Goldman Sachs SIGMA X2

amendment_reason

This Updating Amendment changes the response to Part 1 Item 8 by providing an amended copy of Schedule A of the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2. This change applies solely to GSCO, the Broker-Dealer Operator, as it reflects a change to the direct owners/executive officers of GSCO.

amendment_reason

This Updating Amendment changes the response to Part III Item 23a (Market Data) regarding the exchanges for which Sigma X2 uses SIP data. This amendment applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

This Updating Amendment (1) changes the response to Part 1 Item 8 by providing an amended copy of Schedule A of the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2, (2) changes the response to Part II Item 5.a. (Other Products and Services) and Part III Item 5.c. (Means of Entry) to reflect an internal operational change regarding the methodology by which directed orders are sent to Sigma X2, and (3) changes the response to Part III Item 5.c. (Means of Entry) to provide additional detail regarding the internal operational flow for Indirect Subscribers' orders. The change to Part 1 Item 8 (amended copy of Schedule A) applies solely to GSCO, the Broker-Dealer Operator, as it reflects a change to the direct owners/executive officers of GSCO. The changes to Part II Item 5.a. and Part III Item 5.c. apply to Indirect Subscribers (defined in Part II Item 5.a.) and GSCO, the Broker-Dealer Operator.

amendment_reason

This Updating Amendment changes the response to Part 1 Item 8 by providing a revised copy of Schedule A of the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2. Accordingly, this amendment only concerns GSCO, the Broker-Dealer Operator of Sigma X2, and reflects a change to the direct owners/executive officers of GSCO.

amendment_reason

This Updating Amendment revises: (1) Part 1, Item 8, by providing an updated copy of Schedule A to the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2, reflecting the removal of a Co-Chief Compliance Officer, (2) Part II, Item 1.a to note an additional MPID, GSLT, for certain Goldman Sachs Electronic Trading ("GSET") client order flow that can be routed to Sigma X2, (3) Part II, Item 4.a to remove reference to a defunct mutual access agreement, (4) Part III, Item 21.a regarding the trade reporting facilities (TRFs) used by Sigma X2, and (5) Part III, Item 23.a to update the description of an exchange's market data offering. Revision (1) applies solely to GSCO and revisions (2), (3), (4) and (5) apply to both GSCO and Subscribers.

amendment_reason

This Updating Amendment revises: (1) Part 1, Item 8, by providing an updated copy of Schedule A to the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2, reflecting the addition of a Chief Compliance Officer, and (2) Part II, Item 3a. (Order Interaction with Broker-Dealer Operator; Affiliates) and Part III, Item 11c. (Trading Services, Facilities and Rules) to reflect that Sigma X2 Participants can block interactions with GSCO principal orders at the Participant-level or on an order-by-order basis. Revision (1) applies solely to GSCO and revision (2) applies to all Participants.

amendment_reason

This Updating Amendment revises the responses to (1) Part I, Item 8 by providing an updated copy of Schedule A to Goldman Sachs & Co. LLC's (GSCO) Form BD, (2) Part II, Item 7a. (Protection of Confidential Trading Information) to update and clarify certain aspects of (i) GSCO's internal policies and procedures regarding employee personal trading policies and (ii) GSCO's policies and procedures regarding the safeguarding of Subscribers' confidential trading information, and (3) Part III, Item 20a. (Suspension of Trading) to clarify the nature of a systematic control. The changes noted in (1) and (2)(i), above, apply to GSCO, the Broker-Dealer Operator of Sigma X2. The changes noted in (2)(ii) and (3), above, apply to all Subscribers and GSCO.

amendment_reason

This Updating Amendment revises the responses to Part III, Item 9.a. (Conditional Orders and Indications of Interest) and Item 14.a. (Counter-Party Selection). The revisions reflect that the feature through which Direct Subscribers, by contacting GSCO Coverage, can have their Firm orders opted-out of interaction with Conditional orders at the FIX session level is not currently available. When available, another Updating Amendment will be filed. Direct Subscribers can opt-out of Conditional order interaction on a per-order basis. This Amendment applies to all Direct Subscribers.

amendment_reason

This Updating Amendment revises the responses to (1) Part 1, Item 8 by providing an updated copy of Schedule A to the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2, and (2) Part III, Item 23 (Market Data) to update information regarding Sigma X2's use of direct market data feeds. The change noted in (1), above, applies solely to GSCO, the Broker-Dealer Operator of Sigma X2. The change noted in (2), above, applies to GSCO and all Subscribers.

