ATS-N/UA 0001798802-22-000016 LIVE 0001798802 XXXXXXXX 013-00182 false false PureStream, LLC This Updating Amendment changes the response to Part III, Item 7 (Order Types and Attributes) to: (i) correct the disclosure so that it reflects that the minimum range for Custom LTR Range Streaming Block orders is .1% (not 1%); (ii) change the MSQ for symbols with less than a 3 million 5-day rolling MDV to 20; and (iii) remove certain procedures around suspension and modification of the MSQ. Amendments (i) and (ii) apply to all Subscribers but do not apply to the broker-dealer operator because the broker-dealer operator does not trade on the platform. Amendment (iii) applies to the broker-dealer operator but not Subscribers. Y PURESTREAM, LLC 008-70472 000306750 Financial Industry Regulatory Authority, Inc. 03/15/2021 PURE www.purestream.tech Equinix NY4 Data Center 755 Secaucus Road Secaucus 07094 US-NJ Equinix NY4 Data Center 755 Secaucus Road Secaucus 07094 US-NJ false false N N N N N N N N N PureStream, LLC ("PURE") is the broker-dealer operator of the PureStream ATS (the "ATS" or "PURE ATS"). PURE ATS's confidential Subscriber information includes, but is not limited to, Subscriber order and trade information (e.g., symbol, side, quantity, price, type,), counter-parties, and billing instructions (collectively, the "Subscriber Confidential Information"). PureStream Trading Technologies Inc. ("PTT") is the parent company of PURE. PTT is not an operational business but is a holding company, and the owner of the intellectual property used in the PURE ATS. Further, PTT owns and manages the licensing of the order types available in the PURE ATS. The efforts involved in managing PTT's licenses are de minimus, and do not involve receipt of PURE's Subscriber Confidential Information. Notwithstanding the foregoing, the management team of PTT is also the senior management team of PURE (i.e., the CEO,CTO, and COO). As a result, PTT's management team will have access to all Subscriber Confidential Information due to its involvement in the operation of PURE ATS. Except with respect to the senior management of PURE (i.e., the CEO, CTO, and COO), the sole responsibility of all employees of PURE is the operation of, and support for, the PURE ATS and, as such, all employees of PURE have access to all Subscriber Confidential Information. As noted above, PTT owns and manages the licensing of the order types available in the PURE ATS, and PTT's management has access to all Subscriber Confidential Information because of their involvement in the operation of PURE ATS. PURE has also entered into an agreement with Operations and Compliance Network, LLC ("Ocean"), an affiliate of Nasdaq, pursuant to which Ocean hosts, operates, and supports the ATS technology platform. Pursuant to this agreement, Ocean provides certain support services related to PURE's compliance, surveillance, supervisory, record-keeping, and reporting obligations. Ocean performs all of these services subject to the direction and oversight of PURE as the Broker-Dealer Operator. Pursuant to the agreement with Ocean, certain aspects of the services provided by Ocean to PURE utilize infrastructure and support services shared by Ocean and its affiliates. As the Broker-Dealer Operator, PURE is responsible for the operation of the ATS in compliance with the federal securities laws. In addition to the tools provided by Ocean, PURE will monitor orders and transactions in real-time via ATS drop copies into PURE's infrastructure. With respect to the applicable Item numbers in Part III of this form, PURE is responsible for: Items 1, 2, and 3 - Subscriber eligibility. Items 7, 8, 9, 13, and 14 - Market structure design. Items 4 and 20 - Business decisions regarding the hours of operation, and closing of the market due to technical or operational risks. Item 19 - Fees. Item 22 - Clearance and Settlement (via the ATS's clearing firm, Bank of America Securities, Inc. ("BAML"), a member of the National Securities Clearing Corporation ("NSCC")). With respect to the applicable Item numbers in Part III of this form, Ocean provides the infrastructure and support services for the following items, subject to the direction and oversight of PURE as the Broker-Dealer Operator of the ATS: Item 5 - Financial Information eXchange ("FIX") connectivity to Subscribers. Item 10, 17, and 20 - The technical process of opening and closing of the ATS for regular hours, and in the event a regulatory trading halt or a market-wide circuit breaker is triggered. Item 11 - Daily management of the ATS, including all the hardware and systems required for the operation of the ATS. Item 15 - Display. Item 21 - Trade reporting. Item 23 - Ocean provides Securities Information Processor ("SIP") feed handler software (CTA and UTP) that enables the ATS to consume market data. One additional entity supports the ATS services in connection with the following Item: Item 22 - PURE has an agreement with BAML to act on behalf of the PURE ATS to clear and settle all Subscriber transactions executed on the ATS. BAML will receive all such transactions and submit all executions to the NSCC for clearing. The following items do not apply to the PURE ATS: Item 6 - Co-location. Item 12 - Liquidity providers. Item 16 - Routing. Item 18 - Trading outside of regular trading hours. Item 24 - Order display and execution access. Item 25 - Fair access. Item 26 - Aggregate platform data. BAML provides clearance and settlement services to PURE for transactions effected on the PURE ATS. BAML is a subscriber to the PURE ATS and may submit trading interest to the PURE ATS. BAML may use any of the PURE ATS functionality disclosed in this Form ATS-N. Y PURE ATS's Subscriber Confidential Information includes, but is not limited to, Subscriber order and trade information (e.g., symbol, side, quantity, price, type,), counter-parties, and billing instructions, as described in Part II, Item 6. PURE has established and maintains written policies and procedures designed to safeguard Subscriber Confidential Information. Pursuant to those procedures, the CCO grants access to Subscriber Confidential Information as needed to enable employees to perform their duties and responsibilities. PURE employees with access to Subscriber Confidential Information are strictly prohibited from using such information in an unauthorized manner, including discussing Subscriber Confidential Information with any persons not involved in the operation of the ATS or responsible for the ATS's compliance with applicable rules. At present, given (i) the number of employees at PURE; (ii) the scope of employee roles; and (iii) that the ATS is the only product offered by PURE, the CCO has granted all employees access to all Subscriber Confidential Information, on either a real-time or post hoc basis. As the number of employees at PURE increases, PURE's written policies and procedures will be amended to provide for more tiered or selective access to Subscriber Confidential Information. Employees access the Subscriber Confidential Information primarily through PUMA (PureStream Monitoring and Analytics), PURE's proprietary application that is used in connection with trade monitoring, compliance obligations, and billing. Please see the response to Part II, Item 7.d below for additional information on the individuals and systems with access to Subscriber Confidential Information, including the basis for such access. SEPARATION OF SYSTEMS AND PERSONNEL The PURE ATS matching engine is hosted and operated by Ocean and is physically separate from the other PURE systems with access to Subscriber Confidential Information (e.g., PUMA). Similarly, the ATS matching engine and order entry servers are on separate hardware from other systems hosted and operated by Ocean. Additionally, the Ocean employees that are responsible for the daily operation of the ATS and that have access to the ATS's order book are in a separate physical location from PURE employees. PURE is an agency only broker-dealer that exclusively operates the ATS and has no other lines of business or trading capabilities. THIRD PARTY ACCESS PROTECTIONS: Certain Ocean employees have access to Subscriber Confidential Information, including real-time and historical information regarding individual orders and executions, names of Subscribers, and volume of orders in the ATS. Such employees include Ocean staff from Compliance, Operations, Technology Development (including trading and surrounding systems), Product Management, and Business Management. Ocean's policies and procedures (i) restrict which Ocean employees have access to Subscriber Confidential Information, and (ii) implement information barriers that prohibit employees with Subscriber Confidential Information from sharing such information in an unauthorized fashion, as well as (iii) impose personal trading limitations. Ocean's policies and procedures employ a three-pronged approach to permission access to the PURE ATS. First, an Ocean employee must complete Compliance training specific to the Ocean business unit. Second, an Ocean employee must request, and Ocean Compliance must approve, access to each specific system based on the employee's designated role and responsibilities where such role and responsibilities require access to the PURE ATS. No other Ocean employees have access to the PURE ATS or Subscriber Confidential Information. Third, once approved, the Ocean employee must complete Ocean's annual Compliance training. Ocean employees who have access to Subscriber Confidential Information are subject to Ocean's "Information Barriers and Conflict Management Policies and Procedures". Pursuant to these procedures, Ocean employees are prohibited from sharing Subscriber Confidential Information with other employees (including at Nasdaq) who are not expressly authorized to receive such