of: the limit price, the NBB, or the peg price plus or minus offset amount.


Limit prices greater than or equal to $1.00 must be expressed in increments of at least $.01 (i.e. sub-penny prices are not permitted). Limit prices less than $1.00 must be expressed in increments of at least $.0001. This applies to limit prices on all order types. If a peg order (including offset amount) would result in an effective price at an impermissible increment for a given auction, then the order will not be eligible to participate in that auction.


EXPRESSIVE ORDERS: The ATS also supports Expressive Orders, an order type that allows Subscribers or other External Users entering Bidder Logic to specify execution instructions spanning one or more individual Limit Orders. Any Limit Order or collection of Limit Orders referencing Bidder Logic receives treatment as an Expressive Order.


Expressive Orders have three components:
1) Bidder Logic: static functions that take data and return execution instructions. External Users approved to use the Expressive Bidding Service may provide their Bidder Logic via the mechanism described in Part III Item 5 under "ORDER AND BIDDER LOGIC SUBMISSION";
2) Bidder Inputs: data provided by Subscribers (for example, notional maximum values or symbol ratios/weightings) for use in Expressive Orders. Bidder Inputs are provided as a FIX tag and may be specified on any Target Order entered in connection with a Expressive Order;
3) Target Orders: Limit or Pegged Orders submitted by Subscribers via FIX that reference Submitted Bidder Logic upon which such Bidder Logic acts.


BIDDER LOGIC SUBMISSION: Bidder Logic can be expressed using a programming language supported by the Operator, or via a domain-specific language developed by the Operator. A person using the Expressive Bidding Service must submit its Bidder Logic in advance of its use in any Expressive Order. The Operator may require External Users to certify their Bidder Logic in the OneChronos UAT environment before the Bidder Logic is available in production, particularly when the Logic is first submitted, or if the logic is altered in a material way (minor updates to Bidder Inputs such as the tolerance of a fill ratio on a pairs order may not require certification). When UAT certification is not required, updates to existing Bidder Logic will be available on the next calendar day after receipt by the ATS. Supported languages for expressing Bidder Logic use common mathematical and Boolean constraints. Examples are provided below. Users of the service, as authors of any Bidder Logic, can submit such code via specific ATS personnel, who will deploy it into the ATS. As detailed in Part III Item 5, Bidder Logic is not itself an order, and orders themselves can only be submitted directly to the ATS by Subscribers.

Upon acceptance, each Bidder Logic submission is evaluated to confirm its properties (e.g. that it can successfully terminate), then assigned a unique reference ID, which is provided back to the user, for inclusion in Target Orders. Target Orders are always sent via FIX and must be received by the ATS from Subscribers.

The ATS supports Bidder Logic that enables the External User to submit a pairs order type on the ATS (see example below), where the External User may submit two target orders, and join them together as a pair order. The two target orders joined in the pair order will only execute if both can be filled (i.e., one target order will not execute if the other cannot). The ATS also supports specifying optional, customizable parameters that impose additional constraints, which, when not satisfied, suppress fills in either target order. One set of parameters constrains the ratio of fill quantities to a numeric range (i.e., the orders in the pair may not fill except in a specific ratio; the User may optionally specify a tolerance, so that the ratio need not be exact, but within the tolerance specified). Another set of parameters mandates that the execution prices of those fills satisfy a linear relationship (i.e., the User may specify three numbers, g1, g2, and L, such that the two orders in the pair may not fill unless g1 * p1 + g2 * p2 >= L, where p1 and p2 are the execution prices of the two orders in the Pair, respectively).

The following Example illustrates this functionality:

EXAMPLE: Pairs / Hedge Trade:
A trader may wish to transact in two different symbols in similar amounts: buy A if and only if selling an approximately equal (within $1,000) notional amount of B

Constraint 1 (both A and B simultaneously):

Quantity(A) > 0 AND Quantity(B) > 0

Constraint 2 (maximum net notional of +/- $1,000):

-$1,000 < (Price(A) * Quantity(A) - Price(B) * Quantity(B)) < $1,000

Note: side (buy/sell) for A and B is expressed in the underlying Target Orders. Additional logic could be constructed to identify and select buy vs. sell side Target Orders for participation if Target Orders were provided for both sides.

The output of any Bidder Logic is similar to a collection of Boolean constraints (e.g. "AND," "OR") and algebraic constraints (e.g. +, *, < , =), acting on prices and/or quantities for different symbols. For example, a constraint Quantity(A) > 0 AND Quantity(B) > 0 would require that the quantity filled in symbol "A" must be greater than 0 and the quantity filled in symbol "B" must also be greater than 0. A similar, more restrictive constraint would be Quantity(A) = Quantity(B) meaning the share quantity in both symbols must be equal. Either case would represent an intent to "only execute a trade in A if also executing a trade in B." If the constraint cannot be met in the auction, the Expressive Order will not be filled in either A or B.

For Expressive Bidding, the parameters of all constituent Target Orders (e.g. limit price) and the constraints provided in Bidder Logic must all be satisfied for an execution to occur. Bidder Logic cannot permit an execution that would violate the parameters of the Target Order(s); likewise, Target Order parameters cannot permit an execution that would violate constraints provided in Bidder Logic. For example: an Expressive Order with Bidder Logic specifying willingness to execute multiple orders at the calculated midpoint or better, will not execute if dependent on inclusion of a Target Order whose limit price is less aggressive than the calculated midpoint and the clearing price of the auction.


ORDER AVAILABILITY: The ATS uses periodic call auctions that make use of mathematical optimization techniques to match buyers and sellers. These auctions take place multiple times per second throughout the trading day. Each auction considers all eligible orders across all symbols simultaneously and seeks an "optimal" matching between buyers and sellers as described in Part III Item 11. All order types, including Expressive Orders, are available to all Subscribers of the ATS, and have the same eligibility criteria and time cut-offs for participation in a given auction. Expressive Orders are evaluated (i.e. Bidder Logic code is processed) in each auction prior to the start of the auction's optimization process. Given that Expressive Orders could allow for varying degrees of complexity, their evaluation is resource constrained. That is, each Expressive Order is allocated a finite amount of computation resources and is evaluated prior to the commencement of the Match Optimization process described in Part III Item 11 under the Auction Procedure heading. These computational constraints apply to all Expressive Orders equally (i.e. regardless of order complexity or from whom the ATS received the order). An Expressive Order and its associated Target Orders will not be eligible for the auction if the Expressive Order exceeds its evaluation constraints.


ORDER PRIORITY: The ATS periodically holds auctions (multiple times per second) designed to seek an optimal matching between buyers and sellers across all eligible orders. Each order's eligibility for participation is determined by its time-stamped receipt at one of the Operator's distributed PoPs (the Operator is commencing operation with a single PoP, in Equinix NY5). Executions, allocations, and per symbol clearing prices are determined using mathematical optimization techniques, maximizing Aggregate Price Improvement dollars across eligible orders in a given auction. See Part III Item 11 under the Distributed Point of Presence System and Auction Procedure headings for specific details.


EXECUTION INSTRUCTIONS: The ATS supports a set of execution instructions applicable to both of its Standard Order types (Limit Orders and Peg Orders) at the FIX layer. These execution instructions also apply to the Target Orders that are used in connection with Expressive Bidding, and Conditional Indications (as described in Part III Item 9). Subscribers may use these execution instructions on a per order basis, subject to system bounds established and imposed by the ATS itself as described in Part III Item 8. The following execution instructions are available:
1) Price Limit (minimum price verification on a per-share basis);
2) Maximum number of shares;
3) Minimum number of shares;
4) Time-in-force: Day, Immediate or Cancel, Fill or Kill, Good 'Til Date (with an expire time not to exceed the end of the current trading session);


These message-layer constraints cannot be overridden by Expressive Bidding and Bidder Logic.