amendment_reason

This Updating Amendment revises the response to Part 1, Item 8 by providing an updated copy of Schedule A to the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2. The change applies solely to GSCO, the Broker-Dealer Operator of Sigma X2.

amendment_reason

This Updating Amendment revises the responses to (1) Part 1, Item 8, by providing an updated copy of Schedule A to the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2, reflecting the addition of a Co-Principal Operations Officer, and (2) Part II, Item 7.d (Protection of Confidential Trading Information), to remove references to employee roles that had access to confidential trading information because such roles no longer exist. The changes noted in (1), above, apply solely to GSCO, the Broker-Dealer Operator of Sigma X2. The changes noted in (2), above, apply to GSCO and all Subscribers.

amendment_reason

This Correcting Amendment changes the response to Part III Item 23 (Market Data) to reflect the exchanges for which Sigma X2 currently uses SIP data. This amendment applies to all Subscribers and the Broker-Dealer Operator.

amendment_reason

This Updating Amendment revises the response Part 1, Item 8, by providing an updated copy of Schedule A to the Form BD of Goldman Sachs & Co. LLC (GSCO), the Broker-Dealer Operator of Sigma X2, reflecting the removal of a Principal Operations Officer and a Manager, and a Control Person status change. The changes apply solely to GSCO.

amendment_reason

This Material Amendment revises Part III, Items 13.a. and 13.d. to describe Participant Categories, a type of segmentation within Sigma X2's Counterparty Classification Framework by which each Direct Subscriber MPID or GSID, as applicable, will be designated as either Participant Category 1 or Participant Category 2. Except with respect to directed orders to Sigma X2 via SOR, such categorization may be used by GSCO Algorithms and SOR, on behalf of Indirect Subscribers, to determine the Participant Category/Categories with which such orders may interact on an order-by-order basis. Related and conforming revisions are also made to Part II Item 7.d, Part III, Items 3.a., 9.a., 11.a., 11.c., 14.a., and 14.b. and, separately, Part III, Item 13.a. is revised to reflect GSCO's ability to change a Participant's assigned Liquidity Taker Category on an intra-month basis if, following a category change, the Participant's behavior materially changes in a manner that is no longer consistent with the recently assigned category. As described, the revisions pertain to Sigma X2 Subscribers including GSCO, the broker-dealer operator of Sigma X2.

amendment_reason

This Updating Amendment revises Part III, Item 19a. (Fees) to describe the manner in which Consolidated Audit Trail (CAT) fees are assessed and passed to Subscribers for executions in Sigma X2. The revision applies to Subscribers and GSCO.

amendment_reason

This Updating Amendment revises the language in Part II, Item 7.a (Protection of Confidential Trading Information) to reflect a name change relating to a portion of Goldman Sachs & Co. LLC's (GSCO's) business, and to provide additional information on certain internal policies. The revisions are applicable to GSCO, the Broker-Dealer Operator of Sigma X2.

amendment_reason

This Updating Amendment (1) revises Part II, Items 2.a, 5.c., 7.a. and 7.d., and Part III Item 5.c. to identify and reflect that certain additional affiliates can send orders to Goldman Sachs & Co. LLC (GSCO) which may be entered or directed to Sigma X2 by GSCO using GSCO's algorithms or smart order router (SOR), (2) revises Part II, Item 6.a to reflect that no employees of a GSCO affiliate have responsibilities regarding the operation of Sigma X2, and (3) revises Part II, Items 7.a. and 7.d. to, respectively, update the name of certain policies and procedures and eliminate a stale reference to the Order Audit Trail System (OATS). The changes apply to all Subscribers and GSCO, the Broker-Dealer Operator.

amendment_reason

This Material Amendment revises the responses to Part II, Items 1.a, 2.a, 3.a, and 5.a, and Part III, Items 2.b, 4.a, 5.a, 5.c, 7.a, 8.a, 8.c, 8.e, 9.a, 9.b., 10.a, 10.c, 11.a, 11.c, 13.a, 14.a, and 15.b. The changes, as described, will allow Participants to submit and interact with Conditional orders in Sigma X2. This amendment applies to all Participants and the Broker-Dealer Operator.

amendment_reason

This Updating Amendment revises the responses to Part III, Item 9.a. (Conditional Orders and Indications of Interest) and Item 14.a. (Counter-Party Selection). The revisions reflect that the feature through which Direct Subscribers, by contacting GSCO Coverage, can have their Firm orders opted-out of interaction with Conditional orders at the FIX session level is now available. Direct Subscribers can now opt-out of Conditional order interaction on a per-order basis or at the FIX session level. This Amendment applies to all Direct Subscribers.