information. All Ocean employees are also subject to Nasdaq's Global Trading Policy ("GTP"), which outlines all requirements and restrictions related to personal trading activity, including holding periods, annual attestations, IPO restrictions, and a prohibited list. Ocean employees are required to disclose personal investment and brokerage accounts, positions, and transactions. Nasdaq's Global Ethics Team monitors personal trade activities against the GTP. Ocean also conducts electronic communications reviews to identify policy violations, including non-compliance with the above-referenced policies and procedures. In addition to the foregoing, Ocean maintains written policies and procedures concerning unauthorized disclosures, which include escalation procedures for such incidents. In this regard, Ocean will promptly notify PURE of any actual or suspected unauthorized disclosure of confidential information, which includes Subscriber Confidential Information (so long as not prohibited by applicable laws, rules, or regulations). PURE has the right to audit Ocean's operation of the ATS, including Ocean's access to and use of Subscriber Confidential Information, either through audits conducted by PURE's own audit team or by third-party auditors. Such audits may be conducted onsite or offsite. PURE ATS ACCESS PROTECTIONS: PURE possesses information that is sensitive and valuable, including the ATS's proprietary information and Subscriber Confidential Information. The exposure of sensitive information to unauthorized individuals could cause irreparable harm to the ATS and its Subscribers and could subject the ATS to fines or other regulatory sanctions. Additionally, if ATS information is tampered or interfered with, damaged, or made unavailable, it could impair the ATS's ability to do business. Therefore, the ATS requires its employees to diligently protect both the ATS's proprietary information as well as the Subscriber Confidential Information of current and former Subscribers. Access to Subscriber Confidential Information is limited to PURE employees with a legitimate business need for the information. Presently, for the reasons explained above, this includes all current PURE employees. Hard copy documents must be secured by locking the file cabinet or office in which they are stored and shredded when it is timely and appropriate to destroy them. Subscriber Confidential Information kept on the ATS's computers must be password-protected and secured behind firewalls. PURE also has detailed written firm-wide policies and procedures designed to monitor employee personal trading. To address potential conflicts of interest, PURE's employee trading policy requires: (i) disclosure of all personal trading accounts for activity monitoring purposes; and (ii) employees to provide advance notice to PURE Compliance of all personal transactions. Further, PURE employees are prohibited from entering orders for personal transactions while the ATS is open for trading (i.e., 9:30am to 4:00pm on business days, absent an early close or holiday). Personal trading that has an appearance of impropriety (e.g., potential front-running) is prohibited. On an annual basis, PURE employees participate in Compliance training that addresses information protection and Subscriber confidentiality. Additionally, on a firm-wide basis, PURE continuously monitors electronic communications to identify potential policy violations. N PURE is organized functionally into three teams: (i) a Subscriber-facing team; (ii) a Market Operations team; and (iii) an internal controls team. Given the size of the teams and the coordination necessary to service Subscribers, each team has access to all Subscriber Confidential Information, as defined in Part II, Item 6.a of this form. These teams primarily access Subscriber Confidential Information via PUMA (as referenced in Part II, Item 7.a. PUMA (PureStream Monitoring and Analytics), is a proprietary application used for real-time and end-of-day ("EOD") transaction monitoring. Among other things, PURE employees use PUMA in connection with: (i) monitoring transactional activity; (ii) Subscriber and regulatory support; (iii) compliance and risk monitoring; (iv) intra-day and EOD Regulatory reporting; and (v) billing. Only PURE employees have access to PUMA. In addition to PUMA, PURE's employee teams can also access Subscriber Confidential Information via Ocean's ATS monitoring application, OceanView, Nasdaq SMARTS Trade Surveillance, (an automated compliance application that facilitates PURE's monitoring of all trading activity on the ATS for compliance with applicable laws, rules, regulations, and ATS policies by surveilling for potentially improper or disruptive trading activity), and BAML-provided applications for monitoring and resolving issues with respect to clearance and settlement. With respect to the roles each PURE team plays, and the basis for access to Subscriber Confidential Information: (i) The Subscriber-facing team stands ready to answer any questions by Subscribers and/or their clients. As a result, the Subscriber-facing team is monitoring order status, Subscriber trade reports, and the use of the ATS's order types by Subscribers to improve knowledge of and confidence in the ATS's novel matching and trading protocols. (ii) The Market Operations team is responsible for the operation of the ATS. The Market Operations team monitors the ATS to ensure that it is operating as designed. This team also monitors for external market anomalies that could impact PURE ATS Subscribers and general system health. In addition to monitoring the system via PUMA, the Markets Operations team will have access to OceanView, Nasdaq SMARTS, and the BAML-provided clearance and settlement applications. (iii) The internal controls team is responsible for risk, non-ATS technology, compliance, and operations. While not all functional responsibilities in the internal team require access to Subscriber Confidential Information, given the likely overlap of roles and supervision, all members of the team will have access to Subscriber Confidential Information, including via PUMA, OceanView, Nasdaq SMARTS, and BAML-provided clearance and settlement applications. All PURE employees will receive annual training on Subscriber Confidential Information. With respect to service-providers, both Ocean and BAML (PURE's fully-disclosed clearing broker) will have access to Subscriber Confidential Information. In connection with the services Ocean is providing PURE, Ocean employees whose roles with respect to the ATS require access to such information, will have access to Subscriber Confidential Information, including orders, executions, and risk settings. These employees are from Ocean groups including Compliance, Operations, Technology Development (including trading and surrounding systems), Product Management, and Business Management. In connection with clearing services provided, PURE's fully disclosed clearing broker, BAML, receives all of the executions of PURE ATS's Subscribers. Those details include the quantity, side, symbol, time, and price of execution. To effectively manage their risk, PURE's clearing broker is also aware of the gross level of orders and risk limits per Subscriber. As part of its relationship with PURE, BAML is obligated to protect all Subscriber Confidential Information, including data and information related to Subscribers. Further, BAML is an SEC and FINRA-registered broker-dealer, and subject to applicable laws, rules, and regulations concerning information security standards and obligations. Brokers Dealers Y PURE ATS allows as Subscribers those applicants who satisfy certain eligibility requirements. Specifically, Subscribers must meet the following requirements: (1) Be a broker-dealer registered with the SEC and a member of at least one SRO. (2) Pass Office of Foreign Asset Control ("OFAC") checks and pass disciplinary/regulatory reviews. The disciplinary/regulatory review will include reviewing public information to determine if the potential Subscriber has a disciplinary history that would preclude trading on the PURE ATS. (3) Satisfy such technical or systems requirements as may be prescribed by PURE ATS, including, but not limited to: connectivity certification, the ability to send orders and cancellations, and to receive trades, cancellations, rejects, and trade breaks from the PURE ATS. (4) Have clearing and settlement systems and/or arrangements in place to support participation on PURE ATS, as described further in Part III, Item 22. (5) Execute PURE ATS's subscriber agreement ("Subscriber Agreement"). (6) Execute all other applicable agreements required to facilitate clearance, settlement, trade reporting, error correction, and cancellation of trades effected on or through the PURE ATS. PURE ATS shall, after receiving a signed Subscriber Agreement and any additional documentation requested, in its discretion, approve or reject such applicant's request to become a Subscriber, or approve the subscription subject to such conditions and/or restrictions as it considers appropriate (e.g., potentially limiting the number of orders a Subscriber may send). PURE processes all agreements and completes its review and approval/denial process within thirty calendar days of reception of each signed Subscriber Agreement. PURE ATS creates and maintains records of all such decisions granting access, denying access, and granting limited or restricted access, for each applicant, and the reasons for so doing. Y Y PURE, in its sole discretion, can exclude, in whole or in part, a Subscriber due to legal, credit, and/or order management behavior in PURE ATS. Potential reasons for exclusion include, but are not limited to: 1. Failure to make timely settlement of transactions and/or failure to settle trades. 