PureStream

amendment_reason

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.

amendment_reason

PureStream, LLC is filing this Material Amendment to amend its responses to (i) Part III, Item 5 (Means of Entry) to include additional information about how orders are entered onto the ATS, including orders with counter-party limiting instructions, to be consistent with the amendment to Part III, Item 14, described herein; (ii) Part III, Item 11 (Trading Services, Facilities and Rules) to make the disclosure consistent with the amendment to Part III, Item 14, described herein; Part III Item 14 (Counter-Party Selection) to include a new counter-party selection functionality (Liquidity Maker Sub-Pool); and (iv) Item III, Part 19 (Fees) to describe pricing models applicable to the Liquidity Maker Sub-Pool functionality. These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

The Material Amendment to SEC Accession No. 0001798802-22-000012 includes multiple amendments. This material amendment: (1) Introduces a new PURE ATS Order Type called Reference-on-Close. This amendment primarily makes changes to Part III, Items 7 and 11. Given the complexity of introducing a new Order Type with different attributes than pre-existing Order Types on the ATS, in addition to the description of the new Order Type, this amendment also reorganizes and modifies multiple descriptions and terms in Part III, Items 7 and 11, to provide informative context regarding the functionality of the new Order Type and to achieve consistency across the Form ATS-N for all Order Types. This amendment also includes changes in Part III, Items 10 and 21 for consistency of terminology across this Form ATS-N. (2) Modifies the prioritization logic for Order Types so that the first term in intra-order type priority ranking is maximum LTR. This amendment makes changes to Part III, Items 7 and 11. (3) Modifies the application of the minimum streaming quantity functionality to allow the functionality to be applied using a volume-based tiering methodology. This amendment makes changes to Part III, Item 7. (4) Allows for PURE ATS to accept and execute Liquidity Seeking short sell orders with LTRs set at 501% or above that can be executed at a price compliant with Reg SHO Rule 201. This amendment makes changes to Part III, Item 11 and for consistency, to Part III, Item 20. (5) Allows for fee schedules for per-share fee rates to be individually negotiated between Subscribers and PURE based on different variables. This amendment makes changes to Part III, Item 19. Amendments (1) through (4) above 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 5 applies to all Subscribers and the broker-dealer operator.

amendment_reason

PureStream, LLC is filing this Material Amendment to include: (i) A new maximum LTR applicable to LS orders (3,000%). This change is in Part III, Item 7 (Order Types and Attributes) with a conforming change in Part III, Item 11 (Trading Services, Facilities and Rules); and (ii) The introduction of a new customization feature around self-matching. With this customization, in addition to self-match prevention, Subscribers will also be able to elect to have its orders match only with other orders it has sent to the ATS (self-match only). This change is in Part III, Item 14 (Counter-Party Selection) with a conforming change in Part III, Item 11 (Trading Services, Facilities and Rules). These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

This Updating Amendment changes PureStream's response to Part II, Item 6 to reflect that PureStream supports its publication of aggregated platform data, and that a service provider provides infrastructure and support services concerning trading outside of regular trading hours on the ATS. This amendment applies to all Subscribers and the broker-dealer operator.

amendment_reason

PureStream, LLC is filing this Correcting Amendment to amend its response to Part II, Item 6 (Activities of Service Providers) to disclose its outsourced Financial and Operations Principal; and Part II, Item 7 (Protection of Confidential Trading Information) to make disclosures concerning personnel engaged on a contractor basis or via third-party service providers to assist with the ATS operation or its compliance with applicable rules, with access to Subscriber Confidential Information. These changes apply to the Broker-Dealer Operator and all Subscribers insofar as the changes relate to Subscriber Confidential Information.

amendment_reason

PureStream, LLC is filing this Updating Amendment to its Material Amendment filed on August 6, 2025, to include: (i) a new maximum LTR applicable to LS orders (3,000%). This change is in Part III, Item 7 (Order Types and Attributes) with conforming changes in Part III, Item 11 (Trading Services, Facilities and Rules); and (ii) the introduction of a new customization feature around self-matching. With this customization, in addition to self-match prevention, Subscribers will also be able to elect to have its orders match only with other orders it has sent to the ATS (self-match only). This change is in Part III, Item 14 (Counter-Party Selection) with conforming changes in Part III, Item 11 (Trading Services, Facilities and Rules). These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Updating Amendment to the Material Amendment filed on June 6, 2024 to: (1) Amend its responses to Part II, Items 7(b) and 7(c) (Protection of Confidential Information) to reflect that PURE, at the request and direction of subscribers only, will send a subscriber's order and trade information to a subscriber's third-party service provider. (2) Amend its responses to Part II, Item 6(b) and Part II, Items 7(a) and 7(d) to reflect that S3, via an outsourcing relationship with Nasdaq Ocean, will perform trade reporting services on the ATS's behalf. These changes apply to the Broker-Dealer Operator and all Subscribers.

amendment_reason

PureStream, LLC submits this Updating Amendment to the Material Amendment filed on August 4, 2022 (SEC Accession No. 0001798802-22-000010). This Updating Amendment includes amendments to Part III, Item 7 (Order Types and Attributes) and Item 11 (Trading Services, Facilities and Rules), to reflect and explain updated logic and settings for the firm's implementation of a minimum stream quantity logic for generating stream child fills on the ATS; and Part III, Item 21 (Trade Reporting) to indicate how the ATS reports transactions, including child fills subject to the minimum stream quantity logic. These amendments apply to all Subscribers but not the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the ATS.

amendment_reason

PureStream, LLC is filing this material amendment to: (i) change the ATS's Intra-Order Type Prioritization so that subcustomer self-matching is the first priority consideration; (ii) add an All-Day VWAP benchmark (or peg) order instruction, including an offset value, for Subscriber use; and (iii) introduce a time-based trigger for executions in streaming matches called a maximum fill interval (the maximum allowable time period between two fills in a stream). These amendments, as well as associated conforming edits to the Form ATS-N for consistency and organizational purposes, are made to Part III, Items 7 and 11. These amendments apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

This Correcting Amendment changes the response to Part III, Item 9 (Conditional Orders and Indications of Interest) to reflect that Subscribers must respond to conditional order firm-up requests within two seconds. This amendment applies to all Subscribers but does not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Updating Amendment to change the single use of the term "Confidential Subscriber Information" in its Form ATS-N to "Subscriber Confidential Information" for consistency. This amendment is to Part II, Item 7 (Protection of Confidential Trading Information). These changes apply to the Broker-Dealer Operator and all Subscribers insofar as the changes relate to Subscriber Confidential Information.

amendment_reason

PureStream, LLC is filing this Correcting Amendment to amend its responses to: Part II, Item 6 (Activities of Service Providers), Part III, Item 7 (Order Types and Attributes), Part III, Item 10 (Opening and Reopening), and Part III, Item 20 (Suspension of Trading), to describe suspension of trading activities on the ATS; and Part III, Item 7 (Order Types and Attributes) with respect to how order modifications impact order timestamps for prioritization purposes. These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

This Updating Amendment changes PureStream's response in Part III, Item 26 to reflect that platform-wide statistics of the PureStream ATS are now available on PureStream's website. This amendment applies to all Subscribers and the broker-dealer operator.

amendment_reason

PureStream, LLC submits this Updating Amendment to the Material Amendment filed on April 20, 2022 (SEC Accession No. 0001798802-22-000006), which changed the responses to Part III, Item 7 (Order Types and Attributes), Item 10 (Opening and Reopening), and Item 11 (Trading Services, Facilities and Rules), to reflect the introduction of peg order instruction functionality on the ATS; and Part III, Item 19 (Fees) to include a description of a Subscription Fee Model for the ATS. These amendments apply to all Subscribers but not the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the ATS.

amendment_reason

PureStream, LLC submits this Updating Amendment to the Material Amendment filed on April 3, 2023 (SEC Accession No. 0001798802-23-000006). This Updating Amendment: (1) amends the responses in Part III, Items 4, 7, 10, 11, and 18 to reflect changes to the ATS's trading rules outside of regular trading hours, including with respect to the interaction of Order Types during that period; (2) amends Part III, Item 7, to modify the functionality of the ATS's MSQ in limited circumstances; and (3) amends Part III, Item 11 to add a description of the maximum executable quantity ("MaxEQ") function. These amendments 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_reason

This Updating Amendment changes the response to Part III, Item 7 (Order Types and Attributes) to delete the implementation timeline for the PURE ATS minimum stream quantity function, as the functionality is now active and operational on the ATS. This amendment applies to all Subscribers but not the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the ATS.

amendment_reason

This Updating Amendment changes PureStream LLC's responses as follows: Part III, Item 7: to supplement the disclosure with respect to the interaction of IOC and SOK orders with conditional orders; Part III, Item 14: to (i) update the name and supplement the description of the functionality formerly referred to as Human Matched Machine Processed and (ii) to supplement the disclosure with respect to the interaction of IOC and SOK orders with conditional orders; and Part III, Items 5, 11, and 19: to apply consistent terminology across this Form ATS-N. These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

This Updating Amendment revises the response to Part III, Item 7.a. (Order Types and Attributes) to reflect an updated default minimum LTR for LS orders, and the response to Part III, Item 14.a. (Counter-Party Selection) to reflect that Subscribers can now also apply self-match prevention at a customer level. These amendments apply to all Subscribers but not the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the ATS.

amendment_reason

PureStream, LLC is filing this Correcting Amendment to amend its responses to: Part III, Item 7 (Order Types and Attributes); Part III, Item 9 (Conditional Orders and Indications of Interest); and Part III, Item 11 (Trading Services, Facilities and Rules), to describe the interaction between firm orders and conditional orders on the PureStream ATS. These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Correcting Amendment to amend its response describing the PURE ATS procedures governing behavior in locked-crossed markets in Part III, Item 11 (Trading Services, Facilities and Rules). These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC submits this Updating Amendment to the Material Amendment filed on September 29, 2022 (SEC Accession No. 0001798802-22-000013). This Updating Amendment: 1) Describes a new PURE ATS Order Type called Reference-on-Close and the ATS's treatment of orders outside of regular trading hours. These amendments are primarily in Part III, Items 7, 11, and 18, but also include changes to Part III, Items 10, 21, and 23 for consistency across this Form ATS-N. 2) Amends the prioritization logic for Order Types so that the first term in intra-order type priority ranking is maximum LTR. This amendment makes changes to Part III, Items 7 and 11. 3) Amends the application of the minimum streaming quantity functionality. This amendment makes changes to Part III, Item 7. 4) Allows for PURE ATS to accept and execute Liquidity Seeking short sell orders with LTRs set at 501% or above that can be executed at a price compliant with Reg SHO Rule 201. This amendment makes changes to Part III, Item 11 and for consistency, to Part III, Item 20. 5) Allows for fee schedules for per-share fee rates to be individually negotiated between Subscribers and PURE based on different variables. This amendment makes changes to Part III, Item 19. Amendments (1) through (4) above 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 5 applies to all Subscribers and the broker-dealer operator.

amendment_reason

This Material Amendment changes the responses to Part III, Item 7 (Order Types and Attributes) and Item 11 (Trading Services, Facilities and Rules), to reflect the introduction of a minimum stream quantity logic for generating stream child fills on the ATS. This amendment applies to all Subscribers but not the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the ATS.

amendment_reason

PureStream, LLC submits this Updating Amendment to the Material Amendment filed on September 27, 2021, which amends Part III, Item 7 (Order Types and Attributes) and Part III, Item 11 (Trading Services, Facilities and Rules) to reflect modifications to marketability thresholds for matches between Liquidity Seeking orders. This amendment applies to all Subscribers but does not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Material Amendment to amend its responses to: Part III, Item 7 (Order Types and Attributes) with respect to the default minimum LTR for LS orders; Part III, Item 8 (Order Sizes) with respect to minimum order sizes for LS orders; Part III, Item 9 (Conditional Orders and Indications of Interest) with respect to the minimum residual quantity that an order must have to be eligible for a conditional match; and, Part III, Item 11 (Trading Services, Facilities and Rules) with respect to a new order instruction available to subscribers called Minimum Match Quantity, that sets a minimum order quantity that a Subscriber will accept for a contra-side order.in a potential match. These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Material Amendment to: (1) Amend its responses to Part II, Items 5(a) and 5(b) (Other Products and Services), Part II, Items 7(b) and 7(c) (Protection of Confidential Information), and Part III, Item 19(a) (Fees) to reflect a new service offered by the ATS by which, at the direction of subscribers only, PURE will send a subscriber's confidential information to a subscriber's third-party service provider. (2) Amend its responses to Part II, Item 6(b) and Part II, Items 7(a) and 7(d) to reflect that S3, via an outsourcing relationship with Nasdaq Ocean, will perform trade reporting services on the ATS's behalf. These changes apply to the Broker-Dealer Operator and all Subscribers insofar as the changes relate to Subscriber Confidential Information.