ORDER CANCELLATION, MODIFICATION, AND REPLACEMENT: the ATS does not support modification of resting orders, but Subscribers can cancel and replace orders with either a single cancel-replace request or two separate cancellation and new order entry requests. Order entry and cancellation requests are processed as described in Part III Item 11(c). As discussed in Part III Item 9, Firm Up Orders sent in response to a Conditional Invitation may not be cancelled and replaced.


ROUTING: The ATS does not route orders to other trading centers.


The ATS does not support any order types designed not to remove liquidity, as the ATS does not distinguish between providing and removing liquidity.


CUSTOM COUNTERPARTY GROUPS: As described in Part III Item 14, the ATS offers functionality for Subscribers to specify custom groups of counterparties against which to execute on an order-by-order basis, for both orders and Conditional Indications. 
b. Are the terms and conditions for each order type and attribute the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 8: Order Sizes

a. Does the NMS Stock ATS require minimum or maximum sizes for orders or trading interest? Radio button checked Yes Radio button not checked No
If yes, specify any minimum or maximum order or trading interest size requirements and any related handling procedures.
The ATS accepts odd-lot and mixed-lot orders; the minimum order size is 1 share.


The ATS will not accept individual Target Orders or Standard Orders with a quantity greater than 10,000,000 shares or with a notional value greater than $1,000,000,000.


Subscribers may specify their own maximum order size and maximum notional value constraints on each FIX connection. These maxima may be configured within ranges defined by the ATS as follows:
1) Quantity (shares): 100 through 10,000,000;
2) Notional Value (dollars): $1 through $1,000,000,000;


These maxima are defined by Subscribers at the FIX port or session level, acting as outer boundaries on the values that the Subscriber may enter on any individual Standard Order or Target Order entered in that session (see Part III Item 7 under the heading EXECUTION INSTRUCTIONS).


The ATS also enforces a global constraint that orders may not be priced more than 10% more aggressively than the measured NBBO for a given security. Subscribers may configure more restrictive constraints at the FIX port or session level. 
b. If yes to Item 8(a), are the requirements and procedures required to be identified in Item 8(a) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No
c. Does the NMS Stock ATS accept or execute odd-lot orders? Radio button checked Yes Radio button not checked No
If yes, specify any odd-lot order requirements and related handling procedures (e.g., odd-lot treated the same as round lot).
Odd lot orders are treated and handled in the same manner as round and mixed lot orders. 
d. If yes to Item 8(c), are the requirements and procedures required to be identified in Item 8(c) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No
e. Does the NMS Stock ATS accept or execute mixed-lot orders? Radio button checked Yes Radio button not checked No
If yes, specify any mixed lot order requirements and related handling procedures (e.g., mixed lot treated the same as round lot).
Mixed lot orders are treated and handled in the same manner as odd and round lot orders. 
f. If yes, to Item 8(e), are the requirements and procedures required to be identified in 8(e) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 9: Conditional Orders and Indications of Interest

a. Does the NMS Stock ATS send or receive any messages indicating trading interest (e.g., IOIs, actionable IOIs, or conditional orders)? Radio button checked Yes Radio button not checked No
If yes, identify and explain the use of the messages, including information contained in messages (e.g., price or size minimums), how the message is transmitted (e.g., order management system, smart order router, FIX), when the message is transmitted (e.g., automatically by the ATS, or upon the sender's request), the type of Persons that receive the message (e.g., Subscribers, Trading Centers), responses to conditional orders or IOIs (e.g., submission to firm-up conditional orders), and the conditions under which the message might result in an execution in the ATS (e.g., response time parameters, interaction, and matching).
The OneChronos ATS accepts "Conditional Indications." A Conditional Indication is an instruction to the OneChronos ATS expressing potential interest to trade subject to counterparty liquidity availability. A Conditional Indication is not in itself an order. If the OneChronos ATS determines that there may be counterparty liquidity to interact with, via a process described below, the ATS cancels the Conditional Indication and sends a Conditional Invitation to the Subscriber, inviting the Subscriber to send a firm order in response ("Firm Up Order"), and providing the Subscriber with a specific Invitation ID (see next paragraph). Firm Up Orders sent in response to a Conditional Invitation are treated identically to firm orders that have equivalent order instructions, as described in Part III Item 7, with the following exceptions: 1) Firm Up Orders may be canceled, but may not be canceled and replaced, 2) Firm Up Orders must be received by the ATS within 1 second of the timestamp on the associated Conditional Invitation, 3) Firm Up Orders are always eligible as contra-side interest to Conditional Indications; regular firm orders are only eligible as contra-side interest to Conditional Indications within a Custom Group, and only if the Subscriber opts-in to that behavior on an order-by-order basis (see below), and 4) Firm Up Orders must have the same symbol, side (with Sell, Sell Short, and Sell Short Exempt considered equivalent between the Conditional Indication and Firm Up Order), Custom Counterparty Group (if relevant), and Subscriber identifier as the original Conditional Indication, and if the Conditional Indication allowed for interaction outside the Custom Group, the associated Firm Up Order must also allow for interaction outside the Custom Group, otherwise the order is rejected. Conditional Indications have the same order instruction flexibility and requirements as firm orders at OneChronos (for example, peg instructions and minimum quantity).


In addition, Subscribers must send the Firm Up Order on the same (FIX) order entry session that they sent the Conditional Indication on. Subscribers identify which Conditional Indication is associated with their Firm Up Order via the Invitation ID that was sent to them on the Conditional Invitation that the Subscriber is responding to; specifically, they include the Invitation ID with their Firm Up Order instruction.

With the exceptions noted above, Firm Up Orders behave and participate in the same manner as all other firm orders with equivalent order instructions. They are able to trade amongst other Firm Up orders as well as standard (firm) orders in OneChronos ATS auctions. Firm orders have the option to opt-out of interacting with Firm Up orders, by including a specific instruction on an order-by-order basis. The timestamp on the Firm Up Order, not the Conditional Indication, is used to determine eligibility for an auction.

During the "Auction Preprocessing" step of the OneChronos Auction Procedure (described in Part III Item 11b), the OneChronos ATS: 1) looks for counterparty liquidity for Conditional Indications that it has received, and 2) sends Conditional Invitations out where applicable. This process occurs once per auction. Cancellations for orders and Conditional Indications received during the Auction Preprocessing step are processed immediately. For a given Conditional Indication to receive an Invitation ID, there must be one or more contra-side orders or Conditional Indications in the symbol ("conditional contras") such that the following five constraints are satisfied:

INVITE ELIGIBILITY CONSTRAINT: All Firm Up Orders and Conditional Indications are eligible as conditional contras. A Subscriber may opt-in to having their Custom Group firm orders be considered as conditional contras within that Custom Group on an order-by-order basis. If a Subscriber sends a firm order and does not specify a Custom Group, that order is not eligible as a conditional contra.

PRICE CONSTRAINT: The conditional contras must have marketable prices that can match with the given Conditional Indication.

QUANTITY CONSTRAINT: The conditional contras must provide sufficient quantity to satisfy a minimum quantity constraint on the given Conditional Indication, where present.