2. Credit risk, as measured by publicly available proxies for credit risk (when available) and FINRA FOCUS reports. 3. The Subscriber's order management behavior on the ATS (e.g., order entry and cancellation) that is inconsistent with liquidity seeking (e.g., orders (firm or conditional) that are permitted to rest for long periods and canceled promptly (or fail to be firmed up) after a match reflect information seeking, and are not consistent with liquidity seeking). Y PURE ATS operates on business days from 8:00am to 5:00pm ET and follows the NASDAQ Exchange's holiday and early close schedule. The order book is open for firm and conditional orders from 8:00am to 9:30am ET on business days, and conducts regular trading between 9:30am until 4:00pm ET on business days. Because PURE ATS references the Official Closing Print for its final trade, PURE ATS's final trade occurs shortly after 4pm ET once the official closing trade is reported. Y Subscribers enter firm and conditional orders directly into the ATS by way of a dedicated gateway into Ocean using the FIX 4.2 connection. Firm orders can be entered onto the ATS through two means: (i) a Subscriber's market access connection through which orders can be directed (by the Subscriber or the Subscriber's customer) to the ATS; and (ii) Subscriber algorithms. Conditional orders can be entered onto the ATS only through Subscriber algorithms. PURE does not provide algorithms to Subscribers. Both a market access connection and a Subscriber's algorithm can be used to enter Subscriber orders (i.e., principal orders) and a Subscriber's customer's orders. All firm and conditional orders, regardless of how they are entered onto the ATS (market access connection or Subscriber algorithm), or if they are entered with a particular order instruction, including orders marked as HMMP (Human Matched Machine Processed) or PRO (Pre-Routing Optimizer), (explained below in Part III, Item 14), are entered through the FIX connection. Y N N N N PURE ATS is a crossing venue that matches compatible Subscriber orders and generates fills for those matches based on referencing publicly available market data, including the volume and associated price, of each SIP-reported trade as they occur, the Official Closing Price ("OCP"), and the NBBO. The venue's matching, reference, and crossing logic is primarily governed by the use of PURE ATS order types ("Order Types"). Each Order Type seeks fills referencing a defined set of market data. PURE ATS offers Subscribers the following order types: Streaming Block orders; Liquidity Seeking orders; and Reference-on-Close orders (each, an "Order Type"). PURE ATS Order Types are described in detail in this Item under "Order Types." PURE ATS "matches" are bilateral pairings of compatible orders. Compatible orders are matched in accordance with the logic described in the "Inter-Order Type Compatibility Ranking" and "Matching" sections below (in this Item and in Part III, Item 11, Trading Services, Facilities and Rules). PURE ATS generates two types of matches: (i) A "single point match," which results in a single point-in-time fill attributed to each order in the match, i.e., one single point match will result in one fill. Or, (ii) A "streaming match," which results in a series of "child fills" (a "stream") attributed to each order in the match, i.e., one streaming match will result in multiple fills. On the PURE ATS, "child fill" means a trade executed by the ATS for a streaming match and is meant to indicate that one streaming match will potentially be associated with multiple fills. A streaming match will continue uninterrupted so long as both orders in the match have quantity and remain "marketable" (as such term is defined below in this Item). The type of match is determined by the Order Types that are matched, as described in this Item and in Part III, Item 11. ATS rules may apply differently to single point matches and streaming matches; where applicable, such distinctions are noted in this Form ATS- N. Upon matching, the ATS executes fills for each matched order. The terms of all fills (both single point-in-time fills and streaming child fills), are governed by the Order Types, and execution logic described in this Item and in Part III, Item 11. The remainder of this section provides additional detail on the (i) Order Types accepted on the ATS; (ii) how orders are prioritized; (iii) marketability (bid/offer) requirements; (iv) how Order Types can interact on the ATS; (v) ATS matching rules; (vi) minimum stream quantity, allocation and price discovery (execution logic); (vii) order modification and cancellation; and (viii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate (explained below), and a Time-in-Force, among other terms. (1) Streaming Block Streaming Block orders are exclusively seeking a streaming match that references SIP- reported trades using a matched liquidity transfer rate ("LTR"). PURE ATS has four Streaming Block orders that Subscribers can use. Each Streaming Block has an associated minimum LTR and a maximum LTR that indicates the LTR range that the Subscriber will accept. A streaming match will have a matched LTR that satisfies both matched orders (see Matching section in this Item and Part III, Item 11). The matched LTR is a rate percentage that PURE ATS uses to determine the size of child fills in a streaming match. More specifically, the size of the child fills in the streaming match is the matched LTR percentage multiplied against the quantity of each SIP-reported trade (SIP-reported trades are referred to as reference trades throughout this Form ATS-N) subject to the ATS's minimum stream quantity conditions ("MSQ") in accordance with the execution logic described in this item (see the MSQ example below in this item). The price of each child fill is the weighted average price of the reference trades that contribute to achieving the MSQ (see the MSQ example below in this item). Additional description of the PURE ATS compatibility, matching, and execution logic is described below in this Item under "Inter-Order Type Compatibility Ranking," "Matching" and "Minimum Stream Quantity, Allocation, and Price Discovery". Upon a child fill being effected (i.e., a trade being effected), the quantity of the child fill is then decremented against the total quantity of the matched order (decrementing is further explained and illustrated in "Inter-Order Type Compatibility and Matching" found below in this Item). The matched LTR can then be continuously applied to each successive SIP-reported trade to create a series of child fills in a stream. The stream can continue over time, without any time limitations (during the course of an entire trading day with any remaining quantities cancelled at the end of a trading day). Streaming Block orders can be firm or conditional. The Streaming Block orders are: 1. 10-200% ("200%") This Streaming Block is seeking a child fill quantity of 200% of the quantity of each contemporaneous SIP-reported trade but will accept at least 10%. This means that for a SIP-reported trade of 100 shares, the 200% Streaming Block will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 2. 5-30% ("30%") This Streaming Block is seeking a child fill quantity of 30% of the quantity of each contemporaneous SIP-reported trade but will accept at least 5%. This means that for a SIP-reported trade of 100 shares, the 30% Streaming Block is seeking 30 shares to 5 shares for that child fill at the price of the SIP-reported trade. 3. 5-15% ("15%") This Streaming Block is seeking a child fill quantity of 15% of the quantity of each contemporaneous SIP-reported trade but will accept at least 5%. This means that for a SIP-reported trade of 100 shares, the 15% Streaming Block is seeking 15 shares to 5 shares for that child fill at the price of the SIP-reported trade. 4. Custom LTR Range ("Custom") This Streaming Block is seeking a child fill quantity based on the Custom parameters entered. Custom orders require both a minimum and maximum LTR, and must be within the range of .1-500%; the minimum and maximum LTR of a Custom order may be equal. For example, a Custom order with a 2% minimum and a 4% maximum, will accept 2 shares to 4 shares in a child fill referencing a SIP-reported trade of 100 shares, at the price of the SIP-reported trade. Note that the examples above are illustrative. For the avoidance of doubt, PURE ATS will only generate child fills in accordance with the MSQ conditions described below. (2) Liquidity Seeking ("LS") This Order Type is seeking a single point match that references the NBBO. If such match is not available, LS orders will also accept a single point match referencing the OCP (upon dissemination) up to the full quantity of its entire order or a streaming match at the highest available LTR, in that order (compatibility, matching, and execution logic is described below in this Item under "Inter-Order Type Compatibility Ranking," "Matching" and "Minimum Stream Quantity, Allocation, and Price Discovery"). LS orders have an unlimited maximum LTR. Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is .1%. These orders can be firm or conditional. (3) Reference-on-close ("ROC") This Order Type is seeking only a single point match that references the OCP for up to its full quantity (compatibility and matching and execution logic is described below in this Item under "Inter-Order Type Compatibility Ranking," "Matching" and "Minimum Stream Quantity, Allocation, and Price Discovery"). This Order Type will not match prior to the OCP being disseminated, will not trade using any reference other than the closing price, and will not enter a streaming match. ROC orders do not have an LTR range but rather have an unlimited LTR. The unlimited LTR for ROC orders cannot be changed. ROC orders must be firm orders. Intra-Order Type Prioritization PURE ATS uses intra-order prioritization logic to rank orders within the same Order Type (note that for these purposes, Streaming Block is considered one Order Type). This section should be read in conjunction with the Inter-Order Type Compatibility Ranking section below in this Item, and in Part III, Item 11, for purposes of ranking for matches. Within each Order Type, firm and conditional orders are prioritized based on (i) LTR, (ii) size of the order, (iii) marketability (as defined below), and (iv) time the order was received, in that sequence. The ATS processes (i.e., assesses for matching compatibility, as described below) firm orders prior to conditional orders regardless of the order terms of the conditional orders. The first term considered in intra-Order Type prioritization ranking is the LTR. Orders are prioritized by the highest maximum LTR. (The LS Order Type and ROC Order Type always have an unlimited maximum LTR and therefore when prioritizing such orders among like Order Types, PURE ATS will always need to look at least to the size of the relevant orders). The following example demonstrates the intra-Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Streaming Block Buy Order 2: 200% Streaming Block Buy Order 3: 25% (Custom) Streaming Block Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra- Order Type prioritization would be based on maximum LTR, as follows: Buy Order 2 (Highest maximum LTR) Buy Order 3 (2nd highest maximum LTR) Buy Order 1 (3rd highest maximum LTR) For two orders with the same LTR, the second term considered in intra-Order Type prioritization ranking is the size of the order quantity. The larger the order, the higher the standing. For example, if the ATS received the following three orders chronologically: Buy Order 1: 15% Streaming Block, for 25,000 shares Buy Order 2: 15% Streaming Block, for 5,000 shares Buy Order 3: 15% Streaming Block, for 50,000 shares The prioritization would be: Buy Order 3 (50,000 shares) Buy Order 1 (25,000 shares) Buy Order 2 (5,000 shares) The third term considered in intra-Order Type prioritization ranking (i.e., for orders that are the same LTR and of equal size) is the marketability of the order. The marketability standard depends on the (i) relevant match type and (ii) reference point. The marketability of an order for a potential streaming match is the difference between the order's limit price and the contra-side NBBO. For instance, if the NBBO is $10.01 x $10.02 and the limit of a buy order is $10.05, the marketability of an order is .03. The greater the marketability, the higher the standing in terms of priority. To illustrate prioritization for a potential stream match, if the ATS received the following three orders chronologically: Buy Order 1: 15% Streaming Block, for 25,000 shares, marketable by 4 cents Buy Order 2: 15% Streaming Block, for 25,000 shares, marketable by 10 cents Buy Order 3: 15% Streaming Block, for 25,000 shares, marketable by 6 cents The prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) An order is marketable for a single point match referencing the NBBO (this applies to LS orders only) if the order's limit price at least satisfies its peg instruction (peg instructions are described in Item 11c). The more aggressive the limit price, the higher the standing in terms of priority. Single point-in-time trades are described below in the "Minimum Stream Quantity, Allocation, and Price Discovery" section and Examples 9 and 10 of this response. An order is marketable for a single point match referencing the OCP (this applies to LS and ROC orders) if the order's limit price is at least through the OCP. The more aggressive the limit price, the higher the standing in terms of priority. The final term considered in intra-Order Type prioritization ranking (i.e., for orders that are the same LTR, equal size, and have equal marketability) is the time the order arrived, with priority being assigned chronologically. Given the aforementioned prioritization logic, it is by system design that orders arriving later could feasibly be given higher priority than earlier arriving orders. Minimum Marketability Threshold For an order to be eligible for a streaming match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to single point matches). The minimum marketability thresholds are set on a stock-by-stock basis and are neither publicly available nor made available to Subscribers and can be set at any integer, including zero. PURE ATS can modify the minimum marketability threshold for particular stocks to account for volatility, including in the event of anomalous volatility of the overall market, relevant sector, or a specific stock. To monitor for circumstances that may warrant modifying the minimum marketability threshold, PURE considers various volatility proxies such as the VIX, Implied Volatilities, and Realized Volatilities of single stocks, sector indices, and/or market-wide indices. The minimum marketability thresholds are manually updated by PURE Market Operations and are reviewed biannually. For example, for a stock with a minimum marketability threshold of 2 cents that is experiencing significantly higher price volatility, the minimum marketability threshold could be increased to 4 cents. This would require a buy order to have a limit of 4 cents higher than the current national best offer, and a sell order to have a limit of 4 cents below the current national best bid to be eligible for a streaming match. PURE believes that modifications to the minimum marketability threshold in these circumstances promotes matches that yield more efficient streams between Subscribers. Note that minimum marketability thresholds are only relevant to the creation of a streaming match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a streaming match, so long as the order remains marketable (i.e., the order's limit price is priced at or through its respective NBBO farside), the order will remain in the match. If a matched order ceases to be marketable, the streaming match will end. For example, if the NBBO is $10.01 x $10.02, for a stock with a minimum marketability threshold of 4 cents, a sell order would need to be priced at $9.97 to be eligible for a streaming match. Once matched, the order would only need to remain marketable to remain in the streaming match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the streaming match would end. To become eligible for a streaming match again (with the previous matched order or any other order), the sell order would again need to meet minimum marketability thresholds at the then-prevailing NBBO. Inter-Order Type Compatibility Ranking PURE ATS will only match orders of Order Types that are compatible. (1) Streaming Block Orders: Streaming Block orders are compatible to match with LS and Streaming Block orders, prioritized by Order Type in that order. (2) LS Orders: The LS Order Type is compatible to match with the LS, ROC (if the LS order is firm, and upon the dissemination of the Official Closing Print), and Streaming Block orders, prioritized by Order Type in that order. For the avoidance of doubt, ROC orders are ignored by the ATS for compatibility purposes until the dissemination of the OCP, and therefore until that time the ATS matcher will seek to match LS orders only with LS orders or Streaming Block orders (i.e., the presence of ROC orders on the ATS order book prior to the dissemination of the OCP does not inhibit matches of LS and Streaming Block orders). (3) ROC Orders: The ROC Order Type is not compatible with any Order Type until the Official Closing Print has been disseminated. Until that point, ROC orders are not eligible for any match and will remain resting on the ATS order book. Upon the dissemination of the Official Closing Print, the ROC Order Type is compatible to match with ROC and firm LS orders, prioritized by Order Type in that order. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that among compatible Order Types (described above) there is (i) a buy and sell order in the same security, (ii) both meeting the minimum marketability threshold (not applicable to single point matches), (iii) with overlapping LTRs (i.e., the LTR minimum to maximum range of one order overlaps with the LTR minimum to maximum range of another order), and (iv) that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. In searching for a match for an order, the ATS first considers inter-Order compatibility ranking. If there are multiple compatible contra-side orders with equal inter-Order compatibility ranking, the ATS will look to the intra-Order Type prioritization ranking of the relevant orders. The following examples illustrate the application of the PURE ATS inter-Order Type compatibility logic (example assumes orders are compatible on all terms not reflected): Example 1 - Incoming LS Order (prior to the Official Closing Print) Orders 1-3 are resting on the ATS (all orders are firm). Order 1 is a buy order for 5,000 shares in the LS Order Type. Order 2 is a buy order for 5,000 shares in the 15% Streaming Block (min. of 5%, max. of 15%). Order 3 is a buy order for 5,000 shares in the ROC Order Type. Order 4 arrives in the PURE ATS and is a sell order for 5,000 shares in the LS Order Type. The compatible orders for Order 4 would be prioritized as: Order 1 Order 2 Order 3 would not be ranked because the Official Closing Print was not yet disseminated. Example 2 - Resting ROC orders Orders 1-4 are resting on the ATS when the Official Closing Print is disseminated (all orders are firm). Order 1 is a buy order for 5,000 shares in the LS Order Type. Order 2 is a buy order for 5,000 shares in the 15% Streaming Block Order Type (min. of 5%, max. of 15%). Order 3 is a buy order for 5,000 shares in the ROC Order Type. Order 4 is a sell order for 5,000 shares in the ROC Order Type. The compatible orders for Order 4 would be prioritized as: Order 3 Order 1 Order 2 would not be ranked because Streaming Block orders are not compatible with ROC orders. Example 3 - Incoming Streaming Block order Orders 1 and 2 are resting on the ATS (all orders are firm). Order 1 is a buy order for 5,000 shares in the LS Order Type. Order 2 is a buy order for 5,000 shares in the 15% Streaming Block (min. of 5%, max. of 15%). Order 3 arrives in the PURE ATS and is a sell order for 5,000 shares in the 200% Streaming Block. The compatible orders for Order 3 would be prioritized as: Order 1 Order 2 Matches will result in the following: (i) streaming matches are created at the highest possible LTR satisfying both matched orders (the highest LTR within the acceptable range for each matched order); and (ii) single point matches are created at the highest possible quantity that satisfies both matched orders. If an order has residual quantity or LTR after being matched, the order's decremented quantity or LTR will be available for other matches, meaning the order can be in multiple matches concurrently. Note that for prioritization purposes, a decremented order maintains its original priority standing on the order book (e.g., an order using the 200% Order Type with a residual 170% LTR following a match, is still treated as a 200% Order Type for purposes of prioritization). The following examples illustrate the interaction of Streaming Block orders with different LTRS: Example 4 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Streaming Block Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% Streaming Block Order Type (min. of 5%, max. of 15%). These orders have overlapping LTRs because the LTR ranges of the orders overlap. Thus, the orders are eligible to be matched. The orders will be matched at 15%, which is the highest common LTR between the two orders (in this example, this also happens to be the maximum LTR for each order). Example 5 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Streaming Block Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom Streaming Block Order Type, with a 1% minimum and a 4% maximum LTR. These orders do not have overlapping LTRs because Order 2's LTR range (1% to 4%) does not overlap with Order 1's LTR range (5% to 15%). Thus, these orders are not eligible to be matched. Example 6 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Streaming Block Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% Streaming Block Order Type (min. of 5%, max. of 15%). These orders have overlapping LTRs because the LTR ranges of the orders overlap. Thus, the orders are eligible to be matched. The orders will be matched at 15%, which is the highest common LTR between the two orders. Order 1 will also have a residual LTR of 15%, which will rest in the ATS order book awaiting other potential matches. Example 7 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Streaming Block Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Streaming Block Order Type(min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% Streaming Block Order Type (min. of 5%, max. of 30%). Here, Order 3 has overlapping LTRs with both Order 1 and Order 2, and has sufficient LTR to match with both contra-side orders. Therefore, Order 3 will enter two concurrent matches, one with Order 1 and a second with Order 2. In this way, Order 1 and Order 2 will satisfy their maximum LTR of 15%, and Order 3 will achieve its maximum LTR of 30% (two matches each at 15% LTR). Example 8 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Streaming Block Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Streaming Block Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% Streaming Block Order Type (min. of 5%, max. of 30%). Here, Order 3 has overlapping LTRs with both Order 1 and Order 2, but only has LTR to match with one of the orders since the orders will be matched at the highest common LTR -- here 30%. Since Order 1 is prioritized over Order 2, Order 3 and Order 1 form a match at a 30% LTR. Order 2 will remain resting on the ATS order book. However, because Order 3 is larger in size than Order 1, Order 3 will have a residual 10,000 shares to sell once Order 1's buy order is completed. Therefore, once Order 1's quantity is fully exhausted, Order 3 will form a match with Order 2, which will continue as a stream until both Order 3 and Order 2 are fully exhausted (since Order 3's residual 10,000 shares to sell is equal to Order 2's 10,000 shares to buy). Please see ATS-N Part III ITM.7a for the remainder of this response. Y All Order Types for both firm and conditional orders have a 1,000-share minimum size requirement. The minimum share requirements are reviewed at least biannually. Any changes to the minimum order size requirements will be communicated to all Subscribers prior to the implementation of the change. Pure ATS has not designated a maximum share size for any Order Type. All orders are subject to PURE ATS's risk management controls, which include single order shares and notional value maximum thresholds. The thresholds are not publicly available, and are subject to change by PURE based on market conditions and Subscriber characteristics and trading history, among other factors. Y N Mixed lots are treated the same as round lots as long as they meet the minimum order size. Y PURE ATS accepts conditional orders from all Subscribers. Such conditional orders are only accepted by the ATS when entered through Subscriber algorithms through the Subscribers' FIX connections. Each conditional order specifies a symbol, side, quantity, and Order Type, and are subject to the same minimum size requirements as firm orders (described in Part III, Item 8). Conditional orders can interact (i.e., match), with both firm and conditional orders resting on the ATS (subject to the prioritization and matching logic described in Part III, Items 7 and 11). Once the ATS identifies a potential match, the ATS will send a firm-up request to the conditional side of the potential match (where both sides of the match are conditional orders, the ATS generates a bilateral firm-up request for each conditional side of the potential match). All firm-up requests contain an identification number for each bilateral pairing, the size of the requested firm-up, the limit, and the LTR. The Subscribers' algorithms receiving the firm-up request will then send corresponding orders that are firm. The Subscribers' algorithms may respond with orders that differ in quantity, price, and Order Type (as described in Part III, Item 7 above) than their conditional order. Each conditional order expires upon firm-up request, and firm-ups must be responded to within two seconds or otherwise the firm-up expires and no match occurs. After two seconds and expiration of the firm-up, a new conditional order would have to be sent to be considered for any future matches. Upon receipt of the firm-up order, the ATS will run its standard prioritization and match logic (as described in Part III, Items 7 and 11). If the firmed-up order remains compatible with the contra-side firm order (or firmed-up order where both sides of the match were conditional orders), and the contra-side firm order (or firmed-up order) remains available, the ATS will match the two orders. Note that if the ATS identifies a potential match for a contra-side firm order with another firm order (i.e., on the same side as the conditional order) prior to receiving a firmed-up order from the conditional side order (even after the firm-up request has been generated), the ATS will match the two firm orders ahead of the conditional order. Quantity and Order Type changes to conditional and firm orders can be made in accordance with the procedures described in Part III, Item 7. Once conditional orders are firmed-up, the firmed-up orders are treated as Stream or Kill (SOK) orders. All conditional orders (including buy, sell, sell short, and sell short exempt) are cancelled at the end of the day. Y PURE ATS accepts firm and conditional orders beginning at 8:00am ET and matching in the order book for firm and conditional orders only occurs during normal market hours (9:30am to 4:00pm ET). The firm and conditional orders will remain in an accepted state and no executions will occur until the matching engine detects the following execution triggers:(i) the first trade from the primary listing exchange for the relevant symbol, (ii) an NBBO, and (iii) the opening time. Note that the first trade from the primary listing exchange may be the opening auction trade or a trade that occurs before the opening auction (given each exchange's opening processes). The matching engine will reference either of these types of trades, so long as the other two execution triggers are detected. Once the matching engine begins trading, the standard priority logic and matching logic will be applied respectively to any open firm or conditional orders. Following a stoppage of trading in a security during regular trading hours, PURE ATS will not execute transactions until the matching engine detects the first trade from the primary listing exchange for the relevant symbol, an NBBO, and the re-opening time (for an exchange-initiated stoppage) or pricing information (for a PURE ATS-initiated stoppage). In addition to the aforementioned criteria, a LULD band from the primary exchange is required for a single point-in-time trade between two LS contra orders (firm or conditional) to occur for both the start of trading or re-opening of trading. If the primary listing exchange does not reopen (or pricing information is unavailable) after a stoppage the PURE ATS will not match firm or conditional orders in the security. Y When the ATS begins matching orders, any resting firm or conditional orders will be subject to the prioritization and marketability rules described in Part III, Item 7. In the event of a PURE or market-initiated