amendment_reason

This Updating Amendment changes the responses to (i) Part I, Item 8 (Schedule A of the Form BD) to reflect a change in the designated Chief Compliance Officer; (ii) Part II, Item 6 (Activities of Service Providers) to identify an ATS service provider that has use of the ATS; (iii) Part III, Item 7 (Order Types and Attributes) to modify the description of the ATS's minimum marketability threshold for streaming matches; and (iv) Part III, Item 8 (Order Sizes) to update the ATS order size minimums. The amendment to Schedule A applies to the Broker-Dealer Operator but does not apply to Subscribers. The amendments to Part II, Item 6 and Part III, Items 7 and 8, apply to all Subscribers but not the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the ATS.

amendment_reason

PureStream, LLC submits this Updating Amendment to the Material Amendment filed on August 21, 2023 (SEC Accession No. 0001798802-23-000018). This Updating Amendment amends the firm's responses to (i) Part III, Item 5 (Means of Entry) to include additional information about how orders are entered onto the ATS, including orders with counter-party limiting instructions, to be consistent with the amendment to Part III, Item 14, described herein; (ii) Part III, Item 11 (Trading Services, Facilities and Rules) to make the disclosure consistent with the amendment to Part III, Item 14, described herein; (iii) Part III, Item 14 (Counter-Party Selection) to include a new counter-party selection functionality (Liquidity Maker Sub-Pool); and, (iv) Item III, Part 19 (Fees) to describe pricing models applicable to the Liquidity Maker Sub-Pool functionality. These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Updating Amendment to include the following changes: Part III, Item 7(a) to (i) clarify applicable LTR ranges for the Liquidity Seeking Order Type and (ii) revise the maximum LTR for Custom Order Types; Part III, Item 8(a) to reflect changes to the minimum order size for certain Order Types; Part III, Item 9(a) to clarify that the ATS does not segment conditional orders from firm orders; Part III, Item 11(a) to remove reference to the ATS launch phases; and Part III, Item 15(b) to clarify the information displayed in the conditional order firm-up process. These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

This Material Amendment includes changes in Part III, Item 7 (Order Types and Attributes) and Part III, Item 11 (Trading Services, Facilities and Rules) to reflect modifications to marketability thresholds for matches between Liquidity Seeking orders. This amendment applies to all Subscribers but does not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Updating Amendment to amend its responses to multiple items in its Form ATS-N to reflect that Instinet, LLC is the clearing broker for PURE ATS and performs clearance and settlement functions for the ATS, and to remove references to the ATS's previous clearing broker. This information is reflected in amendments to Part II, Items 6 (Activities of Service Providers) and 7 (Protection of Confidential Trading Information), and Part III, Items 11 (Trading Services, Facilities, and Rules) and 22 (Clearance and Settlement). This change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

PureStream, LLC is filing this Updating Amendment to amend its response to Part III, Item 7(a) (Order Types and Attributes) with respect to the ATS's Minimum Stream Quantity ("MSQ") tiers. Specifically, the ATS is modifying the median daily volume ("MDV") ranges for the two existing tiers and implementing a third tier as follows: i. symbols with a 5-day rolling MDV equal to or greater than 10 million shares are assigned an MSQ of 50; ii. symbols with a 5-day rolling MDV equal to or greater than 5 million shares and less than 10 million shares are assigned an MSQ of 40; and iii. symbols with a 5-day rolling MDV less than 5 million shares are assigned an MSQ of 20. This change applies to all Subscribers. This change does not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Correcting Amendment to amend its response to Part II, Item 6 (Activities of Service Providers) to explain the role of shared personnel between the Broker-Dealer Operator and its parent, including with respect to access to Subscriber Confidential Information, and its response to Part II, Item 7 (Protection of Confidential Trading Information) to further describe the personnel at the Broker-Dealer Operator with access to Subscriber Confidential Information. These changes apply to the Broker-Dealer Operator and all Subscribers insofar as the changes relate to Subscriber Confidential Information.

amendment_reason

PureStream, LLC is filing this Updating Amendment to amend its response to Part III, Item 19 (Fees) to reflect that PURE does not pass on Consolidated Audit Trail (CAT) fees that it is assessed to subscribers. This change applies to the Broker-Dealer Operator and all Subscribers.

amendment_reason

This Material Amendment (1) amends the responses in Part III, Items 4, 7, 10, 11, and 18 to reflect changes to the ATS's trading rules outside of regular trading hours, including with respect to the interaction of Order Types during that period; and (2) amends Part III, Item 7, to modify the functionality of the ATS's MSQ in limited circumstances. The amendment applies to all Subscribers but does not apply to the broker-dealer operator because the broker-dealer operator does not trade on the platform.

amendment_reason

This Correcting Amendment changes the responses to: Part II, Item 6 (Activities of Service Providers) and Part III, Item 23 (Market Data) to remove reference to a service provider; Part III, Item 8 (Order Sizes) to indicate that all orders are subject to risk management controls; Part III, Item 9 (Conditional Orders and Indications of Interest) to reflect that "firmed up" conditional orders are treated as SOK orders; and, Part III, Item 11 (Trading Services, Facilities and Rules) and Part III, Item 14 (Counter-Party Selection) to reflect that Subscribers can restrict orders from interacting with conditional orders. The amendments to Part II, Item 6 and Part III, Item 23 apply to the Broker-Dealer Operator and all Subscribers. The amendments to Part III, Items 8, 9, 11, and 14, 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_reason

PureStream, LLC is filing this Correcting Amendment to amend its responses to (i) Part III, Item 5 (Means of Entry) to indicate that conditional orders may be entered onto the ATS via both a Subscriber's market access connection and Subscriber algorithms; (ii) Part III, Item 9 (Conditional Orders and Indications of Interest) to indicate that, consistent with the amendment to Part III, Item 5, conditional orders entered onto the ATS through Subscribers' FIX connections are not limited to orders entered through Subscriber algorithms; and (iii) Part III, Item 14 (Counter-Party Selection) to indicate that HMMP and PRO functionalities are available for both firm and conditional orders. These changes apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC submits this Updating Amendment to amend its Form ATS-N Exhibit 2 (Form BD, Schedule B) disclosure. This change applies to the Broker-Dealer Operator but does not apply to Subscribers.

amendment_reason

This Material Amendment changes the responses in PureStream's Form ATS-N as follows: i) Part II, Item 7 (Protection of Confidential Trading Information) to reflect a change to PureStream's employee trading policy. The policy will require employees to provide PureStream Compliance advance notice of all personal transactions, rather than seek pre-approval for such transactions. Further, employees cannot enter personal transactions during ATS trading hours. This amendment applies to the Broker-Dealer Operator and does not apply to any Subscribers. ii) Part III, Item 7 (Order Types and Attributes) to reflect (a) a change in the intra-Order Type prioritization of Custom orders so that such orders will be prioritized first by the highest maximum LTR of each order, followed by size, marketability, and arrival time; and, (b) that the ATS will accept minimum execution quantity (MEQ) order handling instructions for a specific subset of Liquidity Seeking orders. This amendment applies to all Subscribers but does not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform. iii) Part III, Item 11 (Trading Services, Facilities and Rules) to reflect (a) a change in the intra-Order Type prioritization of Custom orders so that such orders will be prioritized first by the highest maximum LTR of each order, followed by size, marketability, and arrival time; and, (b) that the ATS will accept minimum execution quantity (MEQ) order handling instructions for a specific subset of Liquidity Seeking orders. This amendment applies to all Subscribers but does not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

PureStream, LLC is filing this Material Amendment to amend its responses to multiple items in its Form ATS-N to reflect that beginning on or around May 19, 2025, PURE ATS will engage Instinet, LLC as its fully-disclosed clearing broker for all clearance and settlement purposes on the ATS. This information is reflected in amendments to Part II, Items 6 (Activities of Service Providers) and 7 (Protection of Confidential Trading Information), and Part III, Items 11 (Trading Services, Facilities, and Rules) and 22 (Clearance and Settlement). This change applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

PureStream, LLC is filing this Updating Amendment to its Material Amendment filed on November 17, 2025, to: (i) change the ATS's Intra-Order Type Prioritization so that subcustomer self-matching is the first priority consideration; (ii) add an All-Day VWAP benchmark (or peg) order instruction, including an offset value, for Subscriber use; and (iii) introduce a time-based trigger for executions in streaming matches called a maximum fill interval (the maximum allowable time period between two fills in a stream). These amendments, as well as associated conforming edits to the Form ATS-N for consistency and organizational purposes, are made to Part III, Items 7 and 11. These amendments apply to all Subscribers. These changes do not apply to the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the platform.

amendment_reason

This Material Amendment changes the responses to Part III, Item 7 (Order Types and Attributes), Item 10 (Opening and Reopening), and Item 11 (Trading Services, Facilities and Rules), to reflect the introduction of peg order instruction functionality on the ATS; and Part III, Item 19 (Fees) to include a description of a Subscription Fee Model for the ATS. These amendments apply to all Subscribers but not the Broker-Dealer Operator because the Broker-Dealer Operator does not trade on the ATS.

ats_name

PureStream, LLC

operator_crd

000306750

operator_name

PURESTREAM, LLC

order_types

PURE ATS is a volume-based trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Compatible orders are matched in accordance with the logic described in the Matching section below (in this item and in Part III, Item 11, Trading Services, Facilities and Rules). Upon matching, the ATS executes fills (referred to herein as "child fills") for each matched order. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of child fills. This series of child fills is called a "stream." A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below in this item). On the PURE ATS, "child fill" means a trade executed by the ATS for a streaming match. Given the PURE ATS execution logic, PURE ATS often executes trades at quantities less than the total size of the relevant matched orders. "Child fill" is meant to indicate that one streaming match will potentially be associated with multiple fills. Conversely, matches resulting in block trades (discussed below in this item) have a single fill per match. The size of the child fills is based on each match's matched LTR percentage applied to 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 under "Order Types" and "Minimum Stream Quantity, Allocation, and Price Discovery". The price of a child fill is the weighted average price of the reference trades that contribute to achieving the MSQ. 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) the ATS matching rules; (v) minimum stream quantity, allocation and price discovery; (vi) order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The % rate associated with each of the five Order Types listed below is called the LTR (referenced above). LTRs are used to determine the size of child fills in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade referenced in each respective child fill. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited maximum LTR. The LTR is applied to SIP-reported trade quantities to determine the size of child fills (subject to the MSQ; see the MSQ example below in this item). 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 order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied (or, in the event a child fill is derived from multiple SIP-reported trades, the volume weighted average of the reference trade prices; see the MSQ example below in this item). This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is .1%. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (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 prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. For all Order Types, the marketability of the order for a potential stream 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%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) In addition to streaming matches, LS Orders are also eligible to enter into block trades. Block trades are single trades that occur only when two LS orders match. These are described below in the Allocation and Price Discovery section and Example 6 of this response. LS orders have marketability for block trades (i.e., not a stream match), 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. The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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 stream match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to block trades). 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold (not applicable to block trades), 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Minimum Stream Quantity, Allocation, and Price Discovery Once a 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 and Minimum Stream Quantity ("MSQ") logic. The MSQ is a PURE-set threshold that represents the smallest quantity trade (i.e., a child fill) that the ATS will effect in a particular symbol (e.g., 10 shares, 50 shares, 100 shares). For example, if the MSQ for a symbol is 20 shares, the ATS will only execute trades that yield 20 or more shares to each matched order. PURE ATS will not execute a child fill that is less than the relevant MSQ. The MSQ will be set by PURE at 20 shares for all symbols. The MSQ functionality will be implemented on or around September 15, 2022. All Subscribers will be notified by at least the trading day before the MSQ functionality is effective that it is being implemented. In the event that there is a system or configuration issue involving the MSQ that is adversely impacting PURE ATS or PURE ATS Subscribers, PURE may suspend the application of the MSQ. Subscribers will be notified before any such action is taken. PURE will review the MSQ settings periodically, but not less than every 6 months. The MSQ is applied as follows: 1. When the LTR of a match multiplied against the quantity of a single reference trade meets or exceeds the relevant MSQ, PURE ATS executes a child fill at the printed price of the reference trade. For example: (i) a 600-share reference trade; (ii) for a 10% LTR match; (iii) in a symbol with MSQ=50; (iv) results in PURE ATS executing a 60-share (600s*.10) child fill for the match (60> the 50 MSQ) at the printed price. 2. When the LTR of a match multiplied against the quantity of a single reference trade does not meet or exceed the relevant MSQ, no child fill is executed. PURE ATS tracks the shares derived from multiplying the LTR against the quantity of the reference trade ("Derived Shares") and consecutive subsequent trades. When the running sum of Derived Shares is equal to or greater than the relevant MSQ, PURE ATS executes a single child fill. The price of the child fill is the volume weighted average price of the underlying reference trades. For example: (i) a 600-share reference trade; (ii) for a 5% LTR match; (iii) in a symbol with MSQ=50; (iv) results in PURE ATS tracking 30 Derived Shares (600s*.05), but no child fill. If the next relevant SIP-reported trade is 1,000 shares, PURE ATS would execute a child fill of 80 shares (30 Derived Shares + (1,000s*.05)). The price would be the volume weighted average price of the two reference trades. Derived Shares are an internal concept used by the ATS for tracking purposes only, akin to a trajectory marketplace tracking reference trades that contribute to an average price. Prior to an executed child fill, Derived Shares are not decremented against any order, and do not result in trade booking or reporting. 3. If a match is terminated, no further child fills are generated. Matches are terminated when matched orders become incompatible (e.g., when one or both orders become unmarketable, exhaust all quantity, or are cancelled). Any Derived Shares being tracked at the time of termination are ignored for all purposes. A series of reference trades can create a series or "stream" of "child fills." 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). 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. The following example illustrates the application of the MSQ: MSQ for the relevant symbol is 100 shares. PURE ATS observes the following SIP-reported trades: Reference Trade 1: 750 shares @ $36 Reference Trade 2: 1000 shares @ $35.90 PURE ATS generates fills for the following matches as follows (matches are bilateral and each order in the match receives a fill): (1) Match 1 (30% LTR): a. Following Reference Trade 1: Child Fill 1 of 225 shares @ $36 reported to FINRA Trade Reporting Facility ("TRF") b. Following Reference Trade 2: Child Fill 2 of 300 shares @ $35.90 reported to TRF (2) Match 2 (10% LTR): a. Following Reference Trade 1: No child fill (75 Derived Shares; no decrementing or TRF reports) b. Following Reference Trade 2: Child Fill 1 of 175 shares @ $35.94 reported to TRF (3) Match 3 (10% LTR): a. Following Reference Trade 1: No child fill (75 Derived Shares; no decrementing or TRF reports) b. Match terminated prior to Reference Trade 2: No child fills and match is ended (75 Derived Shares ignored; no decrementing or TRF reports) (4) Match 4 (any LTR): a. Match terminated prior to Reference Trade 1: No child fills and match is ended (no Derived Shares, decrementing, or TRF reports) The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute a block 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, MSQ is not applicable to LS-LS block trades. The price of the block trade will be set in accordance with the limit price and peg instructions for the two relevant LS orders (but in no event will fall outside of the NBBO or violate either 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 block trade. The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. For illustrative purposes, the examples assume that the two LS orders are compatible at the midpoint of the prevailing NBBO. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

