BNPP CORTEX ATS

amendment_reason

BNP COrtex is submitting an amendment for Part III Item 4, item 7, item 11, item 14, item 17 and item 18. The amendments reflects updated language to include support of CLOSE orders and functionality. The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an amendment for Part III: Manner of Operations under item 15: Display, item b. The amendment reflects updated language to include aggregated volume at the midpoint. The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an amendment for Part II item 1(a) making clear that "Institutional Client" shall mean "Institutional Account," as that term is defined under FINRA Rule 4512(c). BNP Cortex is also submitting an amendment in Part 2 item 5, Part 3 item 5 and item 13 (a) modifying means of entry for External Subscribers to include using a 3rd party ATS aggregation or Dark liquidity smart order routing service and where the identity of the External Subscriber is fully disclosed to the BDO. The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an amendment for Part III: Manner of Operations under item 14: Counter-Party Selection in section a. The amendment reflects by default, self-cross prevention will be anbled for external broker-dealer Subscribers based on their MPID. In addition, other Subscribers can enable self-cross prevention on a voluntary basis. The change applys to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an amendment for Part II item 5, Part III item 15. The amendments reflects updated language to include aggregated volume at the midpoint. BNP Cortex is submitting an amendment for Part III item 11 and item 13. The amendment reflects removal of language at launch of Cortex ATS referring to NMS symbols traded and initial counterparty assignment. BNP Cortex is submitting an amendment to Part III item 23. The amendment reflects the addition of language regarding in the event of disruption recognizing an NMS exchange which may not offer direct feeds, the ATS uses the SISP as a secondary source of market data. The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNPP Cortex ATS submits this Updating Amendment, which amends Part II, Item 2 to remove geographical references to Affiliates permitted to enter or direct the entry of orders and trading interest into the NMS stock ATS; and instead name the specific Affiliate names. The firm is also amending Part III, Item 14 to remove the partial symbol roll-out language. The changes in this amendment apply to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an amendment for Part III: Manner of Operations under item 11: Trading Services, Facilities and Rules in section a. The anticipated launch date is being changed to September 20th, 2021 (previously September 13th). The ATS will not accept orders until the launch date. During the period of September 20 to September 24, 2021 (previously September 13 - 17), in order to implement a gradual deployment to the benefit of SUbscribers, the ATS will only accept orders in the following NMS stocks: EEM, OXY and ZNGA. Starting on September 27, 2021, (previously September 20) the ATS will begin accepting orders to trade all eligible NMS stocks. The date changes apply to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an updating amendment to the material amendment submitted on March 17, 2023. BNP COrtex is submitting an amendment for Part II Item 1, Part III Item 4, item 7, item 11, item 14, item 17, item 18, item 20, item 21 and item 23. The amendments reflects updated language to include support of Close orders and functionality. The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNPP Cortex ATS submits this Updating Amendment, which amends Part III, Item 19 to describe the CAT fees that BNPP Cortex ATS is charged and passes through to Subscribers. The changes in this amendment apply to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an updating amendment for Part III Item 19a which modifies fees to 5 cents per 100 shares for Near Peg order type, all other order types are priced at 10 cents per 100 shares. For Part III item 19b, we added additional service of "research" to additional services provided by firm. The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an amendment for Part III: Manner of Operations under item 11: Trading Services, Facilities and Rules in section a. The amendment reflects effective today, September 27, 2021 the ATS is accepting trades in all eligible NMS stocks. Previously, last week (September 20 - September 24, 2021), the ATS was only accepting orders in the following NMS stcoks: EEM, OXY and ZNGA. The change applys to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting a material amendment for Part II Item 1, Part III Item 7(a), 11(c), 13 and 20 to reflect that (1) BNPP Cortex ATS will begin operating the Trajectory Cross, only available to indirect subscribers via BDOs internal Algos and SMart Order Routers, which will cross eligible firm orders at the VWAP price over a specified duration; (2) the allowable parameters or characteristics for such orders; (3) the way in which BNPP Cortex ATS will macth orders; and (4) whether and how various features of BNPP COrtex ATS (e.g., segmentation) will apply to Trajectory Cross orders. Additionally, Item 11(c) makes conforming changes in accordance with all symbols supported by the ATS as described in Part III Item 11(a) and in each case subject to the Stopped Symbols Lists and other conditions described in Part III Item 11(a). These changes apply to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNPP Cortex ATS is submitting a material amendment for Part III Item 13 to reflect additional factor in calculation of price reversion. BNPP Cortex ATS is also factoring in aggregated review of a Subscriber's overall ATS executions consisting of the ratio of a Subscribers orders that are providing liquidity vs removing liquidity. To maintain the integrity of the Subscriber counterparty type framework, BDO may periodically, as needed, reassess and modify the metrics used to determine the Price Reversion. These changes apply to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting a material amendment for Part III Item 7(a) and 11(c) to add ability to use short sale order types for Close order types and ATS behavior for stocks subject to Reg SHO Rule 201. We are also updating current language regarding non-close orders in Part III Item 7(a) to conform with language in non-close order section in Part III Item 11(c). The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting a material amendment for Part III Item 7(a) and 11(c) regarding orders sent with the Midpoint Peg execution instruction and matching mechanism. BNP Cortex is submitting a material amendment for Part III Item 13 regarding modification of price reversion. The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNP Cortex is submitting an updating amendment for Part III Item 19a which modifies fees to 3 cents per 100 shares for close orders, all other order types are priced at 10 cents per 100 shares. The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNPP Cortex ATS is submitting a correcting amendment for Part III: Manner of Operations under item 14: Counter-Party Selection in section a. The BNPP Cortex ATS previously submitted a material amendment to have all eligible NMS stocks as described in Part III Item 11(a) regarding Dynamic recategorization. The BNPP Cortex ATS is submitting a modification to apply Dynamic recategorization to trades for the following 11 symbols (XOM, PG, SCHW, PLD, AMZN, SPY, AAPL, QQQ, SNOW, DVN, DISH) until November 1, 2024 due to further analysis and undergoing additional risk checks. Effective, November 4, 2024 the ATS will apply Dynamic recategorization to all eligible NMS stocks as described in Part III Item 11(a). The change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNPP Cortex ATS is submitting an updating amendment to material amendment for Part III Item 13(a) to reflect an additional factor in calculation of price reversion. BNPP Cortex ATS is now factoring an aggregated review of a Subscriber's overall ATS executions consisting of the ratio of a Subscribers orders that are providing liquidity vs removing liquidity. These changes apply to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNPP Cortex ATS is submitting a material amendment for Part III Item 13(a) to reflect for non-close, non Midpoint Peg and Non Trajectory cross orders, Cortex ATS will apply a dynamic recategorization model for orders from SUbscribers assigned to counterparty groups 4 or 5 as described in tem 14. These changes apply to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNPP Cortex ATS submits this Updating Amendment, which amends Part II, Item 4 to remove Credit Suisse Securities (USA), LLC. The changes in this amendment apply to all Subscribers and the Broker-Dealer Operator.

amendment_reason

BNPP Cortex ATS submits this Material Amendment, which amends Part III, Item 14. For Mid Point Peg orders; Subscribers may opt out of interacting with counterparty 1. Additionally, subscribers may choose to have their non-close, non-midpoint peg opt out configurations apply to their midpoint peg orders as described. By default, subscribers non-midpoint peg, non-close opt out choices will not apply to midpoint peg orders. The Firm is also amending Part III, Item 7 and 11 noting an update to the Close logic. In the event a stock becomes subject to Reg SHO Rule 201(b) after the match event time as described in Part III Item 11(c), but before the official market center close, and there is an eligible Sell Short order that is a Close order, the ATS will not conduct a close match in that stock and will reject all open orders, Buy, Long Sale, and Short Sale back to the sender(s). The changes in this amendment apply to all Subscribers and the Broker-Dealer Operator.

ats_name

BNPP Cortex ATS

operator_crd

000015794

operator_name

BNP PARIBAS SECURITIES CORP.