stoppage, all firm and conditional orders in the ATS are cancelled back to Subscribers. Y N PURE ATS is a crossing venue that matches compatible Subscriber orders and generates fills for those matches based on referencing publicly available market data, including the volume and associated price, of each SIP-reported trade as they occur, the OCP, and the NBBO. The venue's matching, reference, and crossing logic is primarily governed by the use of PURE ATS Order Types. PURE ATS "matches" are bilateral pairings of compatible orders. Compatible orders are matched in accordance with the logic described in the "Inter-Order Type Compatibility Ranking" and "Matching" sections below (in this Item and in Part III, Item 7). Upon matching, the ATS executes fills for each matched order. The terms of all fills (both single point-in-time fills and streaming child fills), are governed by the Order Types, and execution logic described in this Item and in Part III, Item 7. The ATS is available for trading in NMS stocks only. Y The ATS order book matches compatible firm or conditional orders with marketable price limits at the highest compatible quantity or LTR. Upon matching, the ATS executes fills for each matched order using the relevant market data reference point(s) in accordance with the logic described in this Item and in Part III, Item 7. Intra-Order Type Prioritization PURE ATS uses intra-order prioritization logic to rank orders within the same Order Type (note that for these purposes, Streaming Block is considered one Order Type). This section should be read in conjunction with the Inter-Order Type Compatibility Ranking section below in this Item, and in Part III, Item 7, for purposes of ranking for matches. Within each Order Type, firm and conditional orders are prioritized based on (i) LTR, (ii) size of the order, (iii) marketability (as defined below), and (iv) time the order was received, in that sequence. The ATS processes (i.e., assesses for matching compatibility, as described below) firm orders prior to conditional orders regardless of the order terms of the conditional orders. The first term considered in intra-Order Type prioritization ranking is the LTR. Orders are prioritized by the highest maximum LTR. (The LS Order Type and ROC Order Type always have an unlimited maximum LTR and therefore when prioritizing such orders among like Order Types, PURE ATS will always need to look at least to the size of the relevant orders). For two orders with the same LTR, the second term considered in intra-Order Type prioritization ranking is the size of the order quantity. The larger the order, the higher the standing. The third term considered in intra-Order Type prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. The marketability standard depends on the (i) relevant match type and (ii) reference point (see Part III, Item 7). The final term considered in intra-Order Type prioritization ranking (i.e., for orders that are the same LTR, equal size, and have equal marketability) is the time the order arrived, with priority being assigned chronologically. Given the aforementioned prioritization logic, it is by system design that orders arriving later could feasibly be given higher priority than earlier arriving orders. Inter-Order Type Compatibility Ranking PURE ATS will only match orders of Order Types that are compatible. See Part III, Item 7 "Inter-Order Type Compatibility Ranking" section for complete list of Order Type compatibility rankings. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that among compatible Order Types (described above) there is (i) a buy and sell order in the same security, (ii) both meeting the minimum marketability threshold (not applicable to single point matches), (iii) with overlapping LTRs (i.e., the LTR minimum to maximum range of one order overlaps with the LTR minimum to maximum range of another order), and (iv) that any additional order handling instructions sent with the orders (as described below in this Item 11, Additional Order Parameters) are satisfied. In searching for a match for an order, the ATS first considers inter-Order compatibility ranking. If there are multiple compatible contra-side orders with equal inter-Order compatibility ranking, the ATS will look to the intra-Order Type prioritization ranking of the relevant orders. Matches will result in the following: (i) streaming matches are created at the highest possible LTR satisfying both matched orders (the highest LTR within the acceptable range for each matched order); and (ii) single point matches are created at the highest possible quantity that satisfies both matched orders. If an order has residual quantity or LTR after being matched, the order's decremented quantity or LTR will be available for other matches, meaning the order can be in multiple matches concurrently. Note that for prioritization purposes, a decremented order maintains its original priority standing on the order book (e.g., an order using the 200% Order Type with a residual 170% LTR following a match, is still treated as a 200% Order Type for purposes of prioritization). Minimum Stream Quantity, Allocation, and Price Discovery Single point-in-time trade execution logic: When two orders eligible for a single point match are matched (e.g., LS-LS, firm LS- ROC, ROC-ROC), they will execute a single point-in-time trade for the largest quantity possible (i.e., the smaller quantity of the two orders matched). Note that given the minimum order size requirements for orders on PURE ATS, minimum stream quantity is not applicable to single point-in-time trades. The price of the single point-in-time trade will be set in accordance with the referenced market data as dictated by the matched Order Types (e.g., the OCP or NBBO), the limit price, and peg instructions, if applicable, for the two relevant orders (executions will not violate an order's limit price). Peg instructions (see Part III, Item 11c under "Peg Order Instructions for LS Orders") are applicable only to LS orders and are used (with limit prices) to determine compatibility for an LS-LS match and the price of any resulting single point-in-time trade. Streaming matches: Once a streaming match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as reference trades to execute "child fills" in accordance with PURE ATS execution (see under "Order Types") and MSQ logic. Note that each SIP-reported trade is only referenced once in each stream (and all concurrent streams in the ATS reference each SIP-reported trade once). The ATS references SIP-reported trades in real-time as they are reported in succession (subject to the filtering logic described in Part III, Item 23, below). (To the extent that there are malfunctions or other issues with the SIP that result in time gaps, the procedures set forth in Part III, Item 20, below will be applied). In the event that there is no SIP-reported trade after the match is formed, the orders will remain matched but there will be no child fills, and therefore no stream (i.e., a match can exist without a stream). All streaming child fills are governed by the MSQ logic (for in detailed description of MSQ logic see Part III, Item 7a, "Minimum Stream Quantity, Allocation, and Price Discovery"). A stream will continue uninterrupted providing "child fills" as long as both orders remain marketable (i.e., the orders' limit prices are priced at or through the contra-side NBBO), have quantity remaining, and have not been cancelled. Below is an example applying the ATS's streaming matching logic to a series of orders: The ATS receives three Buy orders in the following chronology: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% The prioritization of the orders will be: Buy Order 3 (Highest maximum LTR) Buy Order 2 (2nd highest maximum LTR) Buy Order 1 (3rd highest maximum LTR) For a marketable incoming sell order (Sell Order 4), using the 200% Streaming Block Order Type: Stream 1 would be created at an LTR of 200% between Buy Order 3 and Sell Order 4. Buy Order 2 and Buy Order 1 would continue to rest because Sell Order 4's 200% rate was completed. For a marketable incoming sell order (Sell Order 5), also using the 200% Streaming Block Order Type: Stream 2 would be created at an LTR of 30% between Buy Order 2 and Sell Order 5. Sell Order 5's available LTR is decremented to 170%. And Stream 3 would be created at an LTR of 15% between Buy Order 1 and Sell Order 5. Sell Order 5's available LTR is decremented to 155%. After the creation of Stream 2 & 3, only Sell Order 5 will be resting in the order book with a remaining LTR of 155%. Sell Order 5 is participating in two streams, Stream 2 & Stream 3. The LTR of each stream: Stream 1 (Order 3&4) LTR: 200% Stream 2 (Order 2&5) LTR: 30% Stream 3 (Order 1&5) LTR: 15% Given the following three contemporaneously processed trade reports from the consolidated tape: SIP-reported Trade 1: 1,000 @ $36.99 SIP-reported Trade 2: 50 @ $36.9925 SIP-reported Trade 3: 200 @ $37 And given an MSQ for the relevant symbol is set at 5 shares: The orders in Stream 1 (comprised of Order 3 and Order 4) will receive the following child fills: Stream 1 Child Fill 1: 2,000 @ 36.99 Stream 1 Child Fill 2: 100 @ 36.9925 Stream 1 Child Fill 3: 400 @ 37 The orders in Stream 2 (comprised of Order 2 and Order 5) will receive the following child fills: Stream 2 Child Fill 1: 300 @ 36.99 Stream 2 Child Fill 2: 15 @ 36.9925 Stream 2 Child Fill 3: 60 @ 37 The orders in Stream 3 (comprised of Order 1 and Order 5) will receive the following child fills: Stream 3 Child Fill 1: 150 @ 36.99 Stream 3 Child Fill 2: 8 @ 36.9925 Stream 3 Child Fill 3: 30 @ 37 The aggregated traded volumes in this example are as follows: SIP Volume: 1,250 shares PURE ATS Volume: 3,063 Stream 1: 2,500 shares Order 3: 2,500 shares Order 4: 2,500 shares Stream 2: 375 shares Order 2: 375 shares Order 5: 375 