PURE ATS is a volume-based trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Matched orders receive execution fills, including partial fills called "child fills." The fills are a pre-determined percentage of each SIP-reported trade, at the printed price. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of "child fills." This series of child fills is called a "stream". A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below). 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) the ATS matching rules; (v) allocation and price discovery; (vi)order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The% rate associated with each of the five Order Types listed below is called the LTR (referenced above). An LTR determines the size of each child fill in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited maximum LTR. The LTR is applied to a SIP-reported trade quantity to determine the size of a child fill, which is then decremented against the total quantity of the order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied. This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is 1%. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (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 prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. For all Order Types, the marketability of the order for a potential stream 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%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) In addition to streaming matches, LS Orders are also eligible to enter into block trades. Block trades are single trades that occur only when two LS orders match. These are described below in the Allocation and Price Discovery section and Example 6 of this response. LS orders have marketability for block trades (i.e., not a stream match), 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. The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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 stream match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to block trades). 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold (not applicable to block trades), 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Allocation and Price Discovery Once a match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as a reference trade to generate a "child fill". A series of reference trades create a series of "child fills", or a stream of executions. 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). The time between SIP-reported trades in a relevant security will correlate to the time between child fills in a stream. (This refers to time between SIP-reported trades resulting from, for example, illiquid stocks. 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). To illustrate how child fills are generated in a stream, for a match at an LTR of 30%, the fill per reference trade (for each order in the stream) is as follows: Reference Trade 1: SIP-reported Trade of 1,000 @ $36 would result in Child Fill 1 of 300 @ $36 Reference Trade 2: SIP-reported Trade of 500 @ $35.995 would result in Child Fill 2 of 150 @ $35.995 Reference Trade 3: SIP-reported Trade of 1000 @ $36.01 would result in Child Fill 3 of 300 @ $36.01 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. The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute a block trade for the largest quantity possible (i.e., the smaller quantity of the two orders matched). The price of the block trade will be set in accordance with the limit price and peg instructions for the two relevant LS orders (but in no event will fall outside of the NBBO or violate either 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 block trade. The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. For illustrative purposes, the examples assume that the two LS orders are compatible at the midpoint of the prevailing NBBO. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

PURE ATS is a volume-based trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Compatible orders are matched in accordance with the logic described in the Matching section below (in this item and in Part III, Item 11, Trading Services, Facilities and Rules). Upon matching, the ATS executes fills (referred to herein as "child fills") for each matched order. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of child fills. This series of child fills is called a "stream." A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below in this item). On the PURE ATS, "child fill" means a trade executed by the ATS for a streaming match. Given the PURE ATS execution logic, PURE ATS often executes trades at quantities less than the total size of the relevant matched orders. "Child fill" is meant to indicate that one streaming match will potentially be associated with multiple fills. Conversely, matches resulting in block trades (discussed below in this item) have a single fill per match. The size of the child fills is based on each match's matched LTR percentage applied to 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 under "Order Types" and "Minimum Stream Quantity, Allocation, and Price Discovery". The price of a child fill is the weighted average price of the reference trades that contribute to achieving the MSQ. 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) the ATS matching rules; (v) minimum stream quantity, allocation and price discovery; (vi) order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The % rate associated with each of the five Order Types listed below is called the LTR (referenced above). LTRs are used to determine the size of child fills in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade referenced in each respective child fill. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited maximum LTR. The LTR is applied to SIP-reported trade quantities to determine the size of child fills (subject to the MSQ; see the MSQ example below in this item). 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 order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied (or, in the event a child fill is derived from multiple SIP-reported trades, the volume weighted average of the reference trade prices; see the MSQ example below in this item). This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is .1%. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (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 prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. For all Order Types, the marketability of the order for a potential stream 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%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) In addition to streaming matches, LS Orders are also eligible to enter into block trades. Block trades are single trades that occur only when two LS orders match. These are described below in the Allocation and Price Discovery section and Example 6 of this response. LS orders have marketability for block trades (i.e., not a stream match), 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. The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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 stream match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to block trades). 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold (not applicable to block trades), 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Minimum Stream Quantity, Allocation, and Price Discovery Once a 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 and Minimum Stream Quantity ("MSQ") logic. The MSQ is a PURE-set threshold that represents the smallest quantity trade (i.e., a child fill) that the ATS will effect in a particular symbol (e.g., 10 shares, 50 shares, 100 shares). For example, if the MSQ for a symbol is 20 shares, the ATS will only execute trades that yield 20 or more shares to each matched order. PURE ATS will not execute a child fill that is less than the relevant MSQ. The MSQ is set by PURE at 20 shares for all symbols. In the event that there is a system or configuration issue involving the MSQ that is adversely impacting PURE ATS or PURE ATS Subscribers, PURE may suspend the application of the MSQ. Subscribers will be notified before any such action is taken. PURE will review the MSQ settings periodically, but not less than every 6 months. The MSQ is applied as follows: 1. When the LTR of a match multiplied against the quantity of a single reference trade meets or exceeds the relevant MSQ, PURE ATS executes a child fill at the printed price of the reference trade. For example: (i) a 600-share reference trade; (ii) for a 10% LTR match; (iii) in a symbol with MSQ=50; (iv) results in PURE ATS executing a 60-share (600s*.10) child fill for the match (60> the 50 MSQ) at the printed price. 2. When the LTR of a match multiplied against the quantity of a single reference trade does not meet or exceed the relevant MSQ, no child fill is executed. PURE ATS tracks the shares derived from multiplying the LTR against the quantity of the reference trade ("Derived Shares") and consecutive subsequent trades. When the running sum of Derived Shares is equal to or greater than the relevant MSQ, PURE ATS executes a single child fill. The price of the child fill is the volume weighted average price of the underlying reference trades. For example: (i) a 600-share reference trade; (ii) for a 5% LTR match; (iii) in a symbol with MSQ=50; (iv) results in PURE ATS tracking 30 Derived Shares (600s*.05), but no child fill. If the next relevant SIP-reported trade is 1,000 shares, PURE ATS would execute a child fill of 80 shares (30 Derived Shares + (1,000s*.05)). The price would be the volume weighted average price of the two reference trades. Derived Shares are an internal concept used by the ATS for tracking purposes only, akin to a trajectory marketplace tracking reference trades that contribute to an average price. Prior to an executed child fill, Derived Shares are not decremented against any order, and do not result in trade booking or reporting. 3. If a match is terminated, no further child fills are generated. Matches are terminated when matched orders become incompatible (e.g., when one or both orders become unmarketable, exhaust all quantity, or are cancelled). Any Derived Shares being tracked at the time of termination are ignored for all purposes. A series of reference trades can create a series or "stream" of "child fills." 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). 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. The following example illustrates the application of the MSQ: MSQ for the relevant symbol is 100 shares. PURE ATS observes the following SIP-reported trades: Reference Trade 1: 750 shares @ $36 Reference Trade 2: 1000 shares @ $35.90 PURE ATS generates fills for the following matches as follows (matches are bilateral and each order in the match receives a fill): (1) Match 1 (30% LTR): a. Following Reference Trade 1: Child Fill 1 of 225 shares @ $36 reported to FINRA Trade Reporting Facility ("TRF") b. Following Reference Trade 2: Child Fill 2 of 300 shares @ $35.90 reported to TRF (2) Match 2 (10% LTR): a. Following Reference Trade 1: No child fill (75 Derived Shares; no decrementing or TRF reports) b. Following Reference Trade 2: Child Fill 1 of 175 shares @ $35.94 reported to TRF (3) Match 3 (10% LTR): a. Following Reference Trade 1: No child fill (75 Derived Shares; no decrementing or TRF reports) b. Match terminated prior to Reference Trade 2: No child fills and match is ended (75 Derived Shares ignored; no decrementing or TRF reports) (4) Match 4 (any LTR): a. Match terminated prior to Reference Trade 1: No child fills and match is ended (no Derived Shares, decrementing, or TRF reports) The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute a block 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, MSQ is not applicable to LS-LS block trades. The price of the block trade will be set in accordance with the limit price and peg instructions for the two relevant LS orders (but in no event will fall outside of the NBBO or violate either 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 block trade. The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. For illustrative purposes, the examples assume that the two LS orders are compatible at the midpoint of the prevailing NBBO. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

PURE ATS is a trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Matched orders receive execution fills, including partial fills called "child fills." The fills are a pre-determined percentage of each SIP-reported trade, at the printed price. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of "child fills." This series of child fills is called a "stream". A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below). 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) the ATS matching rules; (v) allocation and price discovery; (vi)order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The% rate associated with each of the five Order Types listed below is called the LTR (referenced above). An LTR determines the size of each child fill in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited LTR. The LTR is applied to a SIP-reported trade quantity to determine the size of a child fill, which is then decremented against the total quantity of the order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied. This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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 1-20%; 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (ii) size of the order, (iii) marketability (as defined below), and (iv) time the order was received, in that sequence. The first term considered in prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. The marketability of the order for a potential stream 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. LS orders also have marketability for a midpoint NBBO trade (i.e., not a stream match), if the order's limit price is at least at the midpoint of the prevailing NBBO (Midpoint NBBO trades occur only when two LS orders match and result in a single trade. These are described below in the Allocation and Price Discovery section and Example 6 of this response). To illustrate prioritization for a potential stream match, if the ATS received the following three orders chronologically: Buy Order 1: 15%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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. Marketability For an order to be eligible for a stream match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to midpoint NBBO trades). The minimum marketability thresholds are set on a stock-by-stock basis and are neither publicly available nor made available to Subscribers. The baseline minimum marketability threshold is the stock's average quoted spread. 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 an average quoted spread 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold (not applicable to midpoint NBBO trades), 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Allocation and Price Discovery Once a match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as a reference trade to generate a "child fill". A series of reference trades create a series of "child fills", or a stream of executions. 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). The time between SIP-reported trades in a relevant security will correlate to the time between child fills in a stream. (This refers to time between SIP-reported trades resulting from, for example, illiquid stocks. 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). To illustrate how child fills are generated in a stream, for a match at an LTR of 30%, the fill per reference trade (for each order in the stream) is as follows: Reference Trade 1: SIP-reported Trade of 1,000 @ $36 would result in Child Fill 1 of 300 @ $36 Reference Trade 2: SIP-reported Trade of 500 @ $35.995 would result in Child Fill 2 of 150 @ $35.995 Reference Trade 3: SIP-reported Trade of 1000 @ $36.01 would result in Child Fill 3 of 300 @ $36.01 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. The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute at the midpoint of the NBBO at the moment of the match. For example, if a Buy LS Order and Sell LS Order are matched when the NBBO is $36.00-$36.01, a trade will occur at $36.005 for the largest quantity possible (i.e., the smaller quantity of the two orders matched at the midpoint). The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

