Tor Brokerage ATS

amendment_reason

This Material Amendment reflects changes to Part III Items 9, and 19. The change to Part III Item 9 pertains to the prioritization in the IOI books. The change to Part III Item 19 reflects the changes in the fees charged by the ATS. These changes apply to all Subscribers and to the broker-dealer operator.

ats_name

TOR ATS

operator_crd

000135274

operator_name

TOR BROKERAGE LLC

order_types

a. OEFs enter orders only; EMMs send only IOIs. IOIs received before 9:30 a.m. and after 4:00 p.m. ET are silently ignored. The market data feed used to price pegged OEF orders is disseminated by the Securities Information Processor (SIP). OEFs can send the following types of orders: 1) Market orders 2) Limit orders 3) Pegged orders allow Subscribers to price orders relative to the current market price of a security. All order types are supported only between 9:30 a.m. and 4:00 p.m. ET. The offsets allow a Subscriber to peg an order with an incremental difference, in $0.01 increments from the NBBO for NMS stocks priced above $1.00 and $0.0001 for NMS stocks trading below $1.00. The increment can be either positive (higher price) or negative (lower price). There are three types of pegged orders: I. Primary Peg: peg an order to the same side of the market. Buy orders maintain a limit price equal to NBB and sell/sell short orders maintain a limit price equal to NBO. Primary Peg orders support offsets. II. Market Peg: peg an order to the opposite side of the market, with an offset value, in pennies. For example: i. BUY market pegged + 0 means buy at the offer (+1 is 1 increment above NBO) ii. SELL market pegged + 0 means sell at the bid (-1 is 1 increment below NBB) III. Mid-Point Peg: peg an order to the mid-point of the market. These orders will peg in half penny increments in the event of an odd spread. The Mid-Point Peg orders do not support an offset value. All OEF orders contain at least side, symbol and minimum quantity; limit orders contain price, while pegged orders contain the instructions on how price is calculated. Except for trading in NMS stocks priced below $1.00, TOR ATS does not accept OEF orders with sub-penny values in the price tag; however mid-point executions may occur at sub-penny values. For NMS stocks trading below $1.00 OEFs may enter orders priced in $0.0001 increments. TOR ATS does not adjust limit prices or peg type based on NBBO or other market conditions. TOR ATS organizes the order entry firm orders ("OEF orders") in a book by symbol, that is not visible to either EMMs or other OEFs, until matched with an IOI or crossed with another OEF order, since OEF orders can interact among themselves. The OEF order book is prioritized by: i. Price ii. Time of entry iii. Size The order book is re-prioritized upon a change in the NBBO, a new OEF order, or an OEF cancel request. Upon re-prioritization the orders keep their time of entry, including pegged orders. The timestamp of an order is the time the order was received from the OEF, and it is modified only when the OEF requests a "cancel". The pegged orders are treated the same as non-pegged orders in terms of priority i. The orders are not visible to any other trading Subscribers on TOR ATS. An order is executable when there is a matching OEF order or a matching IOI at the same price and size equal to or larger than the minimum quantity requested by the OEF. ii. TOR ATS does not have a post-only order type. OEF orders are executable against other OEF orders and IOIs in TOR ATS, provided the OEF has not opted out of interaction with the IOIs. iii. The pegged limit orders' price changes with the NBBO when the order book is reprioritized. These OEF orders retain the time stamp they were assigned at the time of order entry. A pegged order becomes eligible for routing to an EMM when there is a matching IOI in TOR ATS that would meet the order's price and minimum quantity, and there is no OEF order it could be crossed with. iv. OEF orders are eligible for "dark pinging" provided the OEF has not opted out of this strategy. "Dark pinging" means routing out to EMM Subscribers' principal books if there is no matching OEF order and no matching IOI on TOR ATS, and the order is marketable at the NBBO (see Part III, Item 11(c)). v. TOR ATS supports Day and immediate-or-cancel ("TOR IOC") time-in-force instructions. A Day order is an order that automatically expires if it is not executed before the end of the trading day on which the order was entered. Subscribers can cancel Day orders at their discretion during the trading day. A TOR IOC order is an order that executes all or in part immediately and automatically cancels any unfilled portion of the order. All TOR IOC orders survive for the length of the matching process and "dark-ping" routing (if eligible) up to 900 milliseconds, unless successfully canceled by the Subscriber before. vi. There are no circumstances under which order types can be combined. Subscribers can cancel their orders at any time. OEF orders can be rejected for invalid symbol, and / or a price five percent or more outside the NBBO (5% above for buy orders and 5% below for sell orders) at the time of order receipt. vii. The order types described herein are available across all forms of OEF connectivity supported by TOR ATS, as described in Item 6. For the purpose of matching and routing, all pegged orders are converted to limit orders, at that time. There are no circumstances under which order types will be combined. Subscribers can cancel their orders. All orders can be cancelled upon a "disconnect" if the order entry FIX session disconnects (this functionality is configurable by FIX session). OEF orders can be rejected for failing validation as described in Part III, Item 23.