shares Stream 3: 188 shares Order 1: 188 shares Order 5: 188 shares Please note that Order 5 participated in two streams, and in aggregate sold 563 shares (375 shares in Stream 2 and 188 shares in Stream 3). Additional Order Parameters In the order book, the standard prioritization logic will be impacted when a Subscriber utilizes a HMMP (Human Matched Machine Processed) or PRO (Pre-Routing Optimizer) order instruction or imposes a self-match prevention constraint or conditional order restriction (implemented via a FIX message from the Subscriber; these order instructions are explained in Part III, Item 14.a). These parameters each limit potential counter-parties or contra-side orders for a respective order; otherwise, the standard prioritization logic applies to the impacted orders. Further, Subscribers can route orders (via FIX) with minimum execution quantities ("MEQ") for (i) ROC orders and (ii) for LS orders where the Subscriber sets the minimum LTR to be greater than the highest available LTR for all other available Order Types on the ATS. The effect of setting the minimum LTR at this level is to limit potential compatible contra-side orders to only LS orders. Where a Subscriber sets an MEQ for an order, the order will only be matched in the ATS to a contra-side order that can satisfy the MEQ (and is otherwise compatible with the order). PURE ATS does not support post-only or counter-party segmentation or classification. Peg Order Instructions for LS Orders: PURE ATS requires peg instructions for all LS orders. PURE ATS recognizes three peg instructions: (i) Peg Far; (ii) Peg Mid; and (iii) Peg Near (defined below). PURE ATS will assign a Peg Mid instruction to (i) any LS order routed to the ATS without a designated Peg instruction; and (ii) any LS order with a minimum LTR less than or equal to 500%. Peg instructions are effected only in the case of two LS orders (i.e., a Peg instruction will not be considered for stream matches or for LS-ROC matches referencing the OCP). PURE ATS uses the LS order's peg instruction and its limit price to determine the order's compatibility and the price for a potential single point-in-time trade. The peg order instruction defines where an order is executable in relation to the then-prevailing NBBO; the limit price defines where an order is executable with respect to a set price point. PURE ATS will not execute a single point-in-time trade at a price that violates an order's peg instruction, and will never execute a trade that violates an order's limit price. For clarity, for LS orders: * Peg Far means that an order will be executed to (and including) the then- prevailing contra-side NBBO (but not in violation of the order's limit price). * Peg Mid means that an order will be executed to (and including) the then- prevailing NBBO midpoint (but not in violation of the order's limit price). * Peg Near means that an order will be executed to (and including) the then- prevailing near-side NBBO (but not in violation of the order's limit price). Note that as a result of this logic, an order with a marketable limit price and priority but the most restrictive peg instruction (e.g., Peg Near) will not be eligible for a match where the only contra-side interest has a Peg Mid or Peg Near instruction. For illustrative purposes: In a stock with an NBBO of $10.00-$10.10, a Buy LS order with a $10.20 limit price and: * Peg Far instruction is eligible for a single point-in-time trade up to $10.10; * Peg Mid instruction is eligible for a single point-in-time trade up to $10.05; * Per Near instruction is eligible for a single point-in-time trade up to $10.00. In a stock with an NBBO of $10.00-$10.10, a Buy LS order with a $10.07 limit price and: * Peg Far instruction is eligible for a single point-in-time trade up to $10.07; * Peg Mid instruction is eligible for a single point-in-time trade up to $10.05; * Per Near instruction is eligible for a single point-in-time trade up to $10.00. In a stock with an NBBO of $10.00-$10.10, a Buy LS order with a $9.99 limit price and any Peg Instruction is not eligible for any trade because it is not marketable (the limit price is below the near-side NBBO). Price Limits, Marketability, Protection, and Improvement: No orders will receive an execution that would violate the order's limit price. In order to optimize the creation of streams, the order book uses minimum marketability thresholds required prior to an order being eligible to match (as described in Part III, Item 7). There is no price improvement from, nor will the price vary from the price of the trades referenced by the ATS. Short Sales and Regulation SHO: The ATS's Subscribers are limited to U.S. registered broker-dealers that are obligated to comply with Regulation SHO Rule 203(b)(1). When Regulation SHO Rule 201 short sale restrictions are in effect for a particular NMS stock, PURE will cancel (previously accepted) and reject (incoming) firm and conditional short sale orders in the relevant stock, except for short sale LS orders with a minimum LTR greater than or equal to 501% ("Constrained LS Orders") that are permissibly priced for execution. The ATS will continue to execute such Constrained LS Orders pursuant to the policies and procedures adopted pursuant to Rule 201(b) of Regulation SHO. Locked and Crossed Markets: PURE ATS will not execute single point-in-time trades when the market is crossed. PURE ATS will only execute single point-in-time trades when the market is locked if both the buyer and seller specify on the order that they are willing to execute during a locked market. During a (i) locked market or (ii) crossed market lasting less than 1 second, the PURE ATS will reference all SIP-reported trades. During a crossed market lasting longer than 1 second, the PURE ATS will reference SIP-reported trades originating on an exchange but will not reference SIP-reported trades originating on a Trade Reporting Facility ("TRF"). Time Stamping of Orders and Executions: Firm and conditional orders are timestamped at the time they are accepted by the system in microseconds. The formation of a stream and each trade fill is also timestamped in microseconds. The ATS will timestamp Subscriber firm and conditional orders in compliance with FINRA time stamp and clock synchronization rules and guidance. Errors: PURE has Written Supervisory Procedures regarding errors, and errors will be handled consistent with the firm's error policies. For ATS (not Subscriber) errors, PURE maintains an error account at its Clearing Broker (BAML) to book bona fide errors, and to trade out of them. Key elements of the ATS error policy include the following: 1) Errors must be escalated to the CCO immediately; 2) Errors must be corrected and documented as soon as practicable; 3) The ATS cannot be used to liquidate an error; and 4) PURE will not cover losses for Subscribers by treating transactions as errors when they are not. Y N N N Counter-parties can be limited using certain order instructions accepted by the ATS. Those order instructions are: (i)HMMP (Human Matched Machine Processed); (ii) PRO (Pre-Routing Optimizer); and (iii) self-trade prevention. The order instructions are sent by the Subscriber or by the Subscriber's customer, as described below. The HMMP order instruction enables a Subscriber to limit its counter-parties to firm orders in the ATS sent by the Subscriber. This includes orders that the Subscriber has sent separately over time, or contemporaneously. Using the HMMP order instruction, for example, a Subscriber with compatible orders can send the orders to the ATS knowing they will only match with the orders the Subscriber sent. Use of HMMP is a Subscriber decision and, other than limiting the universe of eligible counter-parties, the orders (and any match) remain subject to the same ATS priority and matching logic described in Part III, Item 7. The PRO order instruction is a functionality provided by the ATS to its Subscribers. The functionality enables a Subscriber to permit its customer to send directed orders to the ATS in which the directed order's potential counter-parties are limited to that Subscriber's inventory on the ATS (i.e., the directed order will only match with an order sent to the ATS through the same Subscriber). All orders with the PRO order instruction are automatically designated as IOC (in the case of an LS Order Type) or SOK. Use of a PRO order instruction is both a customer and Subscriber decision and, other than limiting the universe of eligible counter-parties, the orders (and any match) remain subject to the same ATS priority and matching logic described in Part III, Item 7. PURE ATS also offers Subscribers a self-match prevention modifier that allows a Subscriber to prevent executions with other firm or conditional orders from that Subscriber in the ATS. Subscribers can apply this modifier at different levels of granularity (e.g., at the Subscriber or Subscriber's customer level; the latter would prevent orders from a Subscriber's customer from interacting with other orders in the ATS from that customer). PURE ATS does not segment flow; only Subscribers and their customers can limit order interactions by using either the HMMP instruction, PRO instruction, or the self-match prevention. In addition to limiting counter-parties, Subscribers can also choose to restrict (or not restrict) any order from interacting with contra-side conditional orders. All of the above order instructions can be sent by the Subscriber via its FIX connection with PURE ATS in accordance with PURE ATS's FIX specifications (available to all Subscribers). Y N PURE ATS does not display firm or conditional orders. As part of the firm-up process described in Part III, Item 9, PURE ATS makes conditional orders known to Subscribers with the potential contra-side matching order via FIX. The only relevant conditional