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 (and Part III, Item 18 for the Post-Close Trading Session). 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 (and Part III, Item 18 for the Post-Close Trading Session). 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. Note that this section applies to both regular hours trading and the Post-Close Trading Session unless otherwise noted in this Form ATS-N. 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") during regular trading hours (in the Post-Close Trading Session, this Order Type is seeking a single point match with an ROC order that references the OCP (see Part III, Item 18)). 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 order's residual quantity (no order will receive a fill larger than its residual quantity) and 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") During regular trading hours, 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 streaming match at the highest available LTR (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"). In the Post-Close Trading Session, this Order Type is seeking a single point match with an ROC order that references the OCP (see Part III, Item 18). 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 during the Post-Close Trading Session (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" and in Part III, Item 18). This Order Type will not match prior to the OCP being disseminated, will not trade using any reference other than the OCP, 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 Streaming Block, 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. Note that time priority for ROC orders takes into account the time orders arrive on the ATS during regular hours trading and the Post-Close Trading Session, i.e., ROC orders arriving at 10 am, 3 pm, and 4:02 pm, would be prioritized in that order (all else being equal). 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 during the regular trading hours, prioritized by Order Type in that order. During the Post-Close Trading Session, upon the dissemination of the OCP, firm and conditional Streaming Block orders are exclusively compatible with ROC orders in accordance with the parameters described in Part III, Item 18. For the avoidance of doubt, because ROC orders are not eligible for matches during regular trading hours, the presence of ROC orders on the ATS order book during regular trading hours does not inhibit matches of LS and Streaming Block orders. (2) LS Orders: The LS Order Type is compatible to match with the LS and Streaming Block orders during regular trading hours prioritized by Order Type in that order. During the Post-Close Trading Session, upon dissemination of the OCP, firm and conditional LS orders are exclusively compatible with ROC orders in accordance with the parameters described in Part III, Item 18. For the avoidance of doubt, because ROC orders are not eligible for matches during regular trading hours, the presence of ROC orders on the ATS order book during regular trading hours 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 OCP 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 OCP, the ROC Order Type is compatible to match with ROC orders, LS orders, and Streaming Block 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 Orders 1-3 are resting on the ATS during regular trading hours (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 during regular trading hours. Example 2 - Resting ROC orders Orders 1-4 are resting on the ATS when the OCP 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 Example 3 - Incoming Streaming Block order Orders 1 and 2 are resting on the ATS during regular trading hours (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 (see also Part III, Item 18, for match behavior during the Post-Close Trading Session). 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.

order_types

PURE ATS is a trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Matched orders receive execution fills, including partial fills called "child fills." The fills are a pre-determined percentage of each SIP-reported trade, at the printed price. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of "child fills." This series of child fills is called a "stream". A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below). 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) the ATS matching rules; (v) allocation and price discovery; (vi)order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The% rate associated with each of the five Order Types listed below is called the LTR (referenced above). An LTR determines the size of each child fill in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited LTR. The LTR is applied to a SIP-reported trade quantity to determine the size of a child fill, which is then decremented against the total quantity of the order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied. This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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 1-20%; 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (ii) size of the order, (iii) marketability (as defined below), and (iv) time the order was received, in that sequence. The first term considered in prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. The marketability of the order is the difference between the order's limit price and the contra-side NBBO. The greater the marketability, the higher the standing in terms of priority. 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. To illustrate, if the ATS received the following three orders chronologically: Buy Order 1: 15%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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. Marketability For an order to be eligible for a match, it must be marketable by a minimum threshold (the "minimum marketability threshold"). The minimum marketability thresholds are set on a stock-by-stock basis and are neither publicly available nor made available to Subscribers. The baseline minimum marketability threshold is the stock's average quoted spread. 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 an average quoted spread 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold, 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Allocation and Price Discovery Once a match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as a reference trade to generate a "child fill". A series of reference trades create a series of "child fills", or a stream of executions. 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). The time between SIP-reported trades in a relevant security will correlate to the time between child fills in a stream. (This refers to time between SIP-reported trades resulting from, for example, illiquid stocks. 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). To illustrate how child fills are generated in a stream, for a match at an LTR of 30%, the fill per reference trade (for each order in the stream) is as follows: Reference Trade 1: SIP-reported Trade of 1,000 @ $36 would result in Child Fill 1 of 300 @ $36 Reference Trade 2: SIP-reported Trade of 500 @ $35.995 would result in Child Fill 2 of 150 @ $35.995 Reference Trade 3: SIP-reported Trade of 1000 @ $36.01 would result in Child Fill 3 of 300 @ $36.01 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. The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute at the midpoint of the NBBO at the moment of the match. For example, if a Buy LS Order and Sell LS Order are matched when the NBBO is $36.00-$36.01, a trade will occur at $36.005 for the largest quantity possible (i.e., the smaller quantity of the two orders matched at the midpoint). The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

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 (and Part III, Item 18 for the Post-Close Trading Session). 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 (and Part III, Item 18 for the Post-Close Trading Session). 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. Note that this section applies to both regular hours trading and the Post-Close Trading Session unless otherwise noted in this Form ATS-N. 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") during regular trading hours (in the Post-Close Trading Session, this Order Type is seeking a single point match with an ROC order that references the OCP (see Part III, Item 18)). 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 order's residual quantity (no order will receive a fill larger than its residual quantity) and 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") During regular trading hours, 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 streaming match at the highest available LTR (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"). In the Post-Close Trading Session, this Order Type is seeking a single point match with an ROC order that references the OCP (see Part III, Item 18). Subscribers can set a maximum LTR up to 3,000% for LS orders, which is the default LTR maximum for such order types. The LTR maximum will be considered for any streams that the LS order enters (LTR is not considered for single point matches). Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is 5%. 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 during the Post-Close Trading Session (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" and in Part III, Item 18). This Order Type will not match prior to the OCP being disseminated, will not trade using any reference other than the OCP, 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 ROC Order Type always has 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 Streaming Block, 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. Note that time priority for ROC orders takes into account the time orders arrive on the ATS during regular hours trading and the Post-Close Trading Session, i.e., ROC orders arriving at 10 am, 3 pm, and 4:02 pm, would be prioritized in that order (all else being equal). 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 during the regular trading hours, prioritized by Order Type in that order. During the Post-Close Trading Session, upon the dissemination of the OCP, firm and conditional Streaming Block orders are exclusively compatible with ROC orders in accordance with the parameters described in Part III, Item 18. For the avoidance of doubt, because ROC orders are not eligible for matches during regular trading hours, the presence of ROC orders on the ATS order book during regular trading hours does not inhibit matches of LS and Streaming Block orders. (2) LS Orders: The LS Order Type is compatible to match with the LS and Streaming Block orders during regular trading hours prioritized by Order Type in that order. During the Post-Close Trading Session, upon dissemination of the OCP, firm and conditional LS orders are exclusively compatible with ROC orders in accordance with the parameters described in Part III, Item 18. For the avoidance of doubt, because ROC orders are not eligible for matches during regular trading hours, the presence of ROC orders on the ATS order book during regular trading hours 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 OCP 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 OCP, the ROC Order Type is compatible to match with ROC orders, LS orders, and Streaming Block 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 Orders 1-3 are resting on the ATS during regular trading hours (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 during regular trading hours. Example 2 - Resting ROC orders Orders 1-4 are resting on the ATS when the OCP 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 Example 3 - Incoming Streaming Block order Orders 1 and 2 are resting on the ATS during regular trading hours (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 (see also Part III, Item 18, for match behavior during the Post-Close Trading Session). 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.

order_types

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.

order_types

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 (and Part III, Item 18 for the Post-Close Trading Session). 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 (and Part III, Item 18 for the Post-Close Trading Session). The remainder of this section provides additional detail on the ATS's (A) Order Types; (B) Intra-Order Type Prioritization; (C) Minimum Marketability Thresholds; (D) Inter-Order Type Compatibility Ranking; (E) Matching; (F) Execution Logic (including stream fill conditions, allocation and price discovery); (G) Order Modifications and Cancellations; and (H) Time-in-Force (TIF) Order Instructions. It also sets forth numerous examples meant to illustrate these principles. Note that this section applies to both regular hours trading and the Post-Close Trading Session unless otherwise noted in this Form ATS-N. (A) 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") during regular trading hours (in the Post-Close Trading Session, this Order Type is seeking a single point match with an ROC order that references the OCP (see Part III, Item 18)). 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 order's residual quantity (no order will receive a fill larger than its residual quantity) and the ATS's stream fill conditions, which include a (i) minimum stream quantity ("MSQ") and (ii) maximum fill interval ("MFI"), both of which are described in this item. The price of each child fill is the weighted average price of the reference trades that contributed to the respective fill (see the MSQ and MFI examples 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 "Execution Logic". 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 stream fill conditions described below. (2) Liquidity Seeking ("LS") During regular trading hours, 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 streaming match at the highest available LTR (compatibility, matching, and execution logic is described below in this Item under "Inter-Order Type Compatibility Ranking," "Matching" and "Execution Logic"). In the Post-Close Trading Session, this Order Type is seeking a single point match with an ROC order that references the OCP (see Part III, Item 18). Subscribers can set a maximum LTR up to 3,000% for LS orders, which is the default LTR maximum for such order types. The LTR maximum will be considered for any streams that the LS order enters (LTR is not considered for single point matches). Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is 5%. 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 during the Post-Close Trading Session (compatibility and matching and execution logic is described below in this Item under "Inter-Order Type Compatibility Ranking," "Matching" and "Execution Logic" and in Part III, Item 18). This Order Type will not match prior to the OCP being disseminated, will not trade using any reference other than the OCP, 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. (B) 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) same-subcustomer preferencing, (ii) LTR, (iii) size of the order, (iv) marketability (as defined below), and (v) 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 subcustomer identification for purposes of same-subcustomer preferencing. On PURE ATS, a "subcustomer" is an identifier tag sent by the Subscriber as part of an order's FIX order instructions (every order sent to the ATS must include a subcustomer tag). At onboarding, PureStream assigns at least one subcustomer to each subscriber based on anticipated order flow. Subscribers use these identifiers to send orders under the same subscriber ID but split orders across different subcustomers for categorization, interaction, or organizational purposes. Subscribers determine which subcustomer is affixed to each order. When an order enters the ATS from a particular subcustomer, the ATS prioritizes matching that order with other orders from the same subcustomer ahead of orders from different subcustomers (i.e., same-subcustomer preferencing). If there is no compatible same subcustomer order, the ATS will look to the next prioritization term. Subcustomer preferencing is subject to other order handling instructions (such as SDSP, LMSP, PRO, and self-match customization constraints described in Part III, Item 14) which may override or modify counter-party eligibility (thus rendering same subcustomer orders incompatible). The second term considered in intra-Order Type prioritization ranking, if needed, is the LTR. Orders are prioritized by the highest maximum LTR. (The ROC Order Type always has 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), and assuming there is no subcustomer preferencing available, 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) The third term considered in intra-Order Type prioritization ranking, if needed (i.e., if multiple orders are ranked the same based on the higher prioritization factors), 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 (and assuming there is no subcustomer preferencing available): 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 fourth term considered in intra-Order Type prioritization ranking, if needed (i.e., if multiple orders are ranked the same based on the higher prioritization factors), 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 (and assuming there is no subcustomer preferencing available): 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 "Execution Logic" section and Examples 9 and 10 of this response. An order is marketable for a single point match referencing the OCP (this applies to Streaming Block, 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., if multiple orders are ranked the same based on the higher prioritization factors), is the time the order arrived, with priority being assigned chronologically. Note that time priority for ROC orders takes into account the time orders arrive on the ATS during regular hours trading and the Post-Close Trading Session, i.e., ROC orders arriving at 10 am, 3 pm, and 4:02 pm, would be prioritized in that order (all else being equal). Given the aforementioned prioritization logic, it is by system design that orders arriving later could feasibly be given higher priority than earlier arriving orders. (C) 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. (D) INTER-ORDER TYPE COMPATIBILTY 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 during the regular trading hours, prioritized by Order Type in that order. During the Post-Close Trading Session, upon the dissemination of the OCP, firm and conditional Streaming Block orders are exclusively compatible with ROC orders in accordance with the parameters described in Part III, Item 18. For the avoidance of doubt, because ROC orders are not eligible for matches during regular trading hours, the presence of ROC orders on the ATS order book during regular trading hours does not inhibit matches of LS and Streaming Block orders. (2) LS Orders: The LS Order Type is compatible to match with the LS and Streaming Block orders during regular trading hours prioritized by Order Type in that order. During the Post-Close Trading Session, upon dissemination of the OCP, firm and conditional LS orders are exclusively compatible with ROC orders in accordance with the parameters described in Part III, Item 18. For the avoidance of doubt, because ROC orders are not eligible for matches during regular trading hours, the presence of ROC orders on the ATS order book during regular trading hours 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 OCP 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 OCP, the ROC Order Type is compatible to match with ROC orders, LS orders, and Streaming Block orders, prioritized by Order Type in that order. (E) 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 Orders 1-3 are resting on the ATS during regular trading hours (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 during regular trading hours. Example 2 - Resting ROC orders Orders 1-4 are resting on the ATS when the OCP 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 Example 3 - Incoming Streaming Block order Orders 1 and 2 are resting on the ATS during regular trading hours (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 (see also Part III, Item 18, for match behavior during the Post-Close Trading Session). 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.