order_types

For Non Close orders: The ATS supports three order types, each of which is available across all forms of connectivity. Each order type may have a Time-in-Force of Day or Immediate or Cancel (IOC). If an order is not marketable upon entry, it will either cancel immediately (if designated IOC), or rest on the book as a Day order until either executed, cancelled by the Subscriber or expired by the ATS at the end of the trading day. Supported Order Types: 1. Priced limit orders 2. Pegged orders: Limit price is derived dynamically from the current NBBO. Subscribers may include an optional absolute limit price above/below which a pegged buy/sell order will not execute. Pegged order types include: a. Midpoint peg orders: Pegged to the midpoint of then-current NBBO (Note, Midpoint Peg orders have separate matching logic as described in Part III, Item 11(c)) b. Market peg orders: Pegged to the opposite side of the market (buy/sell at then-current national best offer/bid) c. Primary peg orders: Pegged to the near side of the market (buy/sell at then-current national best bid/offer) Pegged orders do not receive a new time stamp if the order price is dynamically adjusted due to a change in NBBO. 3. Market orders: Buy/sell at then-current national best offer/bid, or better. Pursuant to SEC Regulation NMS, for orders priced equal to or greater than $1.00, the ATS will neither accept orders priced in sub-pennies, nor will it accept orders that would explicitly lead to a sub-penny price (e.g., peg to inside bid plus 0.5 cents). However, the ATS will accept orders with a price target that potentially could lead to a sub-penny execution price (e.g., a midpoint peg order in a stock that has a one cent spread). The ATS supports the following order parameters: 1. MinQTY: Represents the minimum contra-side order quantity. All Subscribers may include MinQTY on an order-by-order basis. The ATS does not aggregate orders to meet MinQTY. By default, where leaves quantity is less than MinQTY, MinQTY is reduced to leaves quantity. During or after onboarding, a Subscriber may contact their sales representative to configure their MinQTY orders to cancel the leaves quantity in this scenario. 2. Time-In-Force: a. Immediate or Cancel (IOC) - The order will match with eligible resting contra-side orders and cancel back the balance. b. Day - The order will remain in the book until it is canceled, completely filled, or until the market closes at 4:00 PM. The ATS does not route orders or transmit indications of interest to any destination. Orders will only be accepted (and executed subject to matching conditions), cancelled by the order originator, or expired by the ATS at the end of the trading day. The ATS does not support post-only orders or orders with discretionary price ranges. The ATS will not combine orders or replace orders on an unsolicited basis. The BDO may remove ("bust") certain executions. For example, when the primary exchange makes a determination of clearly erroneous executions or, upon subscriber request and under certain limited circumstances such as when the Subscriber is on both sides of a cross and inadvertently crossed itself in the ATS. See the Error Handling section of Part III, Item 11(c). The ATS establishes order rank and execution priority strictly on a price-time basis. Order types and parameters will influence the price, priority, conditions, time stamp, and other attributes related to an order's potential for execution only inasmuch as the order types and parameters determine the theoretical matching price of an order (where the potential execution price of a buy order is greater than or equal to the lowest potential execution price of a sell order, limited by the NBBO and LULD bands), as described in Part III, Item 11(c). Other procedures governing trading; Short Sales: Stocks subject to the Reg SHO Rule 201 short sale restriction will trade in the ATS only at a price greater than the current national best bid, unless an exception applies. Short sale orders, except those exempted under Reg SHO Rule 203, must be accompanied by a Locate Broker ID. For Close Orders: The ATS supports a Close order type ("Close order(s)"). The ATS supports Buy, Long Sales and Short Sale Close order types. Close orders will be matched after market closing at the closing price of the respective stock's primary market center closing price. Only Market Close orders are supported. Close orders with peg instructions are not supported and will be rejected. For Short Sale Close orders, in the event a Short Sale order is received in a stock subject to Reg SHO Rule 201(b) at the time of order entry, the Short Sale order will be rejected, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after order entry but before the match event time as described in Part III Item 11(c), Short Sale order(s) will be rejected to the sender(s) at the time of the match event, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after the match event time as described in Part III Item 11(c), but before the official market center close, and there is an eligible Sell Short order that is a Close order, the ATS will not conduct a close match in that stock and will reject all open orders, Buy, Long Sale, and Short Sale back to the sender(s). Close orders with a Min Qty instruction are not supported and will be rejected. Only a Day time in force is supported. Close orders will be matched in time/size priority. Close order modifications and cancellations are supported until match event time as described in Part III item 11(c). For the purposes of time priority calculation, an order modification to a larger order quantity will reset order time to time of modification; an order modification to a smaller order quantity will maintain the original order time. Additionally, system outages may result in order cancellation. Close orders are available across all forms of connectivity to all ATS participants. The ATS does not route any orders, Close order or non Close order, to other trading centers. For Trajectory Cross orders: The ATS supports a Trajectory Cross order type. Trajectory Cross will only be available to indirect subscribers via BDOs internal Algos and Smart Order Routers. Trajectory Cross supports Buy, Long Sales, and Short Sale orders only. Trajectory cross will support the Day Time in force only. Trajectory Cross will support Limit orders only. Trajectory Cross will not support a Min Qty parameter. Trajectory Cross will cross orders at the 5 minute Interval Volume Weighted Average Price ("VWAP"). Trajectory Cross will match orders in time/price priority. The calculation of the execution VWAP price will begin when a contra side order arrives to match vs a resting order in the same symbol in any given Trajectory Cross interaction. After 5 minutes has elapsed, both orders will receive an execution at the size of the smaller order at the interval VWAP price. In the event that either side cancels before 1 minute has elapsed, the interaction is cancelled. In the event either side cancels after 1 minute, but before 5 minutes, both sides will receive a pro-rated execution. VWAP execution will only occur, in any scenario, as long as there are 5 regular prints on the tape during the interval in question. If that 5 print criteria is not met, the execution will be at the midpoint of the NBBO at the time of execution. After execution of a Trajectory Cross any order that was not fully executed will have any residual quantity cancelled. Attempted amends of orders that are in the process of matching will be rejected and not allowed. Only orders that are not in the process of being matched will be able to be amended. Trajectory Cross orders follow the supension of trading rules as described in Part III Item 20. In the event of a suspension of trading at the time of the trade reporting of a Trajectory Cross order, the trade report will occur when trading has resumed and all qualifing conditions have been met. Trajectory Cross orders will trade report as described in Part III Item 21.