means_of_entry

TOR ATS requires all OEF orders and IOIs to be entered via the FIX protocol, version 4.2. The FIX session with Subscribers may be established over a cross-connect or an internet-based virtual private network ("VPN"). A virtual private network extends a private network across a public network and enables users to send and receive data across shared or public networks as if their computing devices were directly connected to the private network. The FIX sessions for OEF orders are separate from the FIX sessions for IOIs, even if established with the same Subscriber, because they have different message types and functionality, for the purpose of entering OEF orders and IOIs [see Part III, Item 2(b)].

pricing_methodology

TOR ATS subscribes to Nasdaq's UTP Level 1 non-display usage for its own behalf. TOR ATS also subscribes to NYSE's Network A and B, non-display usage for its own behalf. The market data provider is ACTIV Financial, as noted in Part II, Item 6. The market data is used to: 1) Record NBBO at the order arrival time 2) Price pegged orders 3) Validate the priced orders are within +/-5% band around NBBO. This aggressive limit order check rejects orders that are priced over 5% above (on buy orders) or below (on sell orders) the NBBO at time of receipt. Additionally, if the stock is priced less than $10.00, the aggressive limit order check uses a static value of $1.00 instead of 5%. 4) Price the IOIs understood to be at NBBO 5) Monitor for short sale restrictions, trading halts and Limit Up Limit Down ("LULD"). During regular trading hours, should TOR ATS lose its connections to the market data feed, Tor will suspend trading in the ATS until the market data feed connection is reestablished. As mentioned in Part III, Item 20, Tor may suspend trading in the ATS if it determines its market data feed is providing inaccurate or unreliable data. Tor does not maintain a backup market data feed.

counterparty_selection

An OEF may choose whether its orders will: 1) Interact with any IOIs 2) Interact with IOIs outside NBBO 3) Be routed to another Subscriber EMM who is an IOI originator (defined in Part II, Item 7(a)) 4) Be routed to other Subscriber EMMs during the execution of the Dark ping algorithm (defined in Part III, Item 11(c)) These choices are configurable by the OEF through the FIX session established with the order entry firm and apply to all OEF orders received through that session. (An order entry firm may establish multiple FIX sessions with the ATS, each with a different configuration.) Orders from one OEF can interact with orders from another OEF; orders from the same OEF could be matched, as the matching algorithm does not differentiate on the subscriber identity in this respect. OEFs cannot direct orders. A Subscriber EMM is sending IOIs which are not visible to OEFs or other EMMs. The IOIs are not disseminated and not shown on any public website. EMMs cannot direct IOIs. An OEF doesn't receive information about its order being matched with an IOI, and a Subscriber EMM learns about the OEF order only after it has been matched with an IOI. An EMM Subscriber does not have the ability to opt out of interacting with an OEF order as a result of either IOI matching, or Dark pinging.

financial_condition_summary

All Subscribers are assessed a variable commission fee on a per-share or per-notional basis for executions in TOR ATS that is negotiated between TOR and the Subscriber. Variables that can impact the fees include, but are not limited to, the Subscriber type, trading volume, clearing costs, connectivity costs. The preferred method of connectivity is the fiber-optic cross-connect (as described in Part II, Item 6) the cost of which is charged by the Equinix data center and is a negotiated cost item between Tor Brokerage and the Subscriber. Trading fees for NMS stocks priced above $1.00 are per traded share, not to exceed $0.0015 and no less than $0.0002 charged to the order entry firm. Fees may be different for transactions occurring at or within the NBBO but may still not exceed $0.0015 per share. For transactions occurring outside the NBBO, fees are no more than $0.003 per share for stocks trading above $0.00. Fees for NMS stocks priced below $1.00 are between 0.0005% and 0.0008% of the notional value of the trade. The Subscriber is responsible for the fees, costs and expenses associated with its access to and use of TOR ATS, including equipment, software, telecommunications and other connectivity costs, and any of their development costs. The EMMs are charged $0 per IOI and are not compensated for participation (posting or transacting) therefore having no impact on the fees charged by TOR ATS.