order_types

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 (and Part III, Item 18 for the Post-Close Trading Session). 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 (and Part III, Item 18 for the Post-Close Trading Session). 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. Note that this section applies to both regular hours trading and the Post-Close Trading Session unless otherwise noted in this Form ATS-N. 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") during regular trading hours (in the Post-Close Trading Session, this Order Type is seeking a single point match with an ROC order that references the OCP (see Part III, Item 18)). 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 order's residual quantity (no order will receive a fill larger than its residual quantity) and 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") During regular trading hours, 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 streaming match at the highest available LTR (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"). In the Post-Close Trading Session, this Order Type is seeking a single point match with an ROC order that references the OCP (see Part III, Item 18). 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 5%. 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 during the Post-Close Trading Session (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" and in Part III, Item 18). This Order Type will not match prior to the OCP being disseminated, will not trade using any reference other than the OCP, 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 Streaming Block, 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. Note that time priority for ROC orders takes into account the time orders arrive on the ATS during regular hours trading and the Post-Close Trading Session, i.e., ROC orders arriving at 10 am, 3 pm, and 4:02 pm, would be prioritized in that order (all else being equal). 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 during the regular trading hours, prioritized by Order Type in that order. During the Post-Close Trading Session, upon the dissemination of the OCP, firm and conditional Streaming Block orders are exclusively compatible with ROC orders in accordance with the parameters described in Part III, Item 18. For the avoidance of doubt, because ROC orders are not eligible for matches during regular trading hours, the presence of ROC orders on the ATS order book during regular trading hours does not inhibit matches of LS and Streaming Block orders. (2) LS Orders: The LS Order Type is compatible to match with the LS and Streaming Block orders during regular trading hours prioritized by Order Type in that order. During the Post-Close Trading Session, upon dissemination of the OCP, firm and conditional LS orders are exclusively compatible with ROC orders in accordance with the parameters described in Part III, Item 18. For the avoidance of doubt, because ROC orders are not eligible for matches during regular trading hours, the presence of ROC orders on the ATS order book during regular trading hours 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 OCP 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 OCP, the ROC Order Type is compatible to match with ROC orders, LS orders, and Streaming Block 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 Orders 1-3 are resting on the ATS during regular trading hours (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 during regular trading hours. Example 2 - Resting ROC orders Orders 1-4 are resting on the ATS when the OCP 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 Example 3 - Incoming Streaming Block order Orders 1 and 2 are resting on the ATS during regular trading hours (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 (see also Part III, Item 18, for match behavior during the Post-Close Trading Session). 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.

order_types

PURE ATS is a volume-based trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Matched orders receive execution fills, including partial fills called "child fills." The fills are a pre-determined percentage of each SIP-reported trade, at the printed price. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of "child fills." This series of child fills is called a "stream". A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below). 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) the ATS matching rules; (v) allocation and price discovery; (vi)order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The% rate associated with each of the five Order Types listed below is called the LTR (referenced above). An LTR determines the size of each child fill in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited maximum LTR. The LTR is applied to a SIP-reported trade quantity to determine the size of a child fill, which is then decremented against the total quantity of the order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied. This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is 1%. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (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 prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. The marketability of the order for a potential stream 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. LS orders also have marketability for a midpoint NBBO trade (i.e., not a stream match), if the order's limit price is at least at the midpoint of the prevailing NBBO (Midpoint NBBO trades occur only when two LS orders match and result in a single trade. These are described below in the Allocation and Price Discovery section and Example 6 of this response). To illustrate prioritization for a potential stream match, if the ATS received the following three orders chronologically: Buy Order 1: 15%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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. Marketability For an order to be eligible for a stream match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to midpoint NBBO trades). The minimum marketability thresholds are set on a stock-by-stock basis and are neither publicly available nor made available to Subscribers. The baseline minimum marketability threshold is the stock's average quoted spread. 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 an average quoted spread 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold (not applicable to midpoint NBBO trades), 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Allocation and Price Discovery Once a match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as a reference trade to generate a "child fill". A series of reference trades create a series of "child fills", or a stream of executions. 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). The time between SIP-reported trades in a relevant security will correlate to the time between child fills in a stream. (This refers to time between SIP-reported trades resulting from, for example, illiquid stocks. 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). To illustrate how child fills are generated in a stream, for a match at an LTR of 30%, the fill per reference trade (for each order in the stream) is as follows: Reference Trade 1: SIP-reported Trade of 1,000 @ $36 would result in Child Fill 1 of 300 @ $36 Reference Trade 2: SIP-reported Trade of 500 @ $35.995 would result in Child Fill 2 of 150 @ $35.995 Reference Trade 3: SIP-reported Trade of 1000 @ $36.01 would result in Child Fill 3 of 300 @ $36.01 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. The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute at the midpoint of the NBBO at the moment of the match. For example, if a Buy LS Order and Sell LS Order are matched when the NBBO is $36.00-$36.01, a trade will occur at $36.005 for the largest quantity possible (i.e., the smaller quantity of the two orders matched at the midpoint). The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

PURE ATS is a volume-based trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Matched orders receive execution fills, including partial fills called "child fills." The fills are a pre-determined percentage of each SIP-reported trade, at the printed price. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of "child fills." This series of child fills is called a "stream". A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below). 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) the ATS matching rules; (v) allocation and price discovery; (vi)order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The% rate associated with each of the five Order Types listed below is called the LTR (referenced above). An LTR determines the size of each child fill in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited maximum LTR. The LTR is applied to a SIP-reported trade quantity to determine the size of a child fill, which is then decremented against the total quantity of the order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied. This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is 1%. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (ii) size of the order, (iii) marketability (as defined below), and (iv) time the order was received, in that sequence. The first term considered in prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. The marketability of the order for a potential stream 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. LS orders also have marketability for a midpoint NBBO trade (i.e., not a stream match), if the order's limit price is at least at the midpoint of the prevailing NBBO (Midpoint NBBO trades occur only when two LS orders match and result in a single trade. These are described below in the Allocation and Price Discovery section and Example 6 of this response). To illustrate prioritization for a potential stream match, if the ATS received the following three orders chronologically: Buy Order 1: 15%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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. Marketability For an order to be eligible for a stream match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to midpoint NBBO trades). The minimum marketability thresholds are set on a stock-by-stock basis and are neither publicly available nor made available to Subscribers. The baseline minimum marketability threshold is the stock's average quoted spread. 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 an average quoted spread 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold (not applicable to midpoint NBBO trades), 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Allocation and Price Discovery Once a match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as a reference trade to generate a "child fill". A series of reference trades create a series of "child fills", or a stream of executions. 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). The time between SIP-reported trades in a relevant security will correlate to the time between child fills in a stream. (This refers to time between SIP-reported trades resulting from, for example, illiquid stocks. 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). To illustrate how child fills are generated in a stream, for a match at an LTR of 30%, the fill per reference trade (for each order in the stream) is as follows: Reference Trade 1: SIP-reported Trade of 1,000 @ $36 would result in Child Fill 1 of 300 @ $36 Reference Trade 2: SIP-reported Trade of 500 @ $35.995 would result in Child Fill 2 of 150 @ $35.995 Reference Trade 3: SIP-reported Trade of 1000 @ $36.01 would result in Child Fill 3 of 300 @ $36.01 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. The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute at the midpoint of the NBBO at the moment of the match. For example, if a Buy LS Order and Sell LS Order are matched when the NBBO is $36.00-$36.01, a trade will occur at $36.005 for the largest quantity possible (i.e., the smaller quantity of the two orders matched at the midpoint). The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

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.

order_types

PURE ATS is a trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Matched orders receive execution fills, including partial fills called "child fills." The fills are a pre-determined percentage of each SIP-reported trade, at the printed price. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of "child fills." This series of child fills is called a "stream". A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below). 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) the ATS matching rules; (v) allocation and price discovery; (vi)order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The% rate associated with each of the five Order Types listed below is called the LTR (referenced above). An LTR determines the size of each child fill in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited LTR. The LTR is applied to a SIP-reported trade quantity to determine the size of a child fill, which is then decremented against the total quantity of the order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied. This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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 1-20%; 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (ii) size of the order, (iii) marketability (as defined below), and (iv) time the order was received, in that sequence. The first term considered in prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will all be ranked equally in terms of Order Type (regardless of LTR), and priority will be based on their size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. The marketability of the order is the difference between the order's limit price and the contra-side NBBO. The greater the marketability, the higher the standing in terms of priority. 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. To illustrate, if the ATS received the following three orders chronologically: Buy Order 1: 15%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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. Marketability For an order to be eligible for a match, it must be marketable by a minimum threshold (the "minimum marketability threshold"). The minimum marketability thresholds are set on a stock-by-stock basis and are neither publicly available nor made available to Subscribers. The baseline minimum marketability threshold is the stock's average quoted spread. 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 an average quoted spread 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold, and 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). If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Allocation and Price Discovery Once a match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as a reference trade to generate a "child fill". A series of reference trades create a series of "child fills", or a stream of executions. 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). The time between SIP-reported trades in a relevant security will correlate to the time between child fills in a stream. (This refers to time between SIP-reported trades resulting from, for example, illiquid stocks. 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). To illustrate how child fills are generated in a stream, for a match at an LTR of 30%, the fill per reference trade (for each order in the stream) is as follows: Reference Trade 1: SIP-reported Trade of 1,000 @ $36 would result in Child Fill 1 of 300 @ $36 Reference Trade 2: SIP-reported Trade of 500 @ $35.995 would result in Child Fill 2 of 150 @ $35.995 Reference Trade 3: SIP-reported Trade of 1000 @ $36.01 would result in Child Fill 3 of 300 @ $36.01 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. The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute at the midpoint of the NBBO at the moment of the match. For example, if a Buy LS Order and Sell LS Order are matched when the NBBO is $36.00-$36.01, a trade will occur at $36.005 for the largest quantity possible (i.e., the smaller quantity of the two orders matched at the midpoint). The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

PURE ATS is a volume-based trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Matched orders receive execution fills, including partial fills called "child fills." The fills are a pre-determined percentage of each SIP-reported trade, at the printed price. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of "child fills." This series of child fills is called a "stream". A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below). 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) the ATS matching rules; (v) allocation and price discovery; (vi)order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The% rate associated with each of the five Order Types listed below is called the LTR (referenced above). An LTR determines the size of each child fill in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited maximum LTR. The LTR is applied to a SIP-reported trade quantity to determine the size of a child fill, which is then decremented against the total quantity of the order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied. This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is .1%. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (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 prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. For all Order Types, the marketability of the order for a potential stream 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%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) In addition to streaming matches, LS Orders are also eligible to enter into block trades. Block trades are single trades that occur only when two LS orders match. These are described below in the Allocation and Price Discovery section and Example 6 of this response. LS orders have marketability for block trades (i.e., not a stream match), 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. The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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 stream match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to block trades). 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold (not applicable to block trades), 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Allocation and Price Discovery Once a match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as a reference trade to generate a "child fill". A series of reference trades create a series of "child fills", or a stream of executions. 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). The time between SIP-reported trades in a relevant security will correlate to the time between child fills in a stream. (This refers to time between SIP-reported trades resulting from, for example, illiquid stocks. 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). To illustrate how child fills are generated in a stream, for a match at an LTR of 30%, the fill per reference trade (for each order in the stream) is as follows: Reference Trade 1: SIP-reported Trade of 1,000 @ $36 would result in Child Fill 1 of 300 @ $36 Reference Trade 2: SIP-reported Trade of 500 @ $35.995 would result in Child Fill 2 of 150 @ $35.995 Reference Trade 3: SIP-reported Trade of 1000 @ $36.01 would result in Child Fill 3 of 300 @ $36.01 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. The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute a block trade for the largest quantity possible (i.e., the smaller quantity of the two orders matched). The price of the block trade will be set in accordance with the limit price and peg instructions for the two relevant LS orders (but in no event will fall outside of the NBBO or violate either 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 block trade. The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. For illustrative purposes, the examples assume that the two LS orders are compatible at the midpoint of the prevailing NBBO. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