order_types

For Non Close orders: The ATS supports three order types, each of which is available across all forms of connectivity. Each order type may have a Time-in-Force of Day or Immediate or Cancel (IOC). If an order is not marketable upon entry, it will either cancel immediately (if designated IOC), or rest on the book as a Day order until either executed, cancelled by the Subscriber or expired by the ATS at the end of the trading day. Supported Order Types: 1. Priced limit orders 2. Pegged orders: Limit price is derived dynamically from the current NBBO. Subscribers may include an optional absolute limit price above/below which a pegged buy/sell order will not execute. Pegged order types include: a. Midpoint peg orders: Pegged to the midpoint of then-current NBBO b. Market peg orders: Pegged to the opposite side of the market (buy/sell at then-current national best offer/bid) c. Primary peg orders: Pegged to the near side of the market (buy/sell at then-current national best bid/offer) Pegged orders do not receive a new time stamp if the order price is dynamically adjusted due to a change in NBBO. 3. Market orders: Buy/sell at then-current national best offer/bid, or better. Pursuant to SEC Regulation NMS, for orders priced equal to or greater than $1.00, the ATS will neither accept orders priced in sub-pennies, nor will it accept orders that would explicitly lead to a sub-penny price (e.g., peg to inside bid plus 0.5 cents). However, the ATS will accept orders with a price target that potentially could lead to a sub-penny execution price (e.g., a midpoint peg order in a stock that has a one cent spread). The ATS supports the following order parameters: 1. MinQTY: Represents the minimum contra-side order quantity. All Subscribers may include MinQTY on an order-by-order basis. The ATS does not aggregate orders to meet MinQTY. By default, where leaves quantity is less than MinQTY, MinQTY is reduced to leaves quantity. During or after onboarding, a Subscriber may contact their sales representative to configure their MinQTY orders to cancel the leaves quantity in this scenario. 2. Time-In-Force: a. Immediate or Cancel (IOC) - The order will match with eligible resting contra-side orders and cancel back the balance. b. Day - The order will remain in the book until it is canceled, completely filled, or until the market closes at 4:00 PM. The ATS does not route orders or transmit indications of interest to any destination. Orders will only be accepted (and executed subject to matching conditions), cancelled by the order originator, or expired by the ATS at the end of the trading day. The ATS does not support post-only orders or orders with discretionary price ranges. The ATS will not combine orders or replace orders on an unsolicited basis. The BDO may remove ("bust") certain executions. For example, when the primary exchange makes a determination of clearly erroneous executions or, upon subscriber request and under certain limited circumstances such as when the Subscriber is on both sides of a cross and inadvertently crossed itself in the ATS. See the Error Handling section of Part III, Item 11(c). The ATS establishes order rank and execution priority strictly on a price-time basis. Order types and parameters will influence the price, priority, conditions, time stamp, and other attributes related to an order's potential for execution only inasmuch as the order types and parameters determine the theoretical matching price of an order (where the potential execution price of a buy order is greater than or equal to the lowest potential execution price of a sell order, limited by the NBBO and LULD bands), as described in Part III, Item 11(c). For Close Orders: The ATS supports a CLose order type ("Close order(s)"). Close orders will be matched after market closing at the closing price of the respective stock's primary market center closing price. Only Market CLose orders are supported. Close orders with peg instructions are not supported and will be rejected. Close orders with a Min Qty instruction are not supported and will be rejected. Only a Day time in force is supported. Close orders will be macthed in time/size priortiy. Close order modifcations and cancellations are supported until match event time as described in Part III item 11(c). For the purposes of time priortiy calculation, an order modification to a larger order quantity will reset order time to time of modification; an order modification to a smaller order quanity will maintain the original order time. Addiitonally, system outages may result in order cancellation. Close orders are available across all forms of connectivity to all ATS particpants. The ATS does not route any orders, CLose order or non cCLose order, to other trading centers.

order_types

For Non Close orders: The ATS supports three order types, each of which is available across all forms of connectivity. Each order type may have a Time-in-Force of Day or Immediate or Cancel (IOC). If an order is not marketable upon entry, it will either cancel immediately (if designated IOC), or rest on the book as a Day order until either executed, cancelled by the Subscriber or expired by the ATS at the end of the trading day. Supported Order Types: 1. Priced limit orders 2. Pegged orders: Limit price is derived dynamically from the current NBBO. Subscribers may include an optional absolute limit price above/below which a pegged buy/sell order will not execute. Pegged order types include: a. Midpoint peg orders: Pegged to the midpoint of then-current NBBO (Note, Midpoint Peg orders have separate matching logic as described in Part III, Item 11(c)) b. Market peg orders: Pegged to the opposite side of the market (buy/sell at then-current national best offer/bid) c. Primary peg orders: Pegged to the near side of the market (buy/sell at then-current national best bid/offer) Pegged orders do not receive a new time stamp if the order price is dynamically adjusted due to a change in NBBO. 3. Market orders: Buy/sell at then-current national best offer/bid, or better. Pursuant to SEC Regulation NMS, for orders priced equal to or greater than $1.00, the ATS will neither accept orders priced in sub-pennies, nor will it accept orders that would explicitly lead to a sub-penny price (e.g., peg to inside bid plus 0.5 cents). However, the ATS will accept orders with a price target that potentially could lead to a sub-penny execution price (e.g., a midpoint peg order in a stock that has a one cent spread). The ATS supports the following order parameters: 1. MinQTY: Represents the minimum contra-side order quantity. All Subscribers may include MinQTY on an order-by-order basis. The ATS does not aggregate orders to meet MinQTY. By default, where leaves quantity is less than MinQTY, MinQTY is reduced to leaves quantity. During or after onboarding, a Subscriber may contact their sales representative to configure their MinQTY orders to cancel the leaves quantity in this scenario. 2. Time-In-Force: a. Immediate or Cancel (IOC) - The order will match with eligible resting contra-side orders and cancel back the balance. b. Day - The order will remain in the book until it is canceled, completely filled, or until the market closes at 4:00 PM. The ATS does not route orders or transmit indications of interest to any destination. Orders will only be accepted (and executed subject to matching conditions), cancelled by the order originator, or expired by the ATS at the end of the trading day. The ATS does not support post-only orders or orders with discretionary price ranges. The ATS will not combine orders or replace orders on an unsolicited basis. The BDO may remove ("bust") certain executions. For example, when the primary exchange makes a determination of clearly erroneous executions or, upon subscriber request and under certain limited circumstances such as when the Subscriber is on both sides of a cross and inadvertently crossed itself in the ATS. See the Error Handling section of Part III, Item 11(c). The ATS establishes order rank and execution priority strictly on a price-time basis. Order types and parameters will influence the price, priority, conditions, time stamp, and other attributes related to an order's potential for execution only inasmuch as the order types and parameters determine the theoretical matching price of an order (where the potential execution price of a buy order is greater than or equal to the lowest potential execution price of a sell order, limited by the NBBO and LULD bands), as described in Part III, Item 11(c). Other procedures governing trading; Short Sales: Stocks subject to the Reg SHO Rule 201 short sale restriction will trade in the ATS only at a price greater than the current national best bid, unless an exception applies. Short sale orders, except those exempted under Reg SHO Rule 203, must be accompanied by a Locate Broker ID. For Close Orders: The ATS supports a Close order type ("Close order(s)"). The ATS supports Buy, Long Sales and Short Sale Close order types. Close orders will be matched after market closing at the closing price of the respective stock's primary market center closing price. Only Market Close orders are supported. Close orders with peg instructions are not supported and will be rejected. For Short Sale Close orders, in the event a Short Sale order is received in a stock subject to Reg SHO Rule 201(b) at the time of order entry, the Short Sale order will be rejected, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after order entry but before the match event time as described in Part III Item 11(c), Short Sale order(s) will be rejected to the sender(s) at the time of the match event, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after the match event time as described in Part III Item 11(c), but before the official market center close, the ATS will not conduct a close match in that stock and will reject all open orders, Buy, Long Sale, and Short Sale back to the sender(s). Close orders with a Min Qty instruction are not supported and will be rejected. Only a Day time in force is supported. Close orders will be matched in time/size priority. Close order modifications and cancellations are supported until match event time as described in Part III item 11(c). For the purposes of time priority calculation, an order modification to a larger order quantity will reset order time to time of modification; an order modification to a smaller order quantity will maintain the original order time. Additionally, system outages may result in order cancellation. Close orders are available across all forms of connectivity to all ATS participants. The ATS does not route any orders, Close order or non Close order, to other trading centers. For Trajectory Cross orders: The ATS supports a Trajectory Cross order type. Trajectory Cross will only be available to indirect subscribers via BDOs internal Algos and Smart Order Routers. Trajectory Cross supports Buy, Long Sales, and Short Sale orders only. Trajectory cross will support the Day Time in force only. Trajectory Cross will support Limit orders only. Trajectory Cross will not support a Min Qty parameter. Trajectory Cross will cross orders at the 5 minute Interval Volume Weighted Average Price ("VWAP"). Trajectory Cross will match orders in time/price priority. The calculation of the execution VWAP price will begin when a contra side order arrives to match vs a resting order in the same symbol in any given Trajectory Cross interaction. After 5 minutes has elapsed, both orders will receive an execution at the size of the smaller order at the interval VWAP price. In the event that either side cancels before 1 minute has elapsed, the interaction is cancelled. In the event either side cancels after 1 minute, but before 5 minutes, both sides will receive a pro-rated execution. VWAP execution will only occur, in any scenario, as long as there are 5 regular prints on the tape during the interval in question. If that 5 print criteria is not met, the execution will be at the midpoint of the NBBO at the time of execution. After execution of a Trajectory Cross any order that was not fully executed will have any residual quantity cancelled. Attempted amends of orders that are in the process of matching will be rejected and not allowed. Only orders that are not in the process of being matched will be able to be amended. Trajectory Cross orders follow the supension of trading rules as described in Part III Item 20. In the event of a suspension of trading at the time of the trade reporting of a Trajectory Cross order, the trade report will occur when trading has resumed and all qualifing conditions have been met. Trajectory Cross orders will trade report as described in Part III Item 21.