financial_condition_summary

All Subscribers are assessed a variable commission fee on a per-share or per-notional basis for executions in TOR ATS that is negotiated between TOR and the Subscriber. Variables that can impact the fees include, but are not limited to, the Subscriber type, trading volume, clearing costs, connectivity costs. The preferred method of connectivity is the fiber-optic cross-connect (as described in Part II, Item 6) the cost of which is charged by the Equinix data center and is a negotiated cost item between Tor Brokerage and the Subscriber. Trading fees for NMS stocks priced above $1.00 are per traded share, not to exceed $0.0015 and no less than $0.0002 charged to the order entry firm. Fees may be different for transactions occurring at or within the NBBO but may still not exceed $0.0015 per share. Fees for NMS stocks priced below $1.00 are between 0.0005% and 0.0008% of the notional value of the trade. The Subscriber is responsible for the fees, costs and expenses associated with its access to and use of TOR ATS, including equipment, software, telecommunications and other connectivity costs, and any of their development costs. The EMMs are charged per share, per matched IOI in a range from $0.0008 to $0.0012 and they are not compensated for participation (posting or transacting) therefore having no impact on the fees charged by TOR ATS.

conflict_description

Velocity Clearing, LLC ("Velocity Clearing") is a broker-dealer registered with the SEC (SEC# 8-65894) and 9 SROs (CRD# 126588). The firm provides a wide range of services to its clients; stock locate services, securities borrow coverage, clearing infrastructure, in-house market making desk, competitive financing and full support client services. The firm will enter its customer orders on an agency basis into the TOR ATS under MPID QNTX. Velocity Clearing will not enter principal orders or riskless principal orders on TOR ATS. Velocity Clearing is owned by VCT Holdings LLC which holds an equity interest in Tor; and VCT Holdings LLC is partially owned by VCT Holdings II LLC, which also holds an equity interest in Tor.

compliance_officer

TOR ATS is accessible via the industry standard FIX 4.2 protocol. The API does not disseminate trades that occur on the ATS. TOR ATS provides a range of IP addresses for each requested API connection, or the Subscriber provides TOR ATS with a range of unique globally routable addresses assigned to the Subscriber, from which the Subscriber will be able to connect, and TOR ATS then configures its network routers to only allow access from the Subscriber's IP address to a dedicated IP address on TOR ATS's order handling network. In this way, only authorized Subscribers can gain access to TOR ATS via registered physical IP addresses. Additionally, connectivity to TOR ATS occurs through secure points of entry through cross-connections from Subscriber's equipment hosted in the same data center as that of the system located at the Equinix data center, Building NY4, 755 Secaucus Road, Secaucus, NJ 07094. There is a single runtime instance of the TOR ATS, at this address, and there is no backup image that can be instantiated at another location, in case of system failure (see Part I, 7). Tor Brokerage considers Subscribers' confidential trading information to be Subscriber activity and execution data from their interaction with and usage of TOR ATS services discussed throughout this Form, defined immediately below. CONFIDENTIAL INFORMATION Confidential trading information is deemed to include: 1) Subscriber Order Entry Firm ("OEF") order detail as described in Part III, Item 7(a); 2) Subscriber execution detail; 3) Individual Subscriber order and execution statistics; 4) FIX messages sent to TOR ATS from Subscribers; 5) FIX messages sent from TOR ATS to Subscribers 6) Indication Of Interest ("IOI") message detail received from EMM ("Electronic Market Maker") Subscribers; 7) OEF Order routing detail from Tor Brokerage to the EMM that originated the IOI matching the OEF order as described in Part III, Item 11(c), also known as the "IOI originator"; 8) "Dark ping" OEF order detail and timing [described in Part III, Item 11(c)]. As described in Part III, Item 16(b), Tor Brokerage performs outbound routing when needed. In making routing determinations, the router does not have access to Subscribers' Confidential Information, other than OEF order information and FIX messages necessary to route a specific OEF order. The Technology Team [defined in Part II, Item 6(a) and Part II, Item7(d)] is also responsible for the monitoring of Tor Brokerage's routing activities. Employees are not authorized to use Confidential Information for purposes of routing OEF orders. Tor Brokerage maintains secured access to both physical and non-physical assets. Physical access to servers and related infrastructure is limited to key personnel at the datacenters; data center engineers administering the co-location services and implementing cross-connections; the network and security engineers of a third-party firm contracted for low level networking programming and cybersecurity services; the CEO of Tor Brokerage and the CTO of VCT Technologies. Non-physical access to servers / desktops is limited to authorized individuals maintaining active passwords in accordance with TOR ATS password policy. Failure to comply with Tor Brokerage's password policy will result in revoked access to non-physical assets. Tor Brokerage requires completion and approval of new hire, and voluntary or involuntary terminated employee and consultant checklist lists for control of access to Subscriber data, prior to commencement of work with the firm and following termination. Subscriber data includes any confidential trading information as defined above, as well as Subscriber onboarding paperwork, trading reports and other Subscriber identifying documentation. Written, documented authorization to access confidential trading information is provided by a supervisory principal of Tor Brokerage. Annual review of each employee's and consultant's access to confidential trading information through systems and physical areas of Tor Brokerage is conducted by Tor's Chief Compliance Officer. And quarterly, Tor's systems are subject to a penetration attempt run by a security expert contractor. Recognized cybersecurity protocols are documented by the contractor, enforced through hardware and software modifications and upgrades, and reviewed during periodic cybersecurity meetings with Tor Brokerage and Velocity Technologies. PERSONAL TRADING ACCOUNT POLICIES Employees are required to obtain compliance approval prior to establishing brokerage accounts. Annually, each employee must attest in writing that they have disclosed to Tor Brokerage Compliance all their brokerage accounts and they understand and will abide by Tor Brokerage's personal trading policies. At least quarterly, for each disclosed account, Tor Brokerage Compliance Department reviews the trading activity and money movements for insider trading, compliance with Tor Brokerage policies and anti-money laundering laws. Tor Brokerage does not require its employees to pre-clear their trades. The employees' broker-dealer firms send duplicate confirmations to Tor Brokerage, as they occur. Tor Brokerage prohibits all employees from trading based on non-public or other confidential information, which would include Subscriber confidential trading information. Upon hire and annually thereafter, each employee is required to read and attest to understanding and abiding to Tor Brokerage's Insider Trading and Personal Securities Transactions/Prevention of Misuse of Non-Public Information Policies and Procedures. Distribution and collection of the attestations are handled by Tor Brokerage Compliance Department. It is the policy of Tor Brokerage and TOR ATS that their employees shall not act as principal in any trading activity, or trade for their own account, in TOR ATS.