order_types

PURE ATS is a volume-based trajectory crossing venue. However, unlike existing time-based trajectory crossing venues that execute orders based on the aggregated prices of printed trades over time (e.g., a volume weighted average price), PURE ATS uses a trajectory matching protocol that executes orders by referencing the volume, and associated price, of each trade printed to the SIP as they occur (see Part III, Item 23, Market Data, for the precise parameters of the SIP-reported trades that the ATS references). Each firm and conditional order sent to the ATS will include a symbol, size, price, market side, a liquidity transfer rate ("LTR") (explained below), and a Time-in-Force, among other terms. Matched orders receive execution fills, including partial fills called "child fills." The fills are a pre-determined percentage of each SIP-reported trade, at the printed price. Similar to orders placed in a percentage of volume execution algorithm, the PURE ATS will produce a series of "child fills." This series of child fills is called a "stream". A stream will continue uninterrupted between two matched orders so long as both orders have quantity and remain "marketable" (as such term is defined and discussed in detail below). 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) the ATS matching rules; (v) allocation and price discovery; (vi)order modification and cancellation; and (vii) Time-in-Force (TIF)/order instructions. It also sets forth numerous examples meant to illustrate these principles. Order Types To effect the matching protocol described above, PURE uses percentage (%) rate-based order types ("Order Types"). The% rate associated with each of the five Order Types listed below is called the LTR (referenced above). An LTR determines the size of each child fill in a stream by multiplying the applicable percentage against the quantity of each SIP-reported trade. Each Order Type has a minimum LTR and a maximum LTR, except the LS Order Type has an unlimited maximum LTR. The LTR is applied to a SIP-reported trade quantity to determine the size of a child fill, which is then decremented against the total quantity of the order (decrementing is further explained and illustrated in "Matching" found below in this item). The child fill will be at the exact price of the relevant SIP-reported trade to which the LTR was applied. This 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). PURE ATS has five Order Types. These five Order Types are: 1. Liquidity Seeking ("LS" or "Infinite%") This Order Type is seeking a child fill quantity up to the full quantity of its entire order regardless of the size of the SIP-reported trade. Subscribers can set a minimum LTR for LS orders; otherwise, the default minimum LTR for an LS order is 1%. 2. 10-200% ("200%") This Order Type 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% Order Type will accept 200 shares to 10 shares for that child fill at the price of the SIP-reported trade. 3. 5-30% ("30%") This Order Type 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% Order Type is seeking 30 shares to 5shares for that child fill at the price of the SIP-reported trade. 4. 5-15% ("15%") This Order Type 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% Order Type is seeking 15 shares to 5shares for that child fill at the price of the SIP-reported trade. 5. Custom LTR Range ("Custom") This Order Type 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. Prioritization Firm and conditional orders are prioritized based on (i) Order Type, (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 prioritization ranking is the Order Type. Order Types are prioritized in the following order: (1)LS, (2) 200%, (3) 30%, (4) 15%, and (5) Custom. Custom orders will always be ranked behind the standardized Order Types. This is true even if a Subscriber enters a Custom order with a higher maximum % LTR than a non-Custom order. Additionally, when multiple Custom orders are resting on the ATS order book, such Custom orders will be prioritized first by the highest maximum LTR, followed by size, marketability, and arrival time. The following example demonstrates the Order Type prioritization if the ATS received the three orders chronologically: Buy Order 1: 15% Buy Order 2: 30% Buy Order 3: 200% Regardless of any other terms of the orders (e.g., size, marketability, or time), the intra-Order Type prioritization would be based on Order Type, as follows: Buy Order 3 (Highest priority Order Type) Buy Order 2 (2nd Highest priority Order Type) Buy Order 1 (3rd Highest priority Order Type) For two orders in the same Order Type, the second term considered in 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%, for 25,000 shares Buy Order 2: 15%, for 5,000 shares Buy Order 3: 15%, for 50,000 shares The inter-Order Type 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 prioritization ranking (i.e., for orders that are the same Order Type and of equal size) is the marketability of the order. The marketability of the order for a potential stream 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. LS orders also have marketability for a midpoint NBBO trade (i.e., not a stream match), if the order's limit price is at least at the midpoint of the prevailing NBBO (Midpoint NBBO trades occur only when two LS orders match and result in a single trade. These are described below in the Allocation and Price Discovery section and Example 6 of this response). To illustrate prioritization for a potential stream match, if the ATS received the following three orders chronologically: Buy Order 1: 15%, for 25,000 shares, marketable by 4 cents Buy Order 2: 15%, for 25,000 shares, marketable by 10 cents Buy Order 3: 15%, for 25,000 shares, marketable by 6 cents The inter-Order Type prioritization would be: Buy Order 2 (10 cents marketable) Buy Order 3 (6 cents marketable) Buy Order 1 (4 cents marketable) The final term considered in prioritization ranking (i.e., for orders that are the same Order Type, 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 stream match, it must be marketable by a minimum threshold (the "minimum marketability threshold") (minimum marketability thresholds are not applied to midpoint NBBO trades). 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 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 match (i.e., to be eligible for a match, an order must meet the minimum marketability threshold). Once an order is in a 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 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 match. Once matched, the order would only need to remain marketable to remain in the match. If the order became unmarketable, i.e., the NBBO moved to $9.96 X $9.97, the match would end. To become eligible for a 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. Matching Matches are bilateral (i.e., between only two orders). For a match to occur, two orders must be compatible. Compatibility means that there is a buy and sell order in the same security, both meeting the minimum marketability threshold (not applicable to midpoint NBBO trades), 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 that any additional order handling instructions sent with the orders (as described below in Part III, Item 11, Additional Order Parameters) are satisfied. If there are overlapping LTRs, the orders will be matched at the highest LTR within the acceptable range for each order. If an order has residual LTR after being matched, the order's decremented 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). Example 1 - Compatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the 15% 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 2 - Incompatible LTRs: Order 1 is a buy order for 5,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a sell order for 5,000 shares in the Custom 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 3 - Compatible But Different LTRs: Order 1 is a buy order for 5,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a sell order for 5,000 shares in the 15% 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 4 - Compatible LTRs and Concurrent Matching: Order 1 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 2 is a buy order for 10,000 shares in the 15% Order Type (min. of 5%, max. of 15%). Order 3 is a sell order for 20,000 shares in the 30% 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 5 - Compatible LTRs and Sequential Matching: Order 1 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 2 is a buy order for 10,000 shares in the 30% Order Type (min. of 5%, max. of 30%). Order 3 is a sell order for 20,000 shares in the 30% 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 Order2's 10,000 shares to buy). Allocation and Price Discovery Once a match has occurred, the ATS will use each observed SIP-reported trade in the relevant security as a reference trade to generate a "child fill". A series of reference trades create a series of "child fills", or a stream of executions. 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). The time between SIP-reported trades in a relevant security will correlate to the time between child fills in a stream. (This refers to time between SIP-reported trades resulting from, for example, illiquid stocks. 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). To illustrate how child fills are generated in a stream, for a match at an LTR of 30%, the fill per reference trade (for each order in the stream) is as follows: Reference Trade 1: SIP-reported Trade of 1,000 @ $36 would result in Child Fill 1 of 300 @ $36 Reference Trade 2: SIP-reported Trade of 500 @ $35.995 would result in Child Fill 2 of 150 @ $35.995 Reference Trade 3: SIP-reported Trade of 1000 @ $36.01 would result in Child Fill 3 of 300 @ $36.01 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. The only exception to an LTR governing fills is when two LS orders match. When two LS orders match, they will execute at the midpoint of the NBBO at the moment of the match. For example, if a Buy LS Order and Sell LS Order are matched when the NBBO is $36.00-$36.01, a trade will occur at $36.005 for the largest quantity possible (i.e., the smaller quantity of the two orders matched at the midpoint). The two examples below show the impact on a pre-existing stream involving one LS order and a non-LS order when a second LS order on the contra-side of the first LS order enters the ATS. In the first scenario (Example 6), a stream involving an LS order and a non-LS order is broken by an incoming contra-side LS order with a size greater than or equal to the remaining quantity of the first LS order. In no other circumstances would a stream be broken by an incoming order. In the second scenario (Example 7), the stream involving the LS order and non-LS order continues even after the second LS order matches and executes a block trade against the first LS order, because the first LS order has residual quantity after the block trade. Example 6 - LS / Compatible LTR / LS Contra completes the LS: Order 1 is a buy order for 40,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is an incoming sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will be matched to participate in Stream 2. Stream 2 will be comprised of a single block trade for the residual of Order 1's size at the then-current NBBO midpoint. Stream 1 (Order 1 & Order 2) will end (because Order 1 is completed by Order 3) and Order 3's and Order 2's residual quantities will return to the ATS order book. Example 7 - LS / Compatible LTR / LS Contra does not complete the LS: Order 1 is a buy order for 100,000 shares in the LS Order Type. Order 2 is a sell order for 50,000 shares in the 15% Order Type. Orders 1 and 2 will be matched at 15% to participate in Stream 1, and Order 1 will have a residual LTR of Infinite% in the order book resting simultaneously. Order 3 is a sell order for 50,000 shares in the LS Order Type. Order 1 and Order 3 will trade a block for Order 3's size of 50,000 shares at the then-current midpoint NBBO. Stream 1 (Order 1 & Order 2) will continue referencing SIP-reported trades. Order Modifications and Cancellations All firm and conditional orders can be modified or canceled at any time. For a firm or conditional order resting on the ATS order book, modifications to the Order Type, size, or limit price (which impacts marketability) will not result in a new timestamp for prioritization purposes, but may impact the order's priority status based on the modified parameters (in accord with the logic set forth in the Prioritization section). For an order in a match, modifications will not impact the match or stream unless: (i) the limit price is changed and renders the order unmarketable (i.e., the order is no longer priced to at least the contra-side NBBO); or (ii) the LTR is changed (i.e., Order Type changes or changes to the LTR rate for Custom orders) such that the new LTR range does not overlap with the contra-side order's LTR range. In the event of a PURE ATS or market-triggered trading stoppage, all orders will be cancelled back to Subscribers. TIF/Order Instructions The ATS does not support post-only orders or route to other trade centers. Day, Immediate or Cancel (IOC), and the ATS's streaming analog Stream or Kill (SOK) are the only TIF order instructions supported by the ATS. The IOC TIF can only be applied to the LS Order Type, and any other Order Type using the IOC TIF is rejected. The Day TIF may be applied to any Order Type. SOK represents a specific PURE ATS TIF order instruction where a Stream or Kill ("SOK") order is accepted if a contra-side order is resting on the order book and is compatible with the SOK order. If the contra order to the SOK order is not resting on the ATS order book, the SOK order will be cancelled immediately. If accepted, the SOK order is immediately matched with its compatible contra-side order. If the order is not completed for any reason, it will be cancelled back to the Subscriber rather than rest in the order book. Example 8 - SOK / Contra is resting and meets the LTR: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. Example 9 - SOK / Contra is resting and does not meet the LTR: Order 1 is a resting sell order in the Custom Order Type, 1-4% LTR for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Because Order 1 and Order 2 do not have overlapping LTR ranges, Order 2 will be cancelled back and Order 1 will continue to rest. Example 10 - SOK / Contra is resting and meets the LTR, but Quantity cannot complete: Order 1 is a resting sell order in the 15% Order Type (min. of 5%, max. of 15%) for 10,000 shares. Order 2 is a SOK buy order in the 15% Order Type (min. of 5%, max. of 15%) for 50,000 shares. Because Order 1 and Order 2 have overlapping LTR ranges, Order 2 will be matched with Order 1. After Order 1 is completed, if there is a contra-side order on the ATS order book that is compatible with Order 2, the two orders will be matched. If there is no compatible contra-side order resting on the ATS order book, the remaining 40,000 shares of Order 2 will be cancelled back to the Subscriber.

means_of_entry

Subscribers enter all order flow, including both firm and conditional orders, directly into the ATS by way of a dedicated gateway into Ocean using the FIX 4.2 connection. PURE does not provide market access, order routing, or algorithms. To the extent that Subscribers provide direct market access to its clients ("DMA," as that term is defined in Exchange Act Rule 15c3-5(a)(1)(i)) to its institutional customers ("DMA Users")), such DMA Users may direct orders to PURE via the Subscriber (consistent with Regulation NMS Rule 600(b)(27), "directed orders" for purposes of this disclosure means that a Subscriber's customer is specifically instructing the Subscriber to route to a particular venue; DMA Users cannot enter order flow directly onto the ATS or via PURE). All orders are routed to the ATS by the Subscriber and the DMA-providing Subscriber is the broker of record for all orders (and, as such, orders and related actions are attributable as Subscriber actions in this Form ATS-N). All firm and conditional orders, regardless of how they are entered onto the ATS, or if they are entered with a particular order instruction, including the "Sub-Market Matching Instructions" (comprised of SDSP (Subscriber-Dedicated Sub-Pool), LMSP (Liquidity Maker Sub-Pool), or PRO (Pre-Routing Optimizer), (explained below in Part III, Item 14)), are entered through the FIX connection.