order_types

For Non Close orders: The ATS supports three order types, each of which is available across all forms of connectivity. Each order type may have a Time-in-Force of Day or Immediate or Cancel (IOC). If an order is not marketable upon entry, it will either cancel immediately (if designated IOC), or rest on the book as a Day order until either executed, cancelled by the Subscriber or expired by the ATS at the end of the trading day. Supported Order Types: 1. Priced limit orders 2. Pegged orders: Limit price is derived dynamically from the current NBBO. Subscribers may include an optional absolute limit price above/below which a pegged buy/sell order will not execute. Pegged order types include: a. Midpoint peg orders: Pegged to the midpoint of then-current NBBO (Note, Midpoint Peg orders have separate matching logic as described in Part III, Item 11(c)) b. Market peg orders: Pegged to the opposite side of the market (buy/sell at then-current national best offer/bid) c. Primary peg orders: Pegged to the near side of the market (buy/sell at then-current national best bid/offer) Pegged orders do not receive a new time stamp if the order price is dynamically adjusted due to a change in NBBO. 3. Market orders: Buy/sell at then-current national best offer/bid, or better. Pursuant to SEC Regulation NMS, for orders priced equal to or greater than $1.00, the ATS will neither accept orders priced in sub-pennies, nor will it accept orders that would explicitly lead to a sub-penny price (e.g., peg to inside bid plus 0.5 cents). However, the ATS will accept orders with a price target that potentially could lead to a sub-penny execution price (e.g., a midpoint peg order in a stock that has a one cent spread). The ATS supports the following order parameters: 1. MinQTY: Represents the minimum contra-side order quantity. All Subscribers may include MinQTY on an order-by-order basis. The ATS does not aggregate orders to meet MinQTY. By default, where leaves quantity is less than MinQTY, MinQTY is reduced to leaves quantity. During or after onboarding, a Subscriber may contact their sales representative to configure their MinQTY orders to cancel the leaves quantity in this scenario. 2. Time-In-Force: a. Immediate or Cancel (IOC) - The order will match with eligible resting contra-side orders and cancel back the balance. b. Day - The order will remain in the book until it is canceled, completely filled, or until the market closes at 4:00 PM. The ATS does not route orders or transmit indications of interest to any destination. Orders will only be accepted (and executed subject to matching conditions), cancelled by the order originator, or expired by the ATS at the end of the trading day. The ATS does not support post-only orders or orders with discretionary price ranges. The ATS will not combine orders or replace orders on an unsolicited basis. The BDO may remove ("bust") certain executions. For example, when the primary exchange makes a determination of clearly erroneous executions or, upon subscriber request and under certain limited circumstances such as when the Subscriber is on both sides of a cross and inadvertently crossed itself in the ATS. See the Error Handling section of Part III, Item 11(c). The ATS establishes order rank and execution priority strictly on a price-time basis. Order types and parameters will influence the price, priority, conditions, time stamp, and other attributes related to an order's potential for execution only inasmuch as the order types and parameters determine the theoretical matching price of an order (where the potential execution price of a buy order is greater than or equal to the lowest potential execution price of a sell order, limited by the NBBO and LULD bands), as described in Part III, Item 11(c). For Close Orders: The ATS supports a Close order type ("Close order(s)"). Close orders will be matched after market closing at the closing price of the respective stock's primary market center closing price. Only Market Close orders are supported. Close orders with peg instructions are not supported and will be rejected. Close orders with a Min Qty instruction are not supported and will be rejected. Only a Day time in force is supported. Close orders will be macthed in time/size priortiy. Close order modifcations and cancellations are supported until match event time as described in Part III item 11(c). For the purposes of time priority calculation, an order modification to a larger order quantity will reset order time to time of modification; an order modification to a smaller order quanity will maintain the original order time. Addiitonally, system outages may result in order cancellation. Close orders are available across all forms of connectivity to all ATS particpants. The ATS does not route any orders, Close order or non Close order, to other trading centers.

order_types

The ATS supports three order types, each of which is available across all forms of connectivity. Each order type may have a Time-in-Force of Day or Immediate or Cancel (IOC). If an order is not marketable upon entry, it will either cancel immediately (if designated IOC), or rest on the book as a Day order until either executed, cancelled by the Subscriber or expired by the ATS at the end of the trading day. Supported Order Types: 1. Priced limit orders 2. Pegged orders: Limit price is derived dynamically from the current NBBO. Subscribers may include an optional absolute limit price above/below which a pegged buy/sell order will not execute. Pegged order types include: a. Midpoint peg orders: Pegged to the midpoint of then-current NBBO b. Market peg orders: Pegged to the opposite side of the market (buy/sell at then-current national best offer/bid) c. Primary peg orders: Pegged to the near side of the market (buy/sell at then-current national best bid/offer) Pegged orders do not receive a new time stamp if the order price is dynamically adjusted due to a change in NBBO. 3. Market orders: Buy/sell at then-current national best offer/bid, or better. Pursuant to SEC Regulation NMS, for orders priced equal to or greater than $1.00, the ATS will neither accept orders priced in sub-pennies, nor will it accept orders that would explicitly lead to a sub-penny price (e.g., peg to inside bid plus 0.5 cents). However, the ATS will accept orders with a price target that potentially could lead to a sub-penny execution price (e.g., a midpoint peg order in a stock that has a one cent spread). The ATS supports the following order parameters: 1. MinQTY: Represents the minimum contra-side order quantity. All Subscribers may include MinQTY on an order-by-order basis. The ATS does not aggregate orders to meet MinQTY. By default, where leaves quantity is less than MinQTY, MinQTY is reduced to leaves quantity. During or after onboarding, a Subscriber may contact their sales representative to configure their MinQTY orders to cancel the leaves quantity in this scenario. 2. Time-In-Force: a. Immediate or Cancel (IOC) - The order will match with eligible resting contra-side orders and cancel back the balance. b. Day - The order will remain in the book until it is canceled, completely filled, or until the market closes at 4:00 PM. The ATS does not route orders or transmit indications of interest to any destination. Orders will only be accepted (and executed subject to matching conditions), cancelled by the order originator, or expired by the ATS at the end of the trading day. The ATS does not support post-only orders or orders with discretionary price ranges. The ATS will not combine orders or replace orders on an unsolicited basis. The BDO may remove ("bust") certain executions. For example, when the primary exchange makes a determination of clearly erroneous executions or, upon subscriber request and under certain limited circumstances such as when the Subscriber is on both sides of a cross and inadvertently crossed itself in the ATS. See the Error Handling section of Part III, Item 11(c). The ATS establishes order rank and execution priority strictly on a price-time basis. Order types and parameters will influence the price, priority, conditions, time stamp, and other attributes related to an order's potential for execution only inasmuch as the order types and parameters determine the theoretical matching price of an order (where the potential execution price of a buy order is greater than or equal to the lowest potential execution price of a sell order, limited by the NBBO and LULD bands), as described in Part III, Item 11(c).