SELF-TRADE PREVENTION CONSTRAINT: The ATS will not send conditional invites to a Subscriber with self-trade prevention enabled that has otherwise-eligible conditional contras (e.g. Firm Up orders or Conditional Indications) on both sides of a symbol unless the other four constraints hold independently of that Subscriber's conditional contras (i.e., if there are orders or Conditional Indications from other Subscribers that are eligible to match with the given Conditional Indication).

CUSTOM COUNTERPARTY GROUP CONSTRAINT: Custom Counterparty Group logic for orders and Conditional Indications (described in Part III Items 11 and 14) is respected. For example, if the given Conditional Indication has a constraint to only execute with a Custom Counterparty Group, then the set of conditional contras considered for inviting the given Conditional Indication is restricted to orders or Conditional Indications from that specific Custom Counterparty Group that the Firm Up order would be eligible to interact with. However, if a given Conditional Indication does not restrict interacting with orders or Conditional Indications outside the Custom Counterparty Group, the conditional contras will include orders and/or Conditional Indications from outside the Custom Counterparty Group, where such orders and Conditional Indications are otherwise eligible to result in the generation of a Conditional Invitation. 
b. If yes to Item 9(a), are the terms and conditions governing conditional orders and indications of interest the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 10: Opening and Reopening

a. Explain how the NMS Stock ATS opens or re-opens for trading, including when and how orders and trading interest are priced, prioritized, matched, and executed, and identify any order types allowed prior to the start of regular trading hours or following a stoppage of trading in a security during regular trading hours.
OPENING PROCEDURE: The ATS begins accepting orders before trading commences (before the "opening auction"), at the dates and times specified in Part III Item 4. The opening auction will take place after the opening time specified in Part III Item 4. As a general matter, this and all other auctions will include any NMS securities for which there has been an opening or a re-opening print from the primary listing exchange for that security.;

PRIORITY, MATCHING, EXECUTION: orders are prioritized, matched, and executed in an opening or re-opening auction in the same manner as subsequent auctions, as described in Part III Items 11(a) and 11(c);

ORDER TYPES: all order types specified in Part III Item 8 are accepted for opening and re-opening auctions. 
b. Are the processes and procedures governing opening and re-opening the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No
c. Explain how unexecuted orders and trading interest are handled at the time the NMS Stock ATS begins regular trading at the start of regular trading hours or following a stoppage of trading in a security during regular trading hours.
START OF REGULAR TRADING: orders that remain open after the last auction of a trading day are automatically cancelled at the end of the trading day. Such orders are not carried forward into the next trading day.


RESUMPTION OF TRADING IN A SECURITY: orders that are not filled after an intraday stoppage and resumption of trading in a security remain open. Specifically, if an order is open for a halted security or entered during a halt in that security, and that order is not cancelled (by the Subscriber), it is eligible for participation in the auction following the resumption of trading in the given security or securities. 
d. Are the processes or procedures governing unexecuted orders and trading at the time the NMS Stock ATS begins regular trading at the start of regular trading hours, or following a stoppage of trading in a security during regular trading hours, the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No
e. Are there any differences between pre-opening executions, executions following a stoppage of trading in a security during regular trading hours, and/or executions during regular trading hours? Radio button not checked Yes Radio button checked No

Item 11: Trading Services, Facilities and Rules

a. Provide a summary of the structure of the NMS Stock ATS marketplace (e.g., crossing system, auction market, limit order matching book) and explain the means and facilities for bringing together the orders of multiple buyers and sellers on the NMS Stock ATS.


MATCHING SYSTEM: Rather than matching orders continuously as they arrive at the matching engine (as in a continuous limit order book) the ATS periodically holds auctions designed to seek an optimal matching between buyers and sellers across all eligible orders. As part of this mechanism, Subscribers can enter Limit Orders or Peg Orders in single securities or, by the use of Expressive Bidding, specify execution instructions that span a pair of securities. Expressive Bidding allows External Users to express constraints on a pair of orders to fit their business specific execution and or risk management objectives. As explained in Part III Item 7, Expressive Orders are comprised of Target Orders sent via FIX by Subscribers; Bidder Logic (computer code specifying constraints); and Bidder Inputs to complement the Bidder Logic as it may apply to a given Target Order. Auctions are multilateral: one or more buyers can match against one or more sellers. Within a given auction the mechanism computes per-security uniform transaction prices that apply to all buyers and sellers of that security. The ATS matching mechanism is a call auction in that order matching happens at a specific point in time. All NMS stocks are eligible to trade in the ATS, with the exception of any NMS stocks that cannot be processed by the ATS's clearing or trade reporting partners. Eligibility is subject to procedures described in Part III Item 10 (Opening Procedure).


DISTRIBUTED POINT OF PRESENCE SYSTEM: The Operator maintains a distributed and time-synchronized PoP system at multiple data centers for order entry and market data intake (see also Item III, Part 5 above for further information on the PoP system). Although matching happens at a centralized location, Subscribers can enter orders at any PoP. PoP arrival timestamps dictate order eligibility. Orders received at a PoP by a Cutoff Timestamp (the "Cutoff" or "Cutoff Time") selected by the ATS for a given auction are eligible for matching in that auction; orders received after the Cutoff are not eligible until the next auction. By using PoP arrival timestamps (rather than matching engine arrival timestamp) as described below, the distributed PoP system endeavors to promote equality of access to Subscribers with systems located in different geographies. The Operator is commencing operation of the ATS with a single PoP in Equinix NY5 at 800 Secaucus Road, Secaucus, New Jersey 07094.


ORDER ENTRY AND EXECUTION PROCESS: PoPs apply high precision (recorded in nanoseconds) timestamps to orders as they arrive. After receiving a timestamp, orders proceed to the matching engine located at Equinix NY5 in Secaucus, NJ. Orders are eligible for all auctions with a Cutoff Time greater than or equal to their PoP timestamp. The Cutoff Time is also used as a basis for computing NBBO (see Part III Item 23). Aside from the determination of orders' eligibility, the auctions have no notion of time priority (i.e. all orders participating in the same auction are on parity from a time perspective). Price priority and share allocation proceeds per the mechanism described in Part III Item 11(c).


Because orders require time to propagate from their entry PoP to the matching engine, the matching engine pauses for a duration (the "Buffer Window" or "Buffer") long enough to allow the arrival of market data from the SIP as well as orders from all PoPs before commencing an auction. The duration of the Buffer Window is calibrated based on measured historical and real-time network latencies and may change over time but will remain on the order of milliseconds or tens of milliseconds. This Buffer seeks to prevent orders entered at PoPs further (in the sense of network transmission time) from the matching engine from experiencing a time disadvantage relative to PoPs closer to the matching engine. Execution report dissemination uses a similar system as described in Part III Item 21. 
b. Are the means and facilities required to be identified in Item 11(a) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No
c. Explain the established, non-discretionary rules and procedures of the NMS Stock ATS, including order interaction rules for the priority, pricing methodologies, allocation, matching, and execution of orders and trading interest, and other procedures governing trading, such as price improvement functionality, price protection mechanisms, short sales, locked-crossed markets, the handling of execution errors, and the time-stamping of orders and executions.
The core mechanism underlying execution on the ATS is the combinatorial call auction process. This auction process uses a matching optimization formula that considers orders in all securities in a given auction simultaneously in an effort to identify mutually beneficial matches between buyers and sellers across the ATS's entire market.