means_of_entry

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 and conditional 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. 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.

means_of_entry

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.

means_of_entry

Subscribers enter all order flow, including both firm and conditional orders, directly into the ATS by way of a dedicated gateway into Ocean using the FIX 4.2 connection. PURE does not provide market access, order routing, or algorithms. To the extent that Subscribers provide direct market access to its clients ("DMA," as that term is defined in Exchange Act Rule 15c3-5(a)(1)(i)) to its institutional customers ("DMA Users")), such DMA Users may direct orders to PURE via the Subscriber (consistent with Regulation NMS Rule 600(b)(27), "directed orders" for purposes of this disclosure means that a Subscriber's customer is specifically instructing the Subscriber to route to a particular venue; DMA Users cannot enter order flow directly onto the ATS or via PURE). All orders are routed to the ATS by the Subscriber and the DMA-providing Subscriber is the broker of record for all orders (and, as such, orders and related actions are attributable as Subscriber actions in this Form ATS-N). All firm and conditional orders, regardless of how they are entered onto the ATS, or if they are entered with a particular order instruction, including the "Sub-Market Matching Instructions" (comprised of HMMP (Human Matched Machine Processed), LMSP (Liquidity Maker Sub-Pool), or PRO (Pre-Routing Optimizer), (explained below in Part III, Item 14)), are entered through the FIX connection.

pricing_methodology

PURE ATS consumes SIP market data via feed handler software from Ocean to determine the 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.

pricing_methodology

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.

pricing_methodology

PURE ATS uses SIP market data provided by Exegy to determine the 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.

counterparty_selection

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. This modifier does not prevent a Subscriber from trading against a customer order. 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.

counterparty_selection

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 and conditional orders in the ATS sent by the same 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 (firm and conditional) 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).

counterparty_selection

Orders can be designated to interact or not interact with certain other orders or trading interest using specific order instructions. These instructions include: (1) HMMP (Human Matched Machine Processed); (2) LMSP (Liquidity Maker Sub-Pool); (3) PRO (Pre-Routing Optimizer) (HMMP, LMSP, and PRO, comprising the Sub-Market Matching Instructions); (4) self-trade prevention; and (5) conditional order interaction instructions. An order designated with a Sub-Market Matching Instruction is eligible to match only with either a discrete subset or restricted set of orders, per the terms of the specific instruction. With respect to these instructions: (i) Subscribers must elect to use these instructions for the subject orders (in coordination with their DMA Users, if applicable); (ii) these instructions only impose counter-party limitations for the designated subject order itself; and (iii) the designated subject order can only interact with other orders that are eligible for such interaction (e.g., if a Subscriber does not make an order eligible to interact with orders in an LMSP, it will not). (1) The HMMP order instruction enables a Subscriber to limit its counter-parties to firm and conditional orders in the ATS sent by the same 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. (2) The LMSP modifier, only available where a Subscriber sponsors the Sub-Market Matching Instruction (and provides DMA, where applicable), allows Subscribers to designate orders as maker liquidity subject to maker-taker pricing (as discussed in Part III, Item 19, maker-taker pricing is applicable only to orders with the LMSP modifier). Subscribers may also choose to permit their DMA Users to direct orders designated with the LMSP modifier to the ATS via the Subscriber (who is at all times the broker of record). This modifier is available to all Subscribers and can be used for firm and conditional orders. LMSP order flow must be routed through an LM ID, a unique identifier designated for such use. An LM ID will be attributed to a single Subscriber-designated LM order flow(s) (e.g., a particular trading desk, strategy, or DMA User(s)). PURE will provide any Subscriber with LM IDs upon request. In the event that a DMA User requests an LM ID directly from PURE, PURE will provide a unique LM ID to the Subscriber sponsoring the Sub-Market Matching Instruction, subject to the approval of the relevant Subscriber (DMA Users are not Subscribers, have no direct connection to the ATS, and are not able to enter orders directly onto the ATS or to PURE). The DMA-providing broker is the PURE Subscriber and the broker of record on all firm and conditional orders and "firm-up" orders received, and the entity that will receive any maker rebates from PURE (which are negotiated with the relevant Subscriber). Each LM ID will be associated with a single LM order flow in a discrete "LM Sub-Pool," i.e., each LM Sub-Pool will have LM order flow from a single LM ID. All Subscribers may seek liquidity in (i.e., interact with) any LM Sub-Pool via LS IDs (or enable a DMA User to do so). All requests with respect to LM IDs, LS IDs, and LM Sub-Pools may be delivered verbally or in writing to PURE. PURE will inform ATS participants or potential participants (e.g., broker-dealers considering becoming ATS Subscribers) considering accessing the ATS of the number of LM Sub-Pools operating, if any. Once an LM Sub-Pool is configured (i.e., an LM ID is assigned), participating liquidity seekers and makers can (but are not required to) designate orders to be routed to the LM Sub-Pool. There is no integration between any Sub-Pool and the ATS central order book for Sub-Pool liquidity seekers or makers. Orders designated to a particular LM Sub-Pool will only interact with other orders in the same LM Sub-Pool and will not interact with orders in the ATS's central order book or orders in any other LM Sub-Pool. Participants in an LM Sub-Pool are free to send orders to the ATS's central order book or other LM Sub-Pools, but to do so, they must send separate orders to each destination. Within an LM Sub-Pool, all orders are subject to the matching and trading protocols as in the ATS's central order book. This includes that any order from a liquidity seeker or maker can interact with any other compatible order regardless of the counterparty. For the avoidance of doubt, there is no prioritization or matching benefit to LM order flow. (3) 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 (firm and conditional) 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. (4) 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. This modifier is not available for orders designated to LM Sub-Pools. 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). (5) In addition to limiting counter-parties, Subscribers can also choose to restrict (or not restrict) any order from interacting with contra-side conditional orders. PURE ATS does not segment flow; only Subscribers and their customers can limit order interactions using the order instructions described in this section. All of the above order instructions can be sent by the Subscriber (including for directed orders) via its FIX connection with PURE ATS in accordance with PURE ATS's FIX specifications (available to all Subscribers).

counterparty_selection

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).

counterparty_selection

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. This modifier does not prevent a Subscriber from trading against a customer order. 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).

counterparty_selection

Orders can be designated to interact or not interact with certain other orders or trading interest using specific order instructions. These instructions include: (1) SDSP (Subscriber-Dedicated Sub-Pool); (2) LMSP (Liquidity Maker Sub-Pool); (3) PRO (Pre-Routing Optimizer) (SDSP, LMSP, and PRO, comprising the Sub-Market Matching Instructions); (4) self-trade prevention; and (5) conditional order interaction instructions. An order designated with a Sub-Market Matching Instruction is eligible to match only with either a discrete subset or restricted set of orders, per the terms of the specific instruction. With respect to these instructions: (i) Subscribers must elect to use these instructions for the subject orders (in coordination with their DMA Users, if applicable); (ii) these instructions only impose counter-party limitations for the designated subject order itself; and (iii) the designated subject order can only interact with other orders that are eligible for such interaction (e.g., if a Subscriber does not make an order eligible to interact with orders in an LMSP, it will not). (1) With SDSP (formerly HMMP), Subscribers can request a dedicated Sub-Pool that enables a Subscriber to use the streaming protocol while limiting its counter-parties to firm and conditional orders sent by the same Subscriber (which may include directed orders from DMA clients) to the designated Sub-Pool. There is no integration between any SDSP and the ATS central order book or other Sub-Pool, i.e., orders designated to a particular SDSP will only interact with other orders in the same Sub-Pool and will not interact with orders in the ATS's central order book or orders in any other Sub-Pool. To the extent an order routed to an SDSP does not have a compatible match in the SDSP, the order will remain resting in the SDSP (subject to, for example, Subscriber cancellation). Participants in an SDSP are free to send orders to the ATS's central order book, but to do so, they must send separate orders to each destination. Use of an SDSP is a Subscriber decision and, other than limiting the universe of eligible counter-parties and contra-side orders, the orders (and any match) remain subject to the same ATS priority and matching logic described in Part III, Item 7. (2) The LMSP modifier, only available where a Subscriber sponsors the Sub-Market Matching Instruction (and provides DMA, where applicable), allows Subscribers to designate orders as maker liquidity subject to maker-taker pricing (as discussed in Part III, Item 19, maker-taker pricing is applicable only to orders with the LMSP modifier). Subscribers may also choose to permit their DMA Users to direct orders designated with the LMSP modifier to the ATS via the Subscriber (who is at all times the broker of record). This modifier is available to all Subscribers and can be used for firm and conditional orders. LMSP order flow must be routed through an LM ID, a unique identifier designated for such use. An LM ID will be attributed to a single Subscriber-designated LM order flow(s) (e.g., a particular trading desk, strategy, or DMA User(s)). PURE will provide any Subscriber with LM IDs upon request. In the event that a DMA User requests an LM ID directly from PURE, PURE will provide a unique LM ID to the Subscriber sponsoring the Sub-Market Matching Instruction, subject to the approval of the relevant Subscriber (DMA Users are not Subscribers, have no direct connection to the ATS, and are not able to enter orders directly onto the ATS or to PURE). The DMA-providing broker is the PURE Subscriber and the broker of record on all firm and conditional orders and "firm-up" orders received, and the entity that will receive any maker rebates from PURE (which are negotiated with the relevant Subscriber). Each LM ID will be associated with a single LM order flow in a discrete "LM Sub-Pool," i.e., each LM Sub-Pool will have LM order flow from a single LM ID. All Subscribers may seek liquidity in (i.e., interact with) any LM Sub-Pool via LS IDs (or enable a DMA User to do so). All requests with respect to LM IDs, LS IDs, and LM Sub-Pools may be delivered verbally or in writing to PURE. PURE will inform ATS participants or potential participants (e.g., broker-dealers considering becoming ATS Subscribers) considering accessing the ATS of the number of LM Sub-Pools operating, if any. Once an LM Sub-Pool is configured (i.e., an LM ID is assigned), participating liquidity seekers and makers can (but are not required to) designate orders to be routed to the LM Sub-Pool. There is no integration between any Sub-Pool and the ATS central order book for Sub-Pool liquidity seekers or makers. Orders designated to a particular LM Sub-Pool will only interact with other orders in the same LM Sub-Pool and will not interact with orders in the ATS's central order book or orders in any other LM Sub-Pool. Participants in an LM Sub-Pool are free to send orders to the ATS's central order book or other LM Sub-Pools, but to do so, they must send separate orders to each destination. Within an LM Sub-Pool, all orders are subject to the matching and trading protocols as in the ATS's central order book. This includes that any order from a liquidity seeker or maker can interact with any other compatible order regardless of the counterparty. For the avoidance of doubt, there is no prioritization or matching benefit to LM order flow. (3) 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 (firm and conditional) 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. (4) 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. This modifier is not available for orders designated to LM Sub-Pools. 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). (5) In addition to limiting counter-parties, Subscribers can also choose to restrict (or not restrict) any order from interacting with contra-side conditional orders. Note that if a Subscriber enables an order with an IOC or SOK time-in-force instruction to interact with conditional orders, to facilitate such an interaction, if the ATS identifies a potential match for the IOC or SOK order with a conditional order, the ATS will delay cancelling the IOC or SOK order pending the firm-up request process for the relevant conditional period (the firm-up request process has a two-second time-out period, and is described in Part III, Item 9). PURE ATS does not segment flow; only Subscribers and their customers can limit order interactions using the order instructions described in this section. All of the above order instructions can be sent by the Subscriber (including for directed orders) via its FIX connection with PURE ATS in accordance with PURE ATS's FIX specifications (available to all Subscribers).