order_types

For Non Close orders: The ATS supports three order types, each of which is available across all forms of connectivity. Each order type may have a Time-in-Force of Day or Immediate or Cancel (IOC). If an order is not marketable upon entry, it will either cancel immediately (if designated IOC), or rest on the book as a Day order until either executed, cancelled by the Subscriber or expired by the ATS at the end of the trading day. Supported Order Types: 1. Priced limit orders 2. Pegged orders: Limit price is derived dynamically from the current NBBO. Subscribers may include an optional absolute limit price above/below which a pegged buy/sell order will not execute. Pegged order types include: a. Midpoint peg orders: Pegged to the midpoint of then-current NBBO (Note, Midpoint Peg orders have separate matching logic as described in Part III, Item 11(c)) b. Market peg orders: Pegged to the opposite side of the market (buy/sell at then-current national best offer/bid) c. Primary peg orders: Pegged to the near side of the market (buy/sell at then-current national best bid/offer) Pegged orders do not receive a new time stamp if the order price is dynamically adjusted due to a change in NBBO. 3. Market orders: Buy/sell at then-current national best offer/bid, or better. Pursuant to SEC Regulation NMS, for orders priced equal to or greater than $1.00, the ATS will neither accept orders priced in sub-pennies, nor will it accept orders that would explicitly lead to a sub-penny price (e.g., peg to inside bid plus 0.5 cents). However, the ATS will accept orders with a price target that potentially could lead to a sub-penny execution price (e.g., a midpoint peg order in a stock that has a one cent spread). The ATS supports the following order parameters: 1. MinQTY: Represents the minimum contra-side order quantity. All Subscribers may include MinQTY on an order-by-order basis. The ATS does not aggregate orders to meet MinQTY. By default, where leaves quantity is less than MinQTY, MinQTY is reduced to leaves quantity. During or after onboarding, a Subscriber may contact their sales representative to configure their MinQTY orders to cancel the leaves quantity in this scenario. 2. Time-In-Force: a. Immediate or Cancel (IOC) - The order will match with eligible resting contra-side orders and cancel back the balance. b. Day - The order will remain in the book until it is canceled, completely filled, or until the market closes at 4:00 PM. The ATS does not route orders or transmit indications of interest to any destination. Orders will only be accepted (and executed subject to matching conditions), cancelled by the order originator, or expired by the ATS at the end of the trading day. The ATS does not support post-only orders or orders with discretionary price ranges. The ATS will not combine orders or replace orders on an unsolicited basis. The BDO may remove ("bust") certain executions. For example, when the primary exchange makes a determination of clearly erroneous executions or, upon subscriber request and under certain limited circumstances such as when the Subscriber is on both sides of a cross and inadvertently crossed itself in the ATS. See the Error Handling section of Part III, Item 11(c). The ATS establishes order rank and execution priority strictly on a price-time basis. Order types and parameters will influence the price, priority, conditions, time stamp, and other attributes related to an order's potential for execution only inasmuch as the order types and parameters determine the theoretical matching price of an order (where the potential execution price of a buy order is greater than or equal to the lowest potential execution price of a sell order, limited by the NBBO and LULD bands), as described in Part III, Item 11(c). Other procedures governing trading; Short Sales: Stocks subject to the Reg SHO Rule 201 short sale restriction will trade in the ATS only at a price greater than the current national best bid, unless an exception applies. Short sale orders, except those exempted under Reg SHO Rule 203, must be accompanied by a Locate Broker ID. For Close Orders: The ATS supports a Close order type ("Close order(s)"). The ATS supports Buy, Long Sales and Short Sale Close order types. Close orders will be matched after market closing at the closing price of the respective stock's primary market center closing price. Only Market Close orders are supported. Close orders with peg instructions are not supported and will be rejected. For Short Sale Close orders, in the event a Short Sale order is received in a stock subject to Reg SHO Rule 201(b) at the time of order entry, the Short Sale order will be rejected, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after order entry but before the match event time as described in Part III Item 11(c), Short Sale order(s) will be rejected to the sender(s) at the time of the match event, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after the match event time as described in Part III Item 11(c), but before the official market center close, the ATS will not conduct a close match in that stock and will reject all open orders, Buy, Long Sale, and Short Sale back to the sender(s). Close orders with a Min Qty instruction are not supported and will be rejected. Only a Day time in force is supported. Close orders will be matched in time/size priority. Close order modifications and cancellations are supported until match event time as described in Part III item 11(c). For the purposes of time priority calculation, an order modification to a larger order quantity will reset order time to time of modification; an order modification to a smaller order quantity will maintain the original order time. Additionally, system outages may result in order cancellation. Close orders are available across all forms of connectivity to all ATS participants. The ATS does not route any orders, Close order or non Close order, to other trading centers.

means_of_entry

Liquidity Partners may enter orders directly into the ATS via the FIX 4.2 protocol. External Subscribers directing orders to the ATS via the BDO's Direct Market Access ("DMA") platform may not directly enter orders into the ATS but may enter orders into the DMA platform via a separate FIX 4.2 session. In such case the External Subscriber will submit the order into the DMA platform utilizing a distinct FIX session and then the DMA platform will connect to and enter the order into the ATS via a separate FIX session. Proprietary protocols are not available.

pricing_methodology

The ATS uses direct exchange feeds as its primary source of NBBO for all protected quotes on NMS stock exchanges and for regulatory status. The ATS utilizes this market data to price orders, establish order priority on the book, and execute orders in compliance with applicable rules and regulations (e.g. Reg SHO, Reg NMS). The ATS Matching Algorithm also uses market data to evaluate and process various exceptions as described in Part III, Item 11(c). In the event of a disruption in the direct exchange feeds, or where a particular NMS exchange does not offer direct feeds, the ATS uses the Securities Information Processor (SIP) feeds as a secondary source of market data.

pricing_methodology

The ATS uses direct exchange feeds as its primary source of NBBO for all protected quotes on NMS stock exchanges and for regulatory status. The ATS utilizes this market data to price orders, establish order priority on the book, and execute orders in compliance with applicable rules and regulations (e.g. Reg SHO, Reg NMS). The ATS Matching Algorithm also uses market data to evaluate and process various exceptions as described in Part III, Item 11(c). In the event of a disruption in the direct exchange feeds, the ATS uses the Securities Information Processor (SIP) feeds as a secondary source of market data.

pricing_methodology

The ATS uses direct exchange feeds as its primary source of NBBO for all protected quotes on NMS stock exchanges and for regulatory status and for Close order functionality. The ATS utilizes this market data to price orders, establish order priority on the book, and execute orders in compliance with applicable rules and regulations (e.g. Reg SHO, Reg NMS). The ATS Matching Algorithm also uses market data to evaluate and process various exceptions as described in Part III, Item 11(c). In the event of a disruption in the direct exchange feeds, or where a particular NMS exchange does not offer direct feeds, the ATS uses the Securities Information Processor (SIP) feeds as a secondary source of market data.

counterparty_selection

Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13). For Close orders: all Subscribers may opt out of interacting with counterparty type 1. For Mid Point Peg orders: Subscribers may only opt out of interacting with counterparty type 1. For non Close non Midpoint Peg orders: orders: all Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment subject to Dynamic Recategorization of orders described below (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). Additionally, the ATS offers a self-cross prevention feature that is designed to prevent a Subscriber from matching against its own orders. By default, self-cross prevention will be enabled for external broker-dealer Subscribers based on their respective market participant identification codes ("MPID"). In addition, other Subscribers can enable self-cross prevention on a voluntary basis. For all order types: Subscribers may request to opt out of counterparty interactions and/or enable self-cross prevention on a voluntary basis by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt out settings for all subsequent ATS orders, typically effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13. Dynamic recategorization: The ATS will apply Dynamic recategorization to all eligible NMS stocks as described in Part III Item 11(a). For non Close, non Midpoint Peg and Non Trajectory cross orders, Cortex ATS applies a dynamic recategorization model for orders from Subscribers assigned to counterparty groups 4 or 5. For the purposes of counterparty opt out as described in Part III Item 14, orders from Subscribers assigned to Category 4 and 5 will have the category assigned to orders entered by the Subscriber dynamically recategorized to category 3 after the respective order persists in the order book for 5 milliseconds. (For example, Subscriber X is assigned to counterparty group 5. Subscriber X sends an order to the ATS, upon entering the order book the order is assigned to counterparty group 5, any contra side order that is Opting Out of interacting with counterparty group 5 will not execute against the order from Subscriber X. After 5 milliseconds, the order from Subscriber X will be recategorized to group 3, at that point this existing order will be considered a group 3 order until execution, cancellation or amend. In this example, an order that initially was opted out of crossing with another order, may cross against that order after the recategorization is applied.) This recategorization only applies to individual orders and each order from any given Subscribers has the recategorization applied independently of other orders. The 5 millisecond timer begins at the time the order enters the ATS order book. A cancel/replace or amend of an existing order will reset the 5 millisecond timer. A partial execution of an order will not reset the 5 millisecond timer.