order information made known to each Subscriber during the firm-up process is the quantity of the contra-side trading interest and LTR that would be subject to the potential match (i.e., a Subscriber will not be made aware if the contra-side order has additional quantity, the contra-side Order Type, price, etc.). Y N N Y As described in Part III, Items 7 and 11, PURE executes point-in-time trades referencing the Official Closing. The prioritization, matching, and execution logic for these point-in-time trades is the same as described in Part III, Items 7 and 11, except that the ATS forms the relevant matches after the ATS receives the OCP. As described herein, PURE ATS accepts all order types until the close of regular trading hours. Additionally, all order types can be cancelled or modified until the close of regular trading hours. Prior to the close of regular trading hours, the ATS matcher functions as described in Part III, Items 7 and 11. This behavior includes that the ATS matcher will ignore ROC orders prior to the dissemination of the OCP, as that order type is not eligible for a match prior to the ATS receiving the OCP. Open ROC orders will remain resting on the ATS order book until that time (subject to cancellation by Subscribers). At the end of regular trading hours, the ATS will no longer accept new orders of any type, and Subscribers cannot modify or cancel resting orders. Upon receiving the OCP via the SIP (see Part III, Item 23), the ATS matcher seeks to match resting ROC order types with a compatible contra-side ROC or LS order (compatibility and matching logic is described in Part III, Items 7 and 11). If the ATS identifies a compatible match, the match will be formed and the ATS will generate a fill at the highest compatible quantity between the two matched orders at the OCP. After the ATS runs the matching protocol upon receipt of the OCP, all orders (of all order types), will be cancelled back to Subscribers, including any ROC orders with residual quantity (e.g., after being matched for a trade referencing the OCP). Yes for all Subscribers. The Broker-Dealer Operator does not operate on the ATS. The PURE ATS uses two fee structures: a per share model and a subscription model. Under the per-share model, fees are charged on a per share basis and can range from $0.0005 to $0.0025. The per-share fee structures are separately negotiated with each individual Subscriber and all terms may vary. In negotiating fee structures, PURE primarily considers a combination of: (i) historical trading volume and patterns; (ii) anticipated trading volume and patterns; (iii) competitive considerations (e.g., venue-wide subscriber, market participation, market access, and product terms); and (iv) the method(s) by which orders arrive on the ATS, including whether the order access method is systematic (e.g., access methods (i)(a) and (ii), below) or manually directed (e.g., access method (i)(b) below) (lower fees are generally considered for systematic order flow, though that may vary by Subscriber and specific order flow). Orders may arrive on the ATS: (i) Via a Subscriber's market access connections (described more fully in Part III, Item 5) comprised of: a. Customer systematic (e.g., algorithmic) order flow; and b. Customer manual (e.g., EMS) order flow; (ii) Via a Subscriber's algorithm (described more fully in Part III, Item 5); (iii) With the HMMP instruction (described more fully in Part III, Item 14); or (iv) With the PRO instruction (described more fully in Part III, Item 14). PURE ATS also offers agreements under a subscription model. The subscription model is available to all Subscribers that provide for systematic (i.e., algorithmic) directed customer order flow (meaning that the Subscriber's customer is instructing the Subscriber to send the relevant orders to PURE ATS through the Subscriber's market access connections ((i)(a) above); however, PureStream may limit the number of agreements available under the subscription model at a given time. Under the subscription model, Subscribers are charged a flat fee in connection with directed customer orders. The flat fee and relevant terms are negotiated with Subscribers on a case-by-case basis primarily in consideration of (i) historical trading volume and patterns; (ii) anticipated trading volume and patterns; and (iii) competitive considerations (e.g., venue-wide subscriber, market participation, market access, and product terms). The range of flat fees per share when applied to expected volume per each subscription agreement is $0.0005 to $0.0025. These fee models are not mutually exclusive and a Subscriber may route orders to PURE ATS subject to both structures. The terms of each fee model and the applicability to a specific Subscriber's order flow will be set forth in each Subscriber's agreement with PureStream. PURE does not provide any non-ATS products or services. There are no rebates or volume tier discounts available to Subscribers. PURE's Market Operations team will monitor the ATS's performance throughout each trading day to ensure that the system is functioning properly. Note that PURE also has a back-up (i.e., secondary) version of the PURE ATS matching system in the event that the primary system experiences a malfunction. The back-up version is located at the same physical address as that of the primary system. The Market Operations team will also ensure that, in the event of a regulatory halt, Regulation SHO Rule 201 state, or situation regarding SIP market data inaccuracies, that the matching engine is suspended, and all firm and conditional orders are cancelled back in the relevant securities, as applicable. PURE can effect the stoppage of trading per symbol and/or Subscriber. In order to suspend all trading in the ATS, PURE must instruct Ocean and cannot effect the change itself. Given the dependence on reference trades via the SIP, any disruptions to the SIP will lead to the suspension of trading on the ATS. PURE and Ocean will also monitor for fair access thresholds on a symbol-level basis. There are three (3) different validations to measure the approach of any given symbol towards 5% of total market volume. The first check is called "Early Validation". On the last three (3) days of the month, a query will be run to determine if a symbol has traded more than 4.5% of total market volume in three (3) of the prior five (5) months, including the current month. If so, the symbol is halted for trading on the platform for the remainder of the month. The second check is called "3 out of 5". On the first day of the next month, a query will be run to determine if a symbol has traded more than 4.5% of total market volume in three (3) of the prior five (5) months, excluding the current month. If so, the symbol is halted for trading on the platform for the remainder of the month. The third and final check is called "4 out of 6". On each day of every month, a query is run to determine if a symbol has traded more than 4.5% of total market volume in four (4) of the prior five (5) months, including the current month. If so, the symbol is halted for trading on the platform for the remainder of the month and PURE is alerted of the breach. This breach should never occur since the "3 out of 5" check will block a symbol from trading four (4) months at above 4.5% of total market volume. Y PURE uses the NASDAQ TRF as its primary trade reporting facility. Ocean will initiate and manage the submission of reports, which PURE will confirm. The NASDAQ TRF2 is the back-up trade reporting facility for the ATS. If the primary TRF is not available, Ocean will failover to the back-up TRF on behalf of the PURE ATS where any unreported trades will be resubmitted. All reportable transactions effected on PURE ATS are over-the-counter transactions that are trade-reportable pursuant to applicable trade reporting requirements. Reportable transactions on the PURE ATS include all child fills and single point-in-time trades as those terms are used herein. For the avoidance of doubt, Derived Shares are used for internal counting (see Part III, Item 7a), and are not reportable transactions. Y PURE has an agreement with BAML to act on behalf of the PURE ATS to clear and settle all transactions executed on behalf of the ATS. BAML will receive all transactions over FIX and submit all executions to NSCC for clearing. All of PURE ATS's Subscribers must have clearing brokers that are NSCC/DTC members. PURE is the counter-party to all trades submitted by Subscribers. Y PURE ATS consumes SIP market data via feed handler software from Ocean to determine the OCP, NBBO, and protected quotes, as well as to price, prioritize, execute, and remove firm and conditional orders and trading interest on the ATS. Trades on the SIPs are comprised of exchange-reported and TRF-reported trades. PURE ATS also uses the SIP data to provide support services to Subscribers. For the PURE ATS, SIP-reported trades means (i) continuous market trades that update the last sale, and (ii) odd lots. PURE ATS will not consider other trades that do not update the last sale (e.g., sold sales and derivatively priced trades).SIP-reported trades originating on exchanges are referenced as-is. SIP-reported trades originating on the TRF are only referenced if they have not traded through the relevant NBBO range during the corresponding 1-second window. To ensure that the order did not trade through the relevant NBBO range, the ATS uses FINRA TRF Timestamp 1 (defined as the participant's time stamp) and cross references the system's corresponding NBBO window at the participant's time stamp. PURE uses this approach because clock synchronization between the participant's timestamp and the NBBO window at that timestamp is more accurate than comparing the SIP-reported trade timestamp to the NBBO window at the time of the SIP timestamp. Y N N N