counterparty_selection

Orders can be designated to interact or not interact with certain other orders or trading interest using specific order instructions. These instructions include: (1) SDSP (Subscriber-Dedicated Sub-Pool); (2) LMSP (Liquidity Maker Sub-Pool); (3) PRO (Pre-Routing Optimizer) (SDSP, LMSP, and PRO, comprising the Sub-Market Matching Instructions); (4) self-match customization; and (5) conditional order interaction instructions. An order designated with a Sub-Market Matching Instruction is eligible to match only with either a discrete subset or restricted set of orders, per the terms of the specific instruction. With respect to these instructions: (i) Subscribers must elect to use these instructions for the subject orders (in coordination with their DMA Users, if applicable); (ii) these instructions only impose counter-party limitations for the designated subject order itself; and (iii) the designated subject order can only interact with other orders that are eligible for such interaction (e.g., if a Subscriber does not make an order eligible to interact with orders in an LMSP, it will not). (1) With SDSP (formerly HMMP), Subscribers can request a dedicated Sub-Pool that enables a Subscriber to use the streaming protocol while limiting its counter-parties to firm and conditional orders sent by the same Subscriber (which may include directed orders from DMA clients) to the designated Sub-Pool. There is no integration between any SDSP and the ATS central order book or other Sub-Pool, i.e., orders designated to a particular SDSP will only interact with other orders in the same Sub-Pool and will not interact with orders in the ATS's central order book or orders in any other Sub-Pool. To the extent an order routed to an SDSP does not have a compatible match in the SDSP, the order will remain resting in the SDSP (subject to, for example, Subscriber cancellation). Participants in an SDSP are free to send orders to the ATS's central order book, but to do so, they must send separate orders to each destination. Use of an SDSP is a Subscriber decision and, other than limiting the universe of eligible counter-parties and contra-side orders, the orders (and any match) remain subject to the same ATS priority and matching logic described in Part III, Item 7. (2) The LMSP modifier, only available where a Subscriber sponsors the Sub-Market Matching Instruction (and provides DMA, where applicable), allows Subscribers to designate orders as maker liquidity subject to maker-taker pricing (as discussed in Part III, Item 19, maker-taker pricing is applicable only to orders with the LMSP modifier). Subscribers may also choose to permit their DMA Users to direct orders designated with the LMSP modifier to the ATS via the Subscriber (who is at all times the broker of record). This modifier is available to all Subscribers and can be used for firm and conditional orders. LMSP order flow must be routed through an LM ID, a unique identifier designated for such use. An LM ID will be attributed to a single Subscriber-designated LM order flow(s) (e.g., a particular trading desk, strategy, or DMA User(s)). PURE will provide any Subscriber with LM IDs upon request. In the event that a DMA User requests an LM ID directly from PURE, PURE will provide a unique LM ID to the Subscriber sponsoring the Sub-Market Matching Instruction, subject to the approval of the relevant Subscriber (DMA Users are not Subscribers, have no direct connection to the ATS, and are not able to enter orders directly onto the ATS or to PURE). The DMA-providing broker is the PURE Subscriber and the broker of record on all firm and conditional orders and "firm-up" orders received, and the entity that will receive any maker rebates from PURE (which are negotiated with the relevant Subscriber). Each LM ID will be associated with a single LM order flow in a discrete "LM Sub-Pool," i.e., each LM Sub-Pool will have LM order flow from a single LM ID. All Subscribers may seek liquidity in (i.e., interact with) any LM Sub-Pool via LS IDs (or enable a DMA User to do so). All requests with respect to LM IDs, LS IDs, and LM Sub-Pools may be delivered verbally or in writing to PURE. PURE will inform ATS participants or potential participants (e.g., broker-dealers considering becoming ATS Subscribers) considering accessing the ATS of the number of LM Sub-Pools operating, if any. Once an LM Sub-Pool is configured (i.e., an LM ID is assigned), participating liquidity seekers and makers can (but are not required to) designate orders to be routed to the LM Sub-Pool. There is no integration between any Sub-Pool and the ATS central order book for Sub-Pool liquidity seekers or makers. Orders designated to a particular LM Sub-Pool will only interact with other orders in the same LM Sub-Pool and will not interact with orders in the ATS's central order book or orders in any other LM Sub-Pool. Participants in an LM Sub-Pool are free to send orders to the ATS's central order book or other LM Sub-Pools, but to do so, they must send separate orders to each destination. Within an LM Sub-Pool, all orders are subject to the matching and trading protocols as in the ATS's central order book. This includes that any order from a liquidity seeker or maker can interact with any other compatible order regardless of the counterparty. For the avoidance of doubt, there is no prioritization or matching benefit to LM order flow. (3) 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 (firm and conditional) 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. (4) PURE ATS also offers Subscribers self-match customization that allows a Subscriber to either prevent executions with other firm or conditional orders from that Subscriber in the ATS or restrict executions to only firm or conditional orders from that Subscriber in the ATS. Self-match customization allows a subscriber to have flexible customized matching functionality in the ATS and can be applied to orders ATS pool-wide (except that this customization is not available for orders designated to LM Sub-Pools). Subscribers can apply this customization 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). (5) In addition to limiting counter-parties, Subscribers can also choose to restrict (or not restrict) any order from interacting with contra-side conditional orders. Note that if a Subscriber enables an order with an IOC or SOK time-in-force instruction to interact with conditional orders, to facilitate such an interaction, if the ATS identifies a potential match for the IOC or SOK order with a conditional order, the ATS will delay cancelling the IOC or SOK order pending the firm-up request process for the relevant conditional period (the firm-up request process has a two-second time-out period, and is described in Part III, Item 9). PURE ATS does not segment flow; only Subscribers and their customers can limit order interactions using the order instructions described in this section. All of the above order instructions can be sent by the Subscriber (including for directed orders) via its FIX connection with PURE ATS in accordance with PURE ATS's FIX specifications (available to all Subscribers).

financial_condition_summary

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) and (ii), below) or manually directed (e.g., access methods (i) and (iii), 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) As directed by a Subscriber (systematically or manually); (ii) As directed by a DMA User systematically (e.g., algorithmically) via a Subscriber; (iii) As directed by DMA User manually (e.g., EMS) via a Subscriber; (iv) With the SDSP instruction (described more fully in Part III, Item 14); (v) With the LMSP modifier (described more fully in Part III, Item 14); or (vi) 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 order flow from DMA Users (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 DMA User 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.

financial_condition_summary

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.

financial_condition_summary

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) and (ii), below) or manually directed (e.g., access methods (i) and (iii), 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) As directed by a Subscriber (systematically or manually); (ii) As directed by a DMA User systematically (e.g., algorithmically) via a Subscriber; (iii) As directed by DMA User manually (e.g., EMS) via a Subscriber; (iv) With the SDSP instruction (described more fully in Part III, Item 14); (v) With the LMSP modifier (described more fully in Part III, Item 14); or (vi) 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 order flow from DMA Users (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 DMA User 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. As described in FINRA Rule 6897 (Consolidated Audit Trail Funding Fees), Executing Brokers (as that term is defined for purposes of that rule) are assessed CAT regulatory fees. As used in the FINRA rule, PURE is identified as the CAT Executing Broker for the buyer in each transaction on PURE ATS and is therefore assessed CAT regulatory fees in that capacity; the Subscriber-seller is identified as the Executing Broker for the seller and is separately assessed CAT regulatory fees. PURE does not pass on CAT regulatory fees that it is assessed as the Executing Broker for the buyer.

financial_condition_summary

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) and (ii), below) or manually directed (e.g., access methods (i) and (iii), 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) As directed by a Subscriber (systematically or manually); (ii) As directed by a DMA User systematically (e.g., algorithmically) via a Subscriber; (iii) As directed by DMA User manually (e.g., EMS) via a Subscriber; (iv) With the HMMP instruction (described more fully in Part III, Item 14); (v) With the LMSP modifier (described more fully in Part III, Item 14); or (vi) 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 order flow from DMA Users (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 DMA User 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.

financial_condition_summary

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. The per share fee depends on how orders arrive at the ATS, as delineated below. 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). The fee schedule for the per share program is the same for all Subscribers. The commissions are standardized per the above routes and the range of commissions is $0.0005 to $0.0025. All order flow from a Subscriber's algorithm is treated the same in terms of fees for the per share program. This includes firm and conditional orders, and order flow (firm or conditional) attributed to a Subscriber (i.e., a principal order) or a Subscriber's customer. Furthermore, systematic order flow (e.g., (i)(a) and (ii), above) is charged a lower commission than order flow manually directed to the ATS by a Subscriber's customer through the market access connection ((i)(b), above). 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 in consideration of variables including expected trading volume and order types used by the customer. 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.

financial_condition_summary

The PURE ATS fee schedule is the same for all Subscribers. Fees are charged on a per share basis, and the per share fee depends on how orders arrive at the ATS, as delineated below. Orders may arrive on the ATS: (i) Via a Subscriber's market access connections (described more fully in Part III, Item 5); (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). The commissions are standardized per the above routes and the range of commissions is $0.0005 to $0.0025. All order flow from a Subscriber's algorithm is treated the same in terms of fees. This includes firm and conditional orders, and order flow (firm or conditional) attributed to a Subscriber (i.e., a principal order) or a Subscriber's customer. Furthermore, such order flow is charged a lower commission than order flow directed to the ATS by a Subscriber's customer through the market access connection because it is more consistent and systematic than directed orders. PRO and HMMP channels have the lowest commission rates.

compliance_officer

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.

compliance_officer

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 CEO 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 CEO, in consultation with 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. In addition to Ocean personnel, Ocean has retained S3 to submit trade reports to the Consolidated Audit Trail ("CAT") on PURE's behalf. Accordingly, certain S3 personnel have access to PURE Subscriber identifying information and order and trade information, which are components of Subscriber Confidential Information. Only S3 personnel that are required to perform approved tasks (i.e., performing the trade reporting functions on PURE's behalf via its relationship with Ocean) are authorized to access the relevant Subscriber Confidential Information (as described above). To ensure that only authorized personnel access the relevant Subscriber Confidential Information, and that authorized personnel only use such access to perform approved functions, S3 performs periodic access audits. An attestation setting forth the results of these audits are provided to PURE. In addition to the results of these audits, S3 will notify PURE of any actual or suspected unauthorized disclosure of confidential information, which includes Subscriber Confidential Information. 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.

compliance_officer

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) pre-approval by Compliance personnel of all personal transactions. PURE Compliance personnel will not approve personal trade requests if there is an appearance of impropriety (e.g., potential front-running). 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.

compliance_officer

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 CEO 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 CEO, in consultation with 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.

compliance_officer

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 CEO grants access to Subscriber Confidential Information as needed to enable employees and contractors with roles that support the operation of the ATS and its compliance with applicable rules (such employees and contractors, collectively, "Authorized Personnel") to perform their duties and responsibilities. Individuals 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 CEO, in consultation with 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. Authorized Personnel 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, and other PURE internal applications, subject to PURE access and entitlement controls. 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. In addition to Ocean personnel, Ocean has retained S3 to submit trade reports to the Consolidated Audit Trail ("CAT") on PURE's behalf. Accordingly, certain S3 personnel have access to PURE Subscriber identifying information and order and trade information, which are components of Subscriber Confidential Information. Only S3 personnel that are required to perform approved tasks (i.e., performing the trade reporting functions on PURE's behalf via its relationship with Ocean) are authorized to access the relevant Subscriber Confidential Information (as described above). To ensure that only authorized personnel access the relevant Subscriber Confidential Information, and that authorized personnel only use such access to perform approved functions, S3 performs periodic access audits. An attestation setting forth the results of these audits are provided to PURE. In addition to the results of these audits, S3 will notify PURE of any actual or suspected unauthorized disclosure of confidential information, which includes Subscriber Confidential Information. 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 Authorized Personnel to diligently protect both the ATS's proprietary information as well as the Subscriber Confidential Information of current and former Subscribers, to the extent that they have such access. Access to Subscriber Confidential Information is limited to Authorized Personnel with a legitimate business need for the information. Presently, for the reasons explained above, this includes all current PURE employees. PURE controls the electronic access to Subscriber Confidential Information with security measures including multi-factor authentication, password protection requirements, network firewalls, and access control methods. 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. PURE also has detailed written firm-wide policies and procedures designed to monitor the personal trading of Authorized Personnel with access to live trading information. To address potential conflicts of interest, PURE's applicable trading policy requires: (i) disclosure of all personal trading accounts for activity monitoring purposes; and (ii) covered Authorized Personnel to provide advance notice to PURE Compliance of all personal transactions. Further, such personnel 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. Additionally, on an annual basis, Authorized Personnel 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.

hours_of_operation

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 beginning at 8:00am on business days. PURE ATS conducts trading during both regular trading hours and outside of regular trading hours. REGULAR TRADING HOURS: PURE ATS conducts regular trading between 9:30am until 4:00pm ET on business days. Because PURE ATS references the Official Closing Print for its final regular trading hours trade, PURE ATS's final regular trading hours trade occurs shortly after 4pm ET once the official closing trade is reported. POST-CLOSE: PURE ATS conducts trading outside of regular trading hours between the market close (4:00pm ET on regular trading days) ("Market Close") and the PURE ATS Close ("PSC"). PURE ATS refers to the period between the Market Close and the PSC as the Post-Close Trading Session. PSC is a PURE ATS-specific mechanism. PSC is at 4:30pm ET (or 30 minutes after the Market Close on days with an early close schedule). Please see Part III, Item 18 (Trading Outside of Regular Trading Hours) for a description of PURE ATS trading behavior during the Post-Close Trading Session.

hours_of_operation

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.

display_best_quotes

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 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.).

display_best_quotes

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.).

execution_services

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 midpoint 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.

execution_services

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 block 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.

execution_services

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.

execution_services

PURE ATS accepts firm and conditional orders beginning at 8:00am ET and matching in the order book for firm and conditional orders occurs during regular market hours (9:30am to 4:00pm ET) and during the Post-Close Trading Session per Part III, Item 18. With respect to opening, 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.