counterparty_selection

Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13). For Close orders: all Subscribers may opt out of interacting with counterparty type 1. For non CLose orders: all Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). Additionally, the ATS offers a self-cross prevention feature that is designed to prevent a Subscriber from matching against its own orders. By default, self-cross prevention will be enabled for external broker-dealer Subscribers based on their respective market participant identification codes ("MPID"). In addition, other Subscribers can enable self-cross prevention on a voluntary basis. Subscribers may request to opt out of counterparty interactions and/or enable self-cross prevention on a voluntary basis by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt out settings for all subsequent ATS orders, typically effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13.

counterparty_selection

Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13). For Close orders: all Subscribers may opt out of interacting with counterparty type 1. For Mid Point Peg orders: Subscribers may only opt out of interacting with counterparty type 1. For non Close non Midpoint Peg orders: orders: all Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment subject to Dynamic Recategorization of orders described below (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). Additionally, the ATS offers a self-cross prevention feature that is designed to prevent a Subscriber from matching against its own orders. By default, self-cross prevention will be enabled for external broker-dealer Subscribers based on their respective market participant identification codes ("MPID"). In addition, other Subscribers can enable self-cross prevention on a voluntary basis. For all order types: Subscribers may request to opt out of counterparty interactions and/or enable self-cross prevention on a voluntary basis by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt out settings for all subsequent ATS orders, typically effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13. Dynamic recategorization: (ATS is applying Dynamic recategorization for the following 11 symbols (XOM, PG, SCHW, PLD, AMZN, SPY, AAPL, QQQ, SNOW, DVN, DISH) through November 1, 2024. The ATS will apply Dynamic recategorization to all eligible NMS stocks as described in Part III Item 11(a) as of November 4, 2024.) For non Close, non Midpoint Peg and Non Trajectory cross orders, Cortex ATS applies a dynamic recategorization model for orders from Subscribers assigned to counterparty groups 4 or 5. For the purposes of counterparty opt out as described in Part III Item 14, orders from Subscribers assigned to Category 4 and 5 will have the category assigned to orders entered by the Subscriber dynamically recategorized to category 3 after the respective order persists in the order book for 5 milliseconds. (For example, Subscriber X is assigned to counterparty group 5. Subscriber X sends an order to the ATS, upon entering the order book the order is assigned to counterparty group 5, any contra side order that is Opting Out of interacting with counterparty group 5 will not execute against the order from Subscriber X. After 5 milliseconds, the order from Subscriber X will be recategorized to group 3, at that point this existing order will be considered a group 3 order until execution, cancellation or amend. In this example, an order that initially was opted out of crossing with another order, may cross against that order after the recategorization is applied.) This recategorization only applies to individual orders and each order from any given Subscribers has the recategorization applied independently of other orders. The 5 millisecond timer begins at the time the order enters the ATS order book. A cancel/replace or amend of an existing order will reset the 5 millisecond timer. A partial execution of an order will not reset the 5 millisecond timer.

counterparty_selection

Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13). For Close orders: all Subscribers may opt out of interacting with counterparty type 1. For Mid Point Peg orders: Subscribers may only opt out of interacting with counterparty type 1. For non Close non Midpoint Peg orders: orders: all Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment subject to DYnamic Recategorization of orders described below (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). Additionally, the ATS offers a self-cross prevention feature that is designed to prevent a Subscriber from matching against its own orders. By default, self-cross prevention will be enabled for external broker-dealer Subscribers based on their respective market participant identification codes ("MPID"). In addition, other Subscribers can enable self-cross prevention on a voluntary basis. For all order types: Subscribers may request to opt out of counterparty interactions and/or enable self-cross prevention on a voluntary basis by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt out settings for all subsequent ATS orders, typically effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13. Dynamic recategorization: For non Close, non Midpoint Peg and Non Trajectory cross orders, Cortex ATS applies a dynamic recategorization model for orders from Subscribers assigned to counterparty groups 4 or 5. For the purposes of counterparty opt out as described in Part III Item 14, orders from Subscribers assigned to Category 4 and 5 will have the category assigned to orders entered by the Subscriber dynamically recategorized to category 3 after the respective order persists in the order book for 5 milliseconds. (For example, Subscriber X is assigned to counterparty group 5. Subscriber X sends an order to the ATS, upon entering the order book the order is assigned to counterparty group 5, any contra side order that is Opting Out of interacting with counterparty group 5 will not execute against the order from Subscriber X. After 5 milliseconds, the order from Subscriber X will be recategorized to group 3, at that point this existing order will be considered a group 3 order until execution, cancellation or amend. In this example, an order that initally was opted out of crossing with another order, may cross against that order after the recategorization is applied.) This recategorization only applies to individual orders and each order from any given SUbscribers has the recategorization applied independently of other orders. The 5 millisecond timer begins at the time the order enters the ATS order book. A cancel/replace or amend of an existing order will reset the 5 millisecond timer. A partial execution of an order will not reset the 5 millisecond timer.

counterparty_selection

Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13). For Close orders: all Subscribers may opt out of interacting with counterparty type 1. For non Close non Midpoint Peg orders: all Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment subject to Dynamic Recategorization of orders described below (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). For Mid Point Peg Orders: Subscribers may opt out of interacting with counterparty type 1. Additionally, subscribers may choose to have their non-close, non-midpoint peg opt out configurations, as described above, apply to their midpoint peg orders. By default, subscribers non-midpoint peg, non-close opt out choice will not apply to midpoint peg orders. Additionally, the ATS offers a self-cross prevention feature that is designed to prevent a Subscriber from matching against its own orders. By default, self-cross prevention will be enabled for external broker-dealer Subscribers based on their respective market participant identification codes ("MPID"). In addition, other Subscribers can enable self-cross prevention on a voluntary basis. For all order types: Subscribers may request to opt out of counterparty interactions and/or enable self-cross prevention on a voluntary basis by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt out settings for all subsequent ATS orders, typically effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13. Dynamic recategorization: The ATS will apply Dynamic recategorization to all eligible NMS stocks as described in Part III Item 11(a). For non Close, non Midpoint Peg and Non Trajectory cross orders, Cortex ATS applies a dynamic recategorization model for orders from Subscribers assigned to counterparty groups 4 or 5. For the purposes of counterparty opt out as described in Part III Item 14, orders from Subscribers assigned to Category 4 and 5 will have the category assigned to orders entered by the Subscriber dynamically recategorized to category 3 after the respective order persists in the order book for 5 milliseconds. (For example, Subscriber X is assigned to counterparty group 5. Subscriber X sends an order to the ATS, upon entering the order book the order is assigned to counterparty group 5, any contra side order that is Opting Out of interacting with counterparty group 5 will not execute against the order from Subscriber X. After 5 milliseconds, the order from Subscriber X will be recategorized to group 3, at that point this existing order will be considered a group 3 order until execution, cancellation or amend. In this example, an order that initially was opted out of crossing with another order, may cross against that order after the recategorization is applied.) This recategorization only applies to individual orders and each order from any given Subscribers has the recategorization applied independently of other orders. The 5 millisecond timer begins at the time the order enters the ATS order book. A cancel/replace or amend of an existing order will reset the 5 millisecond timer. A partial execution of an order will not reset the 5 millisecond timer.

counterparty_selection

Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13). All Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). Additionally, the ATS offers a self-cross prevention feature that is designed to prevent a SUbscriber from matching against its own orders. By default, self-cross prevention will be enabled for external broker-dealer Subscribers based on their respective market participant identification codes ("MPID"). In addition, other Subscribers can enable self-cross prevention on a voluntary basis. Subscribers may request to opt out of counterparty interactions and/or enable self-cross prevention on a voluntary basis by contacting their assigned BDO high touch or low touch equtiies sales trader during onboarding or at any other time. A member of the CLient Onboarding team will configure the opt out settings for all subsequent ATS orders, typically effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13.