AUCTION PROCEDURE: In summary, auctions consist of the following steps:
0) "Auction Preprocessing": the OneChronos ATS analyzes orders, Conditional Indications, and market data (all received prior to the start of this step) for conditional counterparty liquidity and sends Conditional Invitations, as described in Part III Item 14. Conditional Indications and orders received after the start of this step will not be processed until Auction Preprocessing for the subsequent auction.
1) "Initialization Time": an auction Cutoff Time (as defined in the following paragraph) which is randomly chosen per the procedure described below as the start of an auction;
2) "Auction Network Buffer" (or "Buffer"): this Buffer is intended to allow orders and market data enough time to arrive from distant PoPs as described in Part III Item 11(a). More specifically, the Buffer allows sufficient time for orders and market data to arrive from the furthest (measured in network transmission time) PoP from the matching engine. The length of the Buffer can vary based on expected transmission times, but would typically be on the order of milliseconds or tens of milliseconds;
3) "Match Optimization": ATS systems evaluate Expressive Orders and run the combinatorial matching process, which determines prices and share allocations across all symbols;
4) "Post Auction Network Buffer": upon completion of the Match Optimization process, the matching engine broadcasts auction results to all PoPs. Each PoP waits until a pre-determined time (which always precedes the following auction's Cutoff), to distribute execution reports, thereby providing a synchronized dissemination of such data externally. As with the Auction Network Buffer, the length of the Post Auction Network Buffer can vary based on expected transmission times, but would typically be on the order of milliseconds or tens of milliseconds;
5) "Data Dissemination": at the conclusion of the Post Auction Network Buffer period, PoPs communicate auction results in the form of execution reports to external parties, including Subscribers, the ATS's direct clearing provider, and the Trade Reporting Facility.


The complete lifecycle of these steps spans a timescale of less than 100 milliseconds. Auctions occur at discrete "Cutoff Times", following the completion of the prior auction lifecycle, drawn at random within a range of 20 milliseconds to 200 milliseconds from the previous auction. When the Auction Network Buffer has elapsed, the matching engine establishes auction eligibility per the PoP arrival timestamps as described in Part III Item 11(a). At this point, Market Inputs used by Expressive Orders and the data used for constructing NBBO is final. See Part III Item 23 under MEASUREMENT OF MARKET DATA AND NBBO for a detailed explanation of NBBO construction. All ATS timestamps, including those that appear on execution/trade reports, are recorded in nanoseconds.


AUCTION ELIGIBILITY: the ATS accepts orders and Conditional Indications (Conditional Indications are described in Part III Item 9). Subscribers can send cancellation requests for resting orders and Conditional Indications. Cancellation requests received and timestamped before the Cutoff Time have immediate effect. Cancellation requests received after the Cutoff Time but before the completion of the auction cycle do not have effect until the following cycle (and therefore the order may still participate in the auction notwithstanding the cancellation request). The order entry system removes the referenced order from the matching engine as soon as the next auction window opens if the order is still present (not filled) and rejects it otherwise. With regards to a partial fill, the residual quantity is treated as the maximum fill quantity for the order in subsequent auctions, unless its time-in-force instructions dictate that it be cancelled.


RISK CONTROLS: After determining auction eligibility (per Part 3 Item 11(a)) and selecting market data (per Part 3 Item 23) upon the completion of the Auction Network Buffer, the ATS carries out a series of pre-match market quality and risk checks. These consist of testing for locked and crossed markets (rules for trading during locked and crossed markets follow later in this section), verifying that user configured risk checks pass, and flagging "clearly erroneous orders" as ineligible. For Subscriber controlled risk checks, the following parameters are configurable within the bounds established by the ATS (see Part III Items 7 and 8 for minimum and maximum values):
1) Total notional value maximums per order;
2) Total quantity maximums per order;
3) Symbol restrictions;
4) Short sale restrictions;
5) Self-Trade prevention by MPID and/or FIX session;


As an additional risk control, orders with External User-supplied prices 10% or more aggressive than the NBBO are not eligible for participation. The ATS rejects orders for which this is true at the time of submission. Subscribers can configure this behavior to be more restrictive (i.e. less than 10%) but not less restrictive (i.e. greater than 10%). The ATS may also enforce share quantity and notional value constraints according to maximums put in place by the ATS's clearing provider.


MATCH OPTIMIZATION: After identifying a set of eligible, risk checked orders, matching of firm orders can proceed (Conditional Indications are not evaluated during this phase). Matching is conducted via a uniform clearing price combinatorial auction - a form of mathematical optimization that attempts to match one or more buyers with one or more sellers in a fashion that maximizes the chosen objective(s) while enforcing constraints. Because orders can include constraints that span securities (e.g., buy A if and only if an accompanying order for B gets filled) the optimization process must run over all securities simultaneously. The optimization procedure includes a rule that the solution found must respect the constraints placed on orders by participants (e.g. price limits, volume ratios) as well as the market wide constraints placed by the ATS (e.g., ensuring that aggregate buy fill volume equals aggregate sell fill volume on a security-by-security basis).


The ATS optimization process consists of multiple optimization techniques (see "Additional Details on Optimization" below) that attempt to maximize the following two objectives:

1) Aggregate Price Improvement: the optimization attempts to maximize the total price improvement realized across all orders eligible to participate in the auction, incorporating both price per share and number of shares filled. For an individual order to buy or sell a single security, "Price Improvement Dollars" refers to the difference between the limit price on the order and the auction clearing price (i.e. the price at which the order is filled) for the given security, times the quantity filled. For an Expressive Order to buy and/or sell multiple securities simultaneously, price improvement refers to differences in limit prices and clearing prices for each respective security, summed across all securities times the quantities filled. See below under "Priority and Price Formation Example" for information on treatment of NBBO. When considering a crossed buy and sell order for a security, Price Improvement Dollars can be calculated as the difference between limit prices for the two orders. Aggregate Price Improvement represents the sum of Price Improvement Dollars across all eligible orders under consideration for a given optimization solution, and across all securities. As a result, it is possible that an order (i.e. Standard Order or Expressive Order) may receive lower match priority in favor of an Expressive Order containing a less aggressively priced Target Order in the same security. This can occur if and only if prioritizing the less aggressive order results in greater Aggregate Price Improvement to a given auction (see a specific example lower in this section under heading: Priority And Price Formation Example). In other words, maximizing Aggregate Price Improvement is the dominant and first objective of the optimization.
2) Volume: as a secondary objective, the optimization attempts to maximize the total share volume cleared in aggregate across all securities.


Each optimization technique evaluates these two objectives in succession, producing one or more sets of potential executions ("solutions"). The solution with the highest value of the first objective is selected. In the event multiple solutions have an equal value for the first objective, the solution with the highest value of the second objective is selected. A solution that represents the largest value of the objective function possible is known as globally optimal. Given finite computing resources obtaining globally optimal solutions is not always possible. Furthermore, globally optimal solutions are not always unique in that multiple solutions might yield identical values for the optimization objective. The ATS is designed such that solutions: a) do not violate constraints placed on orders by users or the global constraints placed by the ATS, such as those described below under "LOCKED AND CROSSED MARKETS" and those in Part III Item 20; and b) are optimal amongst the solutions explored during the optimization process. In the event that multiple solutions are equally optimal (i.e., have equal values for both the first and second objectives), any candidate in the set of equally optimal solutions may be selected based on which solution maximizes filled shares in Custom Counterparty Groups, which solution maximizes the average fill size of each execution, or a solution may be chosen randomly. The tie-breaking logic is the same for all Subscribers and in all cases does not consider the identity of Subscribers or the identities of their respective clients.