hours_of_operation

TOR ATS will observe the holiday schedule of the New York Stock Exchange. On trading days, TOR ATS executes trades between the hours of 9:30:00 A.M. ET and 4:00:00 P.M. ET. IOIs received before 9:30 AM and after 4:00 PM, are silently ignored, i.e., they are not placed in the IOI book. During 9:30 A.M. and 4:00 P.M. Tor Brokerage may route unmatched OEF orders to EMM Subscribers. TOR ATS accepts OEF orders as early as 6:00:00 A.M. ET. At a Subscribers' discretion, orders received prior to 9:30:00 A.M. ET may be accepted and held by TOR ATS until 9:30:00 A.M. ET. At that time, the orders become eligible for execution. Alternatively, Subscribers wishing to execute their orders between 6:00:00 A.M. ET and 9:30:00 A.M. ET may instruct TOR Brokerage to route orders to away trading centers where orders are eligible for "pre-market" execution. At 4:00:00 P.M. ET, all IOIs are cancelled at TOR ATS; and all non-executed orders are cancelled, except for those orders entered by a Subscriber wishing to trade in the "post-market". Those orders are routed by Tor Brokerage to away trading centers where orders are eligible for "post-market" execution; there will be no order matching activity on the TOR ATS. At the Subscribers' discretion Tor Brokerage accepts and routes orders eligible for "post-market execution" between 4:00:00 P.M. ET and 5:00:00 P.M. ET. At 5:00:00 P.M. ET all open orders are cancelled.

display_best_quotes

When the OEF order has no match in the ATS order book, then IOI book matching and Dark ping strategies are employed to facilitate the execution of the order, provided the OEF has not opted out. In that case, the OEF order is being routed to Subscriber EMMs' principal books, who may decline to interact with it, and the OEF order will be returned to the ATS order book except if it were an IOC. In all cases, the OEF order is routed to an EMM as a TOR IOC, through the FIX protocol and it is removed from the ATS order book prior to routing to EMMs. (See Part III, Items 7.a, 9.a, 11.a, 11.c and 16.)

execution_services

TOR ATS accepts OEF orders beginning at 6:00 a.m. ET but matching only occurs during normal market hours - 9:30 a.m. to 4:00 p.m. ET. IOIs received before 9:30 a.m. ET and after 4:00 p.m. ET are silently ignored. The OEF orders will remain in an accepted state and no executions will occur until the matching engine detects the opening print and limit up limit down ("LULD") band from the primary listing exchange for each symbol. Once the matching engine begins trading, the standard priority logic and matching logic will be applied to any open orders as described in Part III, Item 11(c). Following a stoppage of trading in a security during regular trading hours, TOR ATS will not execute transactions until the matching engine detects a reopening print (for an exchange-initiated stoppage) or pricing information (for a TOR ATS-initiated stoppage) and a LULD band from the primary exchange. If the primary listing exchange does not reopen (or pricing information is unavailable) after a stoppage, TOR ATS will not match orders in the security, and it will not accept new OEF orders and IOIs in that stock.