counterparty_selection

Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13). All Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). Additionally, the ATS offers a self-cross prevention feature that is designed to prevent a Subscriber from matching against its own orders. By default, self-cross prevention will be enabled for external broker-dealer Subscribers based on their respective market participant identification codes ("MPID"). In addition, other Subscribers can enable self-cross prevention on a voluntary basis. Subscribers may request to opt out of counterparty interactions and/or enable self-cross prevention on a voluntary basis by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt out settings for all subsequent ATS orders, typically effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13.

counterparty_selection

Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13). All Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). Additionally, Subscribers can enable self-cross prevention, which blocks a Subscriber from matching against its own orders. Subscribers may request to opt out of counterparty interactions by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt-out settings for all subsequent ATS orders, typically effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13.

financial_condition_summary

Transaction fees for orders directed to the ATS from Liquidity Partners is 10 cents per 100 shares. Transaction fees for orders directed to the ATS from Subscribers who are not Liquidity Partners range from 0 to 10 cents per 100 shares. Variables that may impact Subscriber fees include quantitative and qualitative factors such as expected and historical volume of trading, trading style (e.g. aggressive vs. passive orders; IOC vs. Day orders) and the overall business relationship of the Subscriber with the BDO and/or its Affiliates. Factors relating to the overall business relationship of the Subscriber with the BDO and/or its Affiliates that may impact fees include, but are not limited to, the number of strategy customizations and the anticipated level of support services required in addition to ATS services.

financial_condition_summary

Transaction fees for orders directed to the ATS from Liquidity Partners is 5 cents per 100 shares for Near Peg order type, all other order types are priced at 10 cents per 100 shares. Transaction fees for orders directed to the ATS from Subscribers who are not Liquidity Partners range from 0 to 10 cents per 100 shares. Variables that may impact Subscriber fees include quantitative and qualitative factors such as expected and historical volume of trading, trading style (e.g. aggressive vs. passive orders; IOC vs. Day orders) and the overall business relationship of the Subscriber with the BDO and/or its Affiliates. Factors relating to the overall business relationship of the Subscriber with the BDO and/or its Affiliates that may impact fees include, but are not limited to, the number of strategy customizations and the anticipated level of support services required in addition to ATS services.

financial_condition_summary

Transaction fees for orders directed to the ATS from Liquidity Partners is 3 cents per 100 shares for close orders, all other order types are priced at 10 cents per 100 shares. Transaction fees for orders directed to the ATS from Subscribers who are not Liquidity Partners range from 0 to 10 cents per 100 shares. Variables that may impact Subscriber fees include quantitative and qualitative factors such as expected and historical volume of trading, trading style (e.g. aggressive vs. passive orders; IOC vs. Day orders) and the overall business relationship of the Subscriber with the BDO and/or its Affiliates. Factors relating to the overall business relationship of the Subscriber with the BDO and/or its Affiliates that may impact fees include, but are not limited to, the number of strategy customizations and the anticipated level of support services required in addition to ATS services.

financial_condition_summary

Transaction fees for orders directed to the ATS from Liquidity Partners is 3 cents per 100 shares for close orders, all other order types are priced at 10 cents per 100 shares. Transaction fees for orders directed to the ATS from Subscribers who are not Liquidity Partners range from 0 to 10 cents per 100 shares. Variables that may impact Subscriber fees include quantitative and qualitative factors such as expected and historical volume of trading, trading style (e.g. aggressive vs. passive orders; IOC vs. Day orders) and the overall business relationship of the Subscriber with the BDO and/or its Affiliates. Factors relating to the overall business relationship of the Subscriber with the BDO and/or its Affiliates that may impact fees include, but are not limited to, the number of strategy customizations and the anticipated level of support services required in addition to ATS services. For the purposes of FINRA Rule 6897 (Consolidated Audit Trail Funding Fees); the Cortex ATS is identified as the CAT Executing Broker for both the buyer and the seller on all trades. The BDO will pass assessed CAT fees on to direct Subscribers. The BDO may or may not pass on assessed CAT fees to indirect subscribers depending on commission agreement between the indirect subscriber and BDO. Variables that may impact Subscriber fees include quantitative and qualitative factors mentioned previously.

conflict_description

BNP Paribas Securities Corp (the "BDO") is the operator of the BNPP Cortex ATS, an NMS Stock ATS. The BDO's MPID is BNPS and the BNPP Cortex ATS's MPID is BNPX. Affiliates of the BDO located in Europe, North and South America, and the Asia Pacific region are institutional accounts, as that term is defined under FINRA Rule 4512(c), and some of the entities are foreign broker-dealers. The affiliates will be able to enter and/or direct order to the ATS for execution through the BDO. When executing affiliate orders in the ATS, the ATS and the BDO will be acting in an agency capacity. The affiliates of the BDO could enter and/or direct orders to the ATS in an agency and/or principal capacity.

conflict_description

BNP Paribas Securities Corp (the "BDO") is the operator of the BNPP Cortex ATS, an NMS Stock ATS. The BDO's MPID is BNPS and the BNPP Cortex ATS's MPID is BNPX. Affiliates of the BDO include the following: BNPP Financial Markets, BNPP Financial Markets Paris, BNP Cardif, BNP Paribas, BNP Paribas (BNPP GPM), BNP Paribas Asset Mgmt France, BNPP Paribas Asset Mgmt Luxembourg, BNP Paribas Fortis, BNP Paribas London, BNP Paribas Securities Corp, BNP Paribas Securities Services, BNP Paribas USA, Inc, BNP Wealth Mgmt Hong Kong, BNP Wealth Mgmt Singapore and BNP Wealth Mgmt Taiwan are institutional accounts, as that term is defined under FINRA Rule 4512(c), and some of the entities are foreign broker-dealers. The affiliates will be able to enter and/or direct order to the ATS for execution through the BDO. When executing affiliate orders in the ATS, the ATS and the BDO will be acting in an agency capacity. The affiliates of the BDO could enter and/or direct orders to the ATS in an agency and/or principal capacity.