Once a solution to the optimization is identified, clearing prices are determined for each symbol. A solution to the optimization represents a matching of buyers to sellers for which it is possible to find a list of per-security auction clearing prices (the "price vector"). For a given auction, all orders selected for participation via the solution to the optimization receive fills at the same clearing price on a per-security and, where applicable, a per-Custom Group (see below) basis. A given output to the optimization might yield more than one possible set of clearing prices (solution). When more than one possible set of clearing prices is identified, the ATS then uses a secondary procedure that seeks to identify distinct per-security clearing prices at the middle of the feasible range of clearing prices. In the absence of a two-sided quote (measured as described in Part III Item 23) the optimizer uses the last trade price (also measured as described in Part III Item 23) instead of the midpoint. The optimization solution represents a matching of buyers and sellers and is the mechanism for establishing order priority and share allocation.


When orders with identical sets of constraints enter the auction (e.g. Limit Orders for the same security at the same limit price with no further constraints) an individual optimization technique may treat them as components of a single, larger "synthetic" order. When this approach results in a partially filled synthetic order (i.e. when there is insufficient volume on the contra side to fill the entire synthetic order), allocation to constituent orders happens via a randomized round-robin mechanism. Round-robin allocation is equivalent to:
1) Assigning a random sequencing to all constituent orders;
2) Allocating a random number of shares (up to 100 shares at a time) to constituent orders according to the random sequence, honoring all constraints (e.g. maximum quantity);
3) Repeating step 2 above until the supply of available contra shares runs out.


In the case where only Limit Orders and Peg Orders with no further constraints (i.e. beyond price / quantity constraints) are eligible to participate for a given security (in a given auction), the ATS match process behaves the same as described above.

CUSTOM COUNTERPARTY GROUPS: As described in Part III Item 14, the ATS offers functionality for Subscribers to specify Custom Groups of counterparties against which to execute on an order-by-order basis. The optimization logic for determining which orders execute, and at what price, is the same for orders within a Custom Group as for orders outside the Custom Group. Subscribers may provide an execution instruction on their Custom Group order to specify whether they would like their order to only execute against other orders in the Custom Group (which is also the default behavior if no instruction is provided), or to allow some or all of their order's fillable quantity to be executed outside of the Custom Group (i.e. in cases where not all of the order's fillable quantity can be executed within the Custom Group). The number of shares executed within Custom Groups is used as a tie-breaker in the optimization process described in Part 3 Item 11 under the MATCH OPTIMIZATION heading.

All orders in a given security that do not execute as part of a Custom Group will execute at the same price in a given auction. Given the different set of counterparty liquidity within Custom Groups, Custom Group orders may receive executions at different (i.e. potentially better or worse) prices than orders not in that particular Custom Group. As also discussed in Part III Item 14, orders may participate in multiple Custom Groups simultaneously. In this scenario, an order may be executed at unique prices per Custom Group in which it executes. As discussed in Part III Item 21, the OneChronos ATS submits one trade report per price per symbol per auction.

ADDITIONAL DETAILS ON OPTIMIZATION: Combinatorial auctions belong to a class of computationally intensive search and optimization tasks known as non-deterministic polynomial-time (NP) hard problems. Given that problem instances (auctions) could allow for varying degrees of complexity and therefore computational requirements, they cannot always be exhaustively evaluated. Accordingly, the ATS uses time and resource bounded optimization techniques whereby computational resources are utilized over a period of time lasting on the order of 10s of milliseconds. The amount of resources to be used for a given auction optimization cycle is fixed a priori and arrived at without knowledge of the orders participating in a given auction cycle. Between auctions, the total amount of resources available for optimization may fluctuate as a function of historical and expected future need for computational resources. While these optimization techniques are intended to improve the efficacy of the matching process, they might not identify a globally optimal solution in every scenario. Specifically, the optimizer makes decisions about the allocation of finite computing resources to exploring subsets of the solution space in ways that might leave portions of the search space unexplored.


To ensure that the optimization techniques utilized by the ATS do not result in a "worse" overall outcome for Subscribers than if the ATS utilized individual security-by-security order books for matching securities, every auction includes a "lower bounding" procedure. The lower bounding procedure is deterministic and works by computing the value of the hierarchical objective strictly considering the components of Limit Orders, and Peg Orders. This produces a similar set of outcomes as a traditional per-security call auction would if it were to use a similar matching objective. As such, it places a deterministic lower bound on the performance of the optimization. A solution found through this deterministic search process is selected if it maximizes the objective function more than other solutions found by the optimization process.


PRIORITY AND PRICE FORMATION EXAMPLE: Illustrative examples of the ATS optimization, and price assignment procedure follow.

Example 1: Basic Bilateral Fill
Order 1: Buy 100 @ $10.01
Order 2: Sell 100 @ $10.00

Orders 1 and 2 will fill 100 shares @ 10.005. Any price in the interval [$10.00, $10.01] is a valid clearing price that will maximize price improvement. In the absence of these other constraints, OneChronos will fill at the midpoint of the clearing price range.

Example 2: Basic Multilateral Fill
Order 1: Buy 100 @ $10.01
Order 2: Buy 100 @ $10.01
Order 3: Sell 200 @ $10.00

Orders 1 and 2 will fill 100 shares at $10.005. Order 3 will fill 200 shares @ 10.005.

Example 3: Pairs Expressive Bidding
Order 1: Buy 100 ABC @ $10.01 (Order #1 of a Pair Order from Subscriber A)
Order 2: Sell 100 XYZ @ $30.00 (Order #2 of a Pair Order from Subscriber A)
Order 3: Sell 100 ABC @ $10.00 (from Subscriber B)
Order 4: Buy 100 XYZ @ $30.01 (from Subscriber C)

In this example, Subscriber A has entered a pairs order using the Expressive Bidding functionality, and has specified via Bidder Logic that both orders should fill, or neither order should fill. Since there is contra interest on both sides, Orders 1 & 3 will match at $10.005 (as in Example #1), and similarly, Orders 2 and 4 will match at $30.005.

Example 4: Multilateral Limit Order Fill
Order 1: Sell 100 shares, midpeg, @ $20.33
Order 2: Buy 25 shares, limit @ $20.40
Order 3: Buy 25 shares, limit @ $20.36
Order 4: Buy 50 shares, limit @ $20.35
NBBO: $20.33 x $20.34

In this example, all four orders will fully fill at $20.3425. The midpoint of the NBBO is $20.335, which is more passive than the sell order's limit price of $20.33, therefore the effective limit price of the sell order becomes $20.335. The range of clearing prices is then [$20.335, $20.35]. Any fill price in this interval will result in an aggregate price improvement of $3, so the midpoint of the range is chosen.

The aggregate price improvement is calculated as follows:

(($20.3425 - $20.33) * 100) + (($20.40 - $20.3425) * 25) + (($20.36 - $20.3425) * 25) + (($20.35 - $20.3425) * 50) = $3

LOCKED AND CROSSED MARKETS:
The ATS flags securities as locked or crossed at the start of each auction using the NBBO "snapshot" created using the procedure described in Part III Item 23(a) "MEASUREMENT OF MARKET DATA AND NBBO." Because the time scales on which auctions run (10s of milliseconds) are much longer than the duration of a typical locked market (< 100 microseconds) the ATS allows Subscribers to specify via a port level setting if their orders for locked securities should remain eligible for the auction. Subscribers making this election might receive executions during a locked market. The default setting permits executions during locked markets. The ATS does not execute trades in crossed securities as measured by the process described in Part III Item 23. Securities that were not crossed at the time of measurement (i.e. at the Cutoff Time) but become crossed during the auction may still receive fills.