amendment_reason

This is an Updating Amendment to the Material Amendment filed on April 8, 2022. This Updating Amendment revises the responses to Part II, Items 1.a, 2.a, 3.a, and 5.a, and Part III, Items 2.b, 4.a, 5.a, 5.c, 7.a, 8.a, 8.c, 8.e, 9.a, 9.b, 10.a, 10.c, 11.a, 11.c (and accompanying exhibit), 13.a, 14.a, and 15.b. The changes, as described, allow Participants to submit and interact with Conditional orders in Sigma X2 and, with respect to Part III, Item 11.c, also provide clarifying information regarding Post Only orders. This amendment applies to all Participants and the Broker-Dealer Operator.

ats_name

Sigma X2

operator_crd

000000361

operator_name

GOLDMAN SACHS & CO. LLC

order_types

ORDER TYPES AND PARAMETERS Upon receipt of each order, Sigma X2 will determine and apply an "Assigned Limit Price." The Assigned Limit Price of an order is the highest price for a buy order (lowest for a sell order) at which the order may be executed at or within the National Best Bid and Offer ("NBBO") after applying the constraints selected by the Participant (e.g., limit price or peg type). Assigned Limit Prices will be reevaluated and updated as may be necessary with each change in the NBBO. Sigma X2 will not apply an Assigned Limit Price worse than the Participant's Limit Price. Sigma X2 supports the following order types: LIMIT ORDERS. Limit orders, which are determined by the Participant, are posted to the Sigma X2 order book with an Assigned Limit Price equal to the order's Limit Price with the following exception: - Orders with prices outside the NBBO (i.e., at prices higher than the NBBO for buy orders and lower than the NBBO for sell orders) are given an Assigned Limit Price at the NBBO. For example, if the NBBO is $10.00 x $10.02, a buy order with a limit price of $10.03 will have an Assigned Limit Price of $10.02. Pursuant to Rule 612 under Regulation NMS, orders with a price not within the minimum quotation increment will be rejected. (For orders priced at or above $1.00, the minimum increment is $0.01. For orders below $1.00, the minimum increment is $0.0001. The Assigned Limit Price will follow these pricing requirements.) No order will be executed at a price worse than the order's Limit Price. If a Participant amends the Limit Price of an order, Sigma X2 will reevaluate and update the Assigned Limit Price as may be necessary. PEG ORDERS. Sigma X2 supports three peg types: - Mid Peg - an order pegged to the midpoint of the current NBBO. - Market Peg - an order pegged to the far side of the NBBO (e.g., best offer for a buy order). - Primary Peg - an order pegged to the near side of the NBBO (e.g., best bid for a buy order). All peg orders require a limit price. A peg order will have an Assigned Limit Price as close to the midpoint of the NBBO as possible given the constraints of the order's peg type and limit price. For example, where the NBBO is $10.00 x $10.02: - a Mid Peg sell order with a limit price of $10.00 will have an Assigned Limit Price of $10.01; and - a Mid Peg sell order with a limit price of $10.02 will have an Assigned Limit Price of $10.02. Attached are examples of the Assigned Limit Price logic for buy and sell orders. Note, if a Participant amends the peg instruction of an order, Sigma X2 will update the Assigned Limit Price as appropriate. Sigma X2 also will reevaluate and update the Assigned Limit Price of a Peg Order, as may be necessary, as a result of changes to the NBBO. SECURITIES PRICED UNDER $1.00. - Where the Assigned Limit Price of an order would be the midpoint of the NBBO and the midpoint price extends to five decimal places, Sigma X2 will apply conservative rounding to four decimal places (i.e., the price of a sell order will be rounded up, and the price of a buy order will be rounded down). - Accordingly, where the Assigned Limit Price of a midpoint peg sell order and a midpoint peg buy order would be the midpoint of the NBBO, which for example is $0.60045, the Assigned Limit Price of the sell order will be $0.6005, and the Assigned Limit Price of the buy order will be $0.6004. Sigma X2 would not match these orders. TIME IN FORCE Sigma X2 supports Day and IOC time in force designations on orders. Any combination of order type, described above, and one of the two time in force designations is valid. Currently, the GSCO algorithms and SOR (described in Part II, Item 5.a.) make use of all order types and time in force combinations except for primary peg IOC orders. Day Orders: The order will remain in the Sigma X2 order book until it