compliance_officer

The BDO complies with REG ATS Rule 301(b)(10) by implementing written safeguards and procedures to protect Subscribers' confidential trading information. These safeguards and procedures include restricting access to systems, or to certain application entitlements, to employees with a strict "need to know" with respect to confidential trading information, and implementing controls for shared employees of the ATS trading for their own or the BDO's accounts. The BDO also has oversight procedures to ensure that these safeguards and procedures are followed. In addition, the BDO complies with Rule 303(a)(1)(v) by preserving a copy of a written procedure that refers to safeguards and procedures to protect Subscribers' data, including the written procedures for overseeing those safeguards. The BDO's ATS resides on dedicated application servers under a common datacenter shared across the BDO's U.S. Equities Execution Platform. Access to the production application servers is managed via a third party Endpoint Privilege Management System ("EPMS"). The EPMS was implemented by the BDO to protect privileged accounts, prevent and control breaches, and achieve compliance on UNIX and Linux systems within the BDO's environment. The BNPP Cortex ATS utilizes databases to record order and transaction information. Access to the databases that contain Subscriber confidential trading information is restricted, for "write" and "update" privileges, to production accounts only. Access of the Application Support and Development teams to the databases is restricted to "read only." A very limited number of employees of the BDO and Affiliates of the BDO have access to systems, or to certain application entitlements, containing confidential trading information in the ATS. As described in Part II, Item 6(a), certain shared employees have access to confidential trading information in the ATS to fulfill such functions in support of the ATS. A very limited number of Business and Production Support employees are granted access to an administrative interface with a view into confidential trading information in the ATS. Access to the interface is requested via a standardized proprietary approval workflow tool, and limited by the ATS Working Group via assignment of employees to a predefined set of user profiles, based on the employee's role. Access privileges follow the BDO's "need to know" and "least privilege" principles. Low Touch Sales and Trading employees (as defined under Part II, Item 6(a)) utilize this interface for client coverage purposes, which allows them to view real-time subscriber order and trade information, cancel client orders, and perform other business related support functions. Client coverage employees do not have "modify" access to the interface -- such privilege is limited to employees in ATS support roles described in Part III, Item 6(a). No other shared employees (as described in Part II, item 6a), have access to the interface data. A periodic report on user access privileges to the ATS administrative interface is system generated and auto-distributed to appropriate employees for review and challenge. In addition to access controls specific to the ATS, the BDO's Chief Information Security Office has developed an Identity and Access Governance framework, which included a bank-wide end-user access recertification framework including enterprise-wide tools that certify critical BNP Paribas applications and infrastructure data. The BDO considers the following to be "confidential trading information" of the ATS: The identity of Subscribers, their data on the Order Book, attributable Subscriber execution data (with the exception of post-execution transaction information typically of the type made public under reporting rules or regulations and quarterly aggregated execution data published on the BDO's ATS website and referenced in Part III, Item 26), the identity of a Subscriber's counterparty type, and any settings that control a Subscriber's interaction with other counterparty types. Restrictions on access to confidential trading information in the ATS are maintained by enforcement of the policies and procedures described below: a. BNP Paribas Information Security Policies and Procedures: "Americas Information Flow Policy", "CUSO IHC Information Security Policy", "CUSO IHC Code of Conduct and Ethics", "BNP Paribas Group Global Code of Conduct", and "Global Markets Written Supervisory Procedures." b. A written procedure for implementing safeguards and procedures to protect Subscribers' confidential trading information in the ATS, which references the safeguards and procedures below. Specifically, the BDO maintains and enforces written supervisory procedures and/or controls that are designed to limit access to confidential trading information of Subscribers to those BDO employees who are operating the ATS and/or responsible for its compliance with applicable securities laws, rules, and/or regulations. These procedures and/or controls include restricting access to systems, or to certain application entitlements, to employees on a strict "need to know" basis, regarding confidential trading information. These measures also include the implementation of controls for shared employees of the ATS that perform other BDO functions, that are designed to prevent the potential unauthorized disclosure of ATS order and/or transaction information, in particular to employees that trade for clients and/or BDO principal accounts. c. An Information Barriers Policy based on the "need to know" principle. The policy states that a "need to know" is limited to, among other conditions, information required by the recipient to participate in, and contribute to, a given transaction applicable to the employees of the BDO and its Affiliates generally. The "need to know" basis for access to confidential ATS Subscriber information by Shared employees of the BDO, including their respective roles and responsibilities are described in Part II, Item 6(a). d. A policy outlining principles for physical and technological segregation based on the "need to know" principle applicable to the employees of the BDO and its Affiliates. e. A Personal Account Dealing Policy restricting employees from transacting when in possession of material non-public Price Sensitive Information applicable to the employees of the BDO and its Affiliates generally. The Personal Account Dealing Policy establishes the minimum global standards for the controls and restrictions over personal investment and trading Activity ("Personal Account Dealing"). BNP Paribas staff, including shared employees of the BDO, or its Affiliates (as described in Part II, Item 6a) are required to disclose to Compliance all accounts with the ability to hold or transact in financial instruments of any kind. The mandatory disclosure applies to accounts in the name of the member of staff or for his/her benefit, accounts for which the member of staff has power to enter trades or exercise discretion. Staff members are required to make such account disclosures via the PAD system. All accounts must be disclosed prior to requesting approval to trade, and new employees are required to disclose accounts within 30 days of joining the BDO. Typically, employee personal trading accounts are required to be held with a designated broker, to allow the BDO to conduct ongoing monitoring of employee trading activity. Oversight procedures designed to ensure that the above written safeguards and procedures are followed are: a. Personal Account Dealing Compliance Procedures related to employee trading, which require employees to obtain pre-approval for personal trading, adhere to holding periods, make attestations prior to executing a personal trade regarding possession of material non-public information, and adhere to the BDO's restricted securities list applicable to the employees of the BDO and its Affiliates. b. Procedures for managers and administrators to oversee user access to IT applications (including assigning, withdrawing, administering and recertifying access), based on the principles of least privilege (i.e., a user should have only those access rights minimally necessary to perform authorized tasks) and segregation of functions (i.e., a single user should never have access rights that allow for the execution of incompatible tasks) applicable to the employees of the BDO and its Affiliates generally. Thus, a new employee assigned exclusively to one of the BDO's High Touch trading desks would be denied access to databases and systems, or denied entitlements to applications, with confidential ATS trading data. Also, a shared employee of the ATS with access to confidential trading information who then leaves the BDO or changes roles within the BDO where the new role lacks a "need to know" with respect to confidential trading information on the ATS, would have their access to databases and applications with confidential ATS trading information revoked. c. Reviews by the ATS Working Group of users with access to the confidential trading information of Subscribers to the ATS. In these reviews, the ATS Working Group confirms the relevant applications and data sources that supply Subscriber confidential trading information, and reviews and validates the list of users of those data sources who are entitled to view confidential trading information of the ATS.

hours_of_operation

The ATS will begin to accept orders at 8:00 AM Eastern Time. Matching occurs from 9:30 AM up to 4:00 PM Eastern Time. The ATS will not match orders in a symbol until it is open on its primary exchange. The ATS follows the holiday calendar of the New York Stock Exchange. Additionally, as described in Part III Item 7(a) and Part III item 11(c) the ATS will reject Close orders entered after cutoff time. Close Orders will be executed after 4:00 p.m. (or market close on shortened days) immediately after the security's official closing price is known or disseminated by the primary listing exchange.

hours_of_operation

The ATS will begin to accept orders at 8:00 AM Eastern Time. Matching occurs from 9:30 AM up to 4:00 PM Eastern Time. The ATS will not match orders in a symbol until it is open on its primary exchange. The ATS follows the holiday calendar of the New York Stock Exchange.

display_best_quotes

The ATS does not display order price or order volume data of specific Subscriber orders to any Person. However, the ATS provides anonymized, non-attributable, aggregated volume on each side of the market by symbol internally to the BDO's smart order routers. The aggregated data is limited to the total quantity available on each side of the market in the ATS Order Book, per symbol, at and between the midpoint and NBBO. Only the BDO's smart order routers ("SORs") can receive the continuous data. Outside of the SORs, this aggregated data is not shared anywhere else, either internally or externally. To the extent an order is routed through the SORs, such SORs will have order information regarding orders that they have routed to the ATS.

display_best_quotes

The ATS does not display order price or order volume data of specific Subscriber orders to any Person. However, the ATS provides anonymized, non-attributable, aggregated volume at the midpoint and on each side of the market by symbol internally to the BDO's smart order routers. The aggregated data is limited to the total quantity available at the midpoint and on each side of the market in the ATS Order Book, per symbol, at and between the midpoint and NBBO. Only the BDO's smart order routers ("SORs") can receive the continuous data. Outside of the SORs, this aggregated data is not shared anywhere else, either internally or externally. To the extent an order is routed through the SORs, such SORs will have order information regarding orders that they have routed to the ATS.

execution_services

Prior to the open: As described in Part III, Item 4(a), the ATS will begin to accept Day orders at 8:00 AM Eastern Time, but will not match or execute orders in a symbol until the symbol is open on its primary exchange. When a symbol is open on its primary exchange, the ATS will rank priority on the ATS Order Book (defined in Part III, Item 11(c)) first by price and then by time. The ATS Matching Algorithm will then begin to match and execute orders as described in Part III, Item 11(c). Prior to a reopening: When trading in a symbol is halted during the trading day, the ATS Matching Algorithm will cease to match orders in the symbol. All pending orders will remain in the Order Book unless cancelled by the order originator. During the halt, the ATS will continue to accept orders and queue them in the Order Book. Upon the symbol's reopening on its primary exchange, the ATS will rank priority on the ATS Order Book first by price, and then by time. The ATS matching algorithm will then begin to match and execute orders as described in Part III, Item 11(c).