EXECUTION ERRORS:
The Operator maintains Written Supervisory Procedures that include procedures for handling execution errors. Execution errors may be the result, for example, of an ATS system failure, an error on the part of an ATS Subscriber, or an error in data (e.g. NBBO) provided to the ATS and used in executing a trade. In any of these cases, ATS personnel contact all Subscribers party to the transaction or transactions affected by the error and determine the appropriate course of action. If all Subscribers party to the trade wish to keep the trade in place and applicable FINRA, SEC, and SRO rules allow, no action is taken and the trade is processed. If one or more of the Subscribers wishes to break or correct a trade, the Operator may accordingly cancel or issue corrections for erroneous trades. If the Operator determines a transaction to be a bona fide error, the Operator may in its sole discretion accept erroneous legs of a transaction into an error account maintained with the Operator's clearing provider. The Operator promptly trades out of any positions it takes into the error account via execution services offered by its clearing provider. The CCO reviews all activity in the Operator's error account on a monthly basis to ensure that the account maintains a zero balance and that the account is only used for bona fide errors. 
d. Are the established, non-discretionary rules and procedures required to be identified in Item 11(c) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 12: Liquidity Providers

Are there any formal or informal arrangements with any Subscriber or the Broker-Dealer Operator to provide orders, or trading interest to the NMS Stock ATS (e.g., undertaking to buy or sell continuously, or to meet specified thresholds of trading or quoting activity)? Radio button not checked Yes Radio button checked No

Item 13: Segmentation; Notice

a. Are orders and trading interest in the NMS Stock ATS segmented into categories, classifications, tiers, or levels (e.g., segmented by type of participant, order size, duration, source, or nature of trading activity)? Radio button not checked Yes Radio button checked No
c. Does the NMS Stock ATS identify orders or trading interest entered by a customer of a broker-dealer on the NMS Stock ATS as a customer order? Radio button not checked Yes Radio button checked No

Item 14: Counter-Party Selection

a. Can orders or trading interest be designated to interact or not interact with certain orders or trading interest in the NMS Stock ATS (e.g., designated to execute against a specific Subscriber's orders or trading interest or prevent a Subscriber's order from executing against itself)? Radio button checked Yes Radio button not checked No
If yes, explain the counter-party selection procedures, including how counter-parties can be selected, and whether the designations affect the interaction and priority of trading interest in the ATS.
SELF-TRADE PREVENTION: The ATS provides a "self-trade prevention" mechanism which allows Subscribers to prevent their own orders from matching with one another (i.e. to prevent an order entered by the Subscriber from matching with another order entered by the same Subscriber), as described in Part III Item 11.

CUSTOM COUNTERPARTY GROUPS: The ATS offers functionality for Subscribers to specify Custom Groups of counterparties against which to execute on an order-by-order basis for both orders and Conditional Indications.

OneChronos will set up a specific Custom Group at the request of one or more Subscribers that wish to form a particular grouping, and assign them a particular Group Id. A Subscriber must provide their consent for their orders and Conditional Indications to participate in a Custom Group. Clients of Subscribers can request that OneChronos set up a Custom Group, in which case the Subscriber routing their client's orders to OneChronos must be willing to pass through the Group Id pertaining to their client's Custom Group, on the orders that should participate in the Custom Group. As noted in Part III Item 11, Subscribers may provide an execution instruction to allow execution of some or all of the order's quantity outside of the Custom Group as described in Part III Item 11. This instruction is available on both orders and Conditional Indications, with the exceptions noted in Part III Item 9 regarding matching instructions on Conditional Invites and associated Firm Up Orders.

OneChronos also supports combining Custom Groups into a composite group, with its own composite Group Id, and the specification of the composite group on an order via a composite Group Id. When this feature is utilized, the order will be eligible to execute against all Custom Groups in the composite group, where the user is an existing member of those Custom Groups. Which Custom Group or Custom Groups the order executes against will be determined by which set of executions best satisfies the objective function as specified in Part III Item 11. As also discussed in Part III Item 11, orders that participate in multiple Custom Groups may receive fills at distinct prices per Custom Group. References to Custom Groups in this document also apply to composite groups.

The Custom Group functionality is generally available to any Subscriber or client of a Subscriber that wishes to use it, however, OneChronos in its sole discretion may deny usage of Custom Group functionality (in whole or in part) to a Subscriber or their client in a manner consistent with the conditions discussed in Part III Item 3.

As detailed in Part III Item 11, executions that occur within a Custom Group may execute at a different price from orders in the same auction that execute outside of the Group. The number of shares executed within Custom Groups is used as a tie-breaker in the optimization process described in Part 3 Item 11 under the MATCH OPTIMIZATION heading. 
b. If yes to Item 14(a), are the procedures for counter-party selection required to be identified in Item 14(a) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 15: Display

a. Does the NMS Stock ATS operate as an Electronic Communication Network as defined in Rule 600(b)(23) of Regulation NMS? Radio button not checked Yes Radio button checked No
b. Are Subscriber orders and trading interest bound for or resting in the NMS Stock ATS displayed or made known to any Person (not including those employees of the NMS Stock ATS who are operating the system)? Radio button checked Yes Radio button not checked No
If yes, explain the display procedures, including how and when Subscriber orders and trading interest are displayed, how long orders and trading interest are displayed, what information about orders and trading interest is displayed, and the functionality of the Broker-Dealer Operator and types of market participants that receive the displayed information.
The OneChronos ATS does not display firm orders. When handling Conditional Indications, the OneChronos ATS will communicate a Conditional Invitation to the Subscriber that sent the Conditional Indication, making them aware that eligible counterparty liquidity exists, as described in Part III Item 9. The information contained within the Conditional Invitation is the same as the information within the associated Conditional Indication, with the addition of an Invitation ID as described in Part III Item 9. As the Broker-Dealer Operator does not route orders to its ATS, it does not send Conditional Indications or receive Conditional Invitations. 
c. If yes to Item 15(b), are the display procedures required to be identified in 15(b) the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 16: Routing

a. Can orders and trading interest in the NMS Stock ATS be routed to a destination outside the NMS Stock ATS? Radio button not checked Yes Radio button checked No

Item 17: Closing

a. Are there any differences between how orders and trading interest are treated on the NMS Stock ATS during the close and how orders and trading interest are treated during regular trading hours? Radio button not checked Yes Radio button checked No
b. Is the treatment of orders and trading interest during the close the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 18: Trading Outside of Regular Trading Hours

a. Does the NMS Stock ATS conduct trading outside of its regular trading hours? Radio button not checked Yes Radio button checked No

Item 19: Fees

a. Identify and describe any fees or charges for use of the NMS Stock ATS services, including the type of fees (e.g., subscription, connectivity), the structure of the fees (e.g., fixed, volume-based, transaction-based), variables that impact the fees (e.g., types of securities traded, block orders, form of connectivity to the ATS), differentiation among types of Subscribers (e.g., broker-dealers, institutional investors, retail) and range of fees (e.g., high and low).
The commissions charged for using the ATS are calculated on a per-share basis. As discussed in this section, the commission rate is dependent on the type of transaction, as well as the origin of the order, as discussed below, with discounts available based on a Subscriber's total traded quantity over the course of a calendar month. In the event that none of the pricing described in this section applies to an execution, the execution will be charged a commission of $0.0010 per executed share. The commission structure is the same for all Subscribers, outside of Custom Groups.

CUSTOM GROUPS: The ATS does not have a standard commission schedule associated with Custom Groups. Orders executed in a Custom Group are charged commissions in a range from $0 per share to $0.0015 per share. The commissions associated with Custom Group executions are at a negotiated rate. Factors considered when negotiating commissions may include but are not limited to historical trading volumes and patterns, anticipated trading volumes and patterns, and the characteristics of the orders (for example, how frequently marketable the orders are, size of orders, breadth of symbols, resting times, origin of the order flow (retail or institutional), etc). The commissions charged for Custom Group executions may be re-evaluated from time to time, as the factors previously listed change.

RETAIL: Additionally, there is no commission charged for executions on orders that the Subscriber has attested, on an order-by-order basis, as originating from retail flow. This is irrespective of whether or not the executions occur inside of a Custom Group.

INTRODUCTORY DISCOUNTS: As discussed in Item 19c, the Operator may offer an introductory discount period, pertaining to new Subscribers, new functionality, existing Subscribers' initial use of existing functionality, or material changes in existing Subscribers' use of existing functionality (see Item 19c) for which the Operator determines the discount amount and length of the discount period. The discounted commissions will generally be between $0.0000 and $0.0005 per share. The length of the discount period will generally be 3 to 6 months, subject to revision at the Operator's discretion (e.g. based upon onboarding progress).

FEE PASSTHROUGH: In addition to the commissions described above, the Operator may pass through clearing and regulatory fees it is assessed (e.g., NSCC, Section 31 fees, and Trading Activity Fees) to Subscribers. The OneChronos ATS is the CAT Executing Broker for both the buyer and the seller on all trades it executes and the Operator is charged CAT fees accordingly, which it then passes through to Subscribers.

OTHER: The ATS does not charge Subscribers for network connectivity, access, or execution data. 
b. Identify and describe any fees or charges for use of the NMS Stock ATS services that are bundled with the Subscriber's use of non-ATS services or products offered by the Broker-Dealer Operator or its Affiliates, including a summary of the bundled services and products, the structure of the fee, variables that impact the fee, differentiation among types of Subscribers, and range of fees.
No such fees are charged; no additional services are bundled with the use of the ATS.  
c. Identify and describe any rebate or discount of fees or charges required to be identified in Items 19(a) and 19(b), including the type of rebate or discount, structure of the rebate or discount, variables that impact the rebate or discount, differentiation among types of Subscribers, and range of rebate or discount.
INTRODUCTORY DISCOUNTS:

The Operator may offer five types of introductory discounts, at its discretion, as described in Item 19a. Discounts may be available:

1) To new Subscribers to the ATS, in the form of discounted commissions on their executions.
2) When the Broker-Dealer Operator introduces new functionality (e.g., order types, order instructions) in the form of discounted commissions on executions resulting from the new functionality.
3) When an existing Subscriber is using existing functionality (e.g., order types, order instructions) for the first time.
4) When an existing Subscriber changes their usage of existing functionality in a way that materially increases anticipated activity on the platform (for example, increasing the number of symbols traded, average order size, price aggressiveness, duration of orders).
5) When an existing Subscriber sends an entirely new category of flow to the ATS (e.g, if a Subscriber enables a new trading strategy, if a Subscriber routes flow for a new client to the ATS, or if a Subscriber routes qualitatively distinct (e.g. retail) flow to the ATS).

In all of the above cases, the amount of the discount, and the amount of time for which the discount applies may be negotiated with an individual Subscriber, but will be in line with the ranges discussed in Item 19a. Factors involved in determining the amount of discount and the time for which the discount applies include but are not limited to the Subscribers anticipated volume, the characteristics of their orders (for example the number of symbols traded, average order size, amount of price improvement, duration of orders), and their usage of new ATS functionality.

VOLUME-BASED TIERING:

The Operator offers volume-based tiering where Subscribers can pay lower commissions, as follows:

If a Subscriber's total traded volume for a calendar month is greater than or equal to 5% of OneChronos total matched volume for the calendar month, the Subscriber will incur a commission of $0.0007 per share.


If a Subscriber's total traded volume for a calendar month is greater than or equal to 7% of OneChronos total matched volume for the calendar month, the Subscriber will incur a commission of $0.0005 per share.

The Base Rate commission (i.e., the rate charged in the event no discounts/other pricing apply) of $0.0010 is the same for all Subscribers. Any discount will be calculated retroactively on all shares traded for that calendar month. In the event the execution is eligible for a lower commission by way of other pricing described in this section (for example, if the retail pricing applies, or the execution is in a Custom Group with a lower negotiated commission), the lower commission will apply. Subscribers' traded volume and OneChronos matched volume are computed as the sum of total shares traded/matched across all securities. 

Item 20: Suspension of Trading

a. Explain any procedures for suspending or stopping trading on the NMS Stock ATS, including the suspension of trading in individual NMS stocks.
LIMIT-UP LIMIT-DOWN ("LULD"): the ATS continuously monitors LULD bands via the Securities Information Processor (SIP) consolidated feeds and does not execute trades outside of those price bands.


As with the establishment of NBBO, the ATS processes trading halt information relative to the start of each auction - the Initialization Time per Part III Item 11(c). When news of a trading halt for a given security arrives via SIP, the ATS removes that symbol from consideration with immediate effect if an auction has not yet started, and in the next auction cycle if an auction is in progress. Expressive Orders including Target Orders for a halted security can still receive executions on Target Orders for non-halted symbols to the extent that the Bidder Logic allows. In the event that a circuit-breaker has been triggered for a given security, the ATS does not accept "short" orders in that security unless they are marked "short exempt."


The ATS may impose additional trading halts in one or more securities if the ATS approaches trading volume thresholds defined in Regulation Systems Compliance and Integrity ("Reg SCI"). The Operator performs monthly reviews of trading volume in an effort to anticipate a requirement for compliance with Reg SCI.


ERROR CONDITIONS: The ATS may also suspend trading in one or more securities temporarily if it detects certain Error Conditions that materially impact its ability to match trades in the affected securities. These Error Conditions are defined in the Operator's Business Continuity Plan and include: loss or material degradation of communication between the matching engine and one or more PoPs; matching engine system errors; loss or material degradation of communication between market data sources and the matching engine; loss or material degradation of communication with the Trade Reporting Facility. When an Error Condition is detected, the ATS may suspend trading as follows:

1) If an Error Condition is detected between auctions, i.e. prior to a chosen Cutoff Time but after the Data Dissemination of the previous auction, the auction may be delayed until the Error Condition is resolved;

2) If an Error Condition is detected during an auction, i.e. after a Cutoff Time has elapsed but before the subsequent Data Dissemination is complete, no executions are reported for that auction and the subsequent auction may be delayed until the Error Condition is resolved. 
b. Are the procedures for suspending or stopping trading the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 21: Trade Reporting

a. Explain any procedures and material arrangements for reporting transactions on the NMS Stock ATS, including where an ATS reports transactions and under what circumstances.
The ATS reports transactions as follows:
1) Execution reports to Subscribers;
2) Trade Reporting Facility (TRF) reports (sent to the FINRA/NYSE TRF);
3) Clearing reports to the ATS's clearing provider;
4) Rule 605, Rule 606, CAT, and ATS-R Reports (sent to FINRA);
5) Drop Copy reports upon Subscriber request;

After each auction, execution reports are transmitted to each Subscriber reflecting their individual participation (fills, partial fills, "leaves") in the auction. These reports contain, for each order that participated in the auction: symbol, clearing price, volume filled, and side (buy or sell). In the case of a partial fill the execution report contains a "Leaves Quantity" field representing the remaining shares available to be filled for the order.


Modifications made to orders are acknowledged within execution reports. This includes cancellations and automatic adjustments made by the ATS (such as automatically reducing max volume constraints in response a partial fill, as described above).


To foster equal access across all geographies the ATS disseminates execution reports from PoPs at the same time (as detailed in Auction Procedure within Part III Item 11).


Because of the time required for the Buffer Period and match optimization process, some amount of time will elapse between the measurement of NBBO and the dissemination of data to Subscribers and the TRF (i.e. the full completion of the Auction Procedure). This amount of time can vary based on technical factors and limitations but typically falls within 10s of milliseconds.


In compliance with Reg NMS Rule 601 and the FINRA Rule 6000 series, the ATS also promptly transmits aggregate price and volume information for each security matched to the FINRA/NYSE TRF after the Post-Auction Network Buffering period described in Part III Item 11(c) has elapsed at the conclusion of each auction. TRF reports consist of one print per symbol per price per auction.


Promptly after execution reports and TRF reports are transmitted the ATS transmits fully disclosed clearing reports to its direct clearing provider.


In accordance with Reg NMS Rules 605 and 606 the ATS provides periodic reports to FINRA regarding the composition and timing of orders entered and executed on the ATS. CAT reports are filed on a daily basis, reporting all trades for which the ATS is the designated reporting party. This includes orders received from Subscribers and volume matched internally to the ATS. 
b. Are the procedures and material arrangements for reporting transactions on the NMS Stock ATS the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 22: Clearance and Settlement

a. Describe any procedures and material arrangements undertaken to facilitate the clearance and settlement of transactions on the NMS Stock ATS (e.g., whether the ATS becomes a counterparty, whether it submits trades to a registered clearing agency, or whether it requires Subscribers to have arrangements with a clearing firm).
Each Subscriber must either self-clear its transactions executed on the ATS or have a clearing arrangement with a clearing firm, and transactions are settled by Subscribers themselves or their respective clearing firms. The ATS Operator has engaged Instinet, LLC ("Instinet"), as a broker-dealer clearing agent to facilitate the clearing and settlement process. Under the agreement, Instinet submits transactions executed on the ATS to the National Securities Clearing Corporation ("NSCC") for clearance and settlement, and performs certain related functions to facilitate the clearing and settlement process. The ATS Operator requires each Subscriber to acknowledge and consent to this arrangement as part of the Subscriber onboarding process, and to provide their own clearing information for the purpose of clearing and settlement. The ATS Operator acts as a dual-agent and is not a counterparty to the transactions that are matched on the ATS, but for operational purposes Instinet submits an executed transaction to NSCC as a number of matched transactions using the Operator's MPID to designate the Operator as the contra-side buying broker to the seller(s) and the contra-side selling broker to the buyer(s), consistent with its role as dual agent. 
b. Are the procedures and material arrangements undertaken to facilitate the clearance and settlement of transactions on the NMS Stock ATS the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 23: Market Data

a. Identify the sources of market data used by the NMS Stock ATS (e.g., proprietary feed from a national securities exchange, feed from the securities information processor ("SIP")), and how the ATS uses market data from these sources to provide the services that it offers, including how the ATS uses market data to determine the NBBO and protected quotes, and display, price, prioritize, execute, and remove orders and trading interest on the ATS.
The ATS makes use of external market data (including NBBO) from the Securities Information Processor ("SIP") to:
1) Determine the prices at which pegged orders are eligible for participation;
2) Determine the prices at which each security in the auction clear;
3) Maintain compliance with the Regulation NMS Order Protection Rule.

NBBO FOR PRICE CONSTRAINTS: The ATS treats Peg Orders as Limit Orders with dynamically computed limit prices. Thus, unless specified otherwise by an Expressive Bidding constraint, Peg Orders are eligible for price improvement when the computed clearing price for the security is more aggressive than the order's computed peg price (including offset, if present).


NBBO FOR ORDER PROTECTION RULE COMPLIANCE: The ATS match procedure takes the national best bid and national best offer for a given security as lower and upper bounds (constraints) on the allowable clearing price for that security. If no clearing price within the measured NBBO results in a match for a security, the auction will not execute a trade in that security. The ATS runs multiple auctions per second, and as such the ATS reports all transactions within less than one second of measuring NBBO.


MEASUREMENT OF MARKET DATA AND NBBO: The ATS constructs a view of NBBO from data provided by the SIP. Each SIP message contains a timestamp provided by the reporting exchange representing when that exchange processed the given message (the "Exchange Timestamp"). The ATS market data and matching systems use these Exchange Timestamps in an effort to construct a consistent time-aligned view of the market. The NBBO prices used in the auction are the ones most recent to but not after the Initialization Time. Below is an illustrative example of this procedure: 1) Auction Initialization results in a Cutoff Time; 2) Auction Network Buffering allows data to propagate from exchanges, to the SIP, and ultimately to the ATS; 3) After buffering the ATS computes NBBO for each tradable symbol by processing all messages from the SIP with Exchange Timestamps less than or equal to the Cutoff Time for the auction. The Exchange Timestamp for a given record is the same on the record for an event received through the SIP and the record for the same event received through lower latency proprietary direct feeds. The ATS does not subscribe to direct feeds from the national exchanges. However, the Auction Network Buffering Period is typically substantially more than the difference in latency between the SIP data feeds and the exchange direct feeds.


The Operator uses a combination of time reference sources and statistical processing techniques to survey and correct inter-exchange clock synchronization issues and delays or cancels auctions during periods when the ATS market data systems flag national exchange timestamps as potentially anomalous (See ERROR CONDITIONS in Part III Item 20). 
b. Are the sources of market data and how the NMS Stock ATS uses market data for the services that it offers the same for all Subscribers and the Broker-Dealer Operator? Radio button checked Yes Radio button not checked No

Item 24: Order Display and Execution Access

a. Has the NMS Stock ATS displayed Subscriber orders to any Person (other than NMS Stock ATS employees) and had an average daily share volume of 5% or more in that NMS stock as reported by an effective transaction reporting plan or disseminated through an automated quotation system during four of the preceding six calendar months? Radio button not checked Yes Radio button checked No

Item 25: Fair Access

a. Has the NMS Stock ATS executed 5% or more of the average daily trading volume in an NMS stock as reported by an effective transaction reporting plan or disseminated through an automated quotation system during four of the preceding six calendar months? Radio button not checked Yes Radio button checked No

Item 26: Aggregate Platform Data

Does the NMS Stock ATS publish or otherwise provide to one or more Subscribers aggregate platform-wide order flow and execution statistics of the ATS that are not otherwise required disclosures under Rule 605 of Regulation NMS? Radio button not checked Yes Radio button checked No

ATS-N/CA: Part IV: Contact Information, Signature Block, and Consent to Service

Provide the following information of the Person at OneChronos  prepared to respond to questions for this submission:

First Name:

 

Last Name:

 

Title:

 

E-Mail:

 

Telephone:

 


Primary Street Address of the NMS Stock ATS:

Street 1
 
Street 2
 
City
 
Zip
 
State
 

Mailing Address of the NMS Stock ATS (if different):

Street 1
 
Street 2
 
City
 
Zip
 
State
 

The OneChronos  consents that service of any civil action brought by, or notice of any proceeding before, the SEC or a self-regulatory organization in connection with the alternative trading system's activities may be given by registered or certified mail to the contact employee at the primary street address or mailing address (if different) of the NMS Stock ATS, or via email, and the addresses provided on this Form ATS-N. The undersigned, being first duly sworn, deposes and says that he/she has executed this form on behalf of, and with the authority of, said alternative trading system. The undersigned and OneChronos  represent that the information and statements contained herein, including exhibits, schedules, or other documents attached hereto, and other information filed herewith, all of which are made a part hereof, are current, true, and complete.

Date:
 
OneChronos :
OneChronos 
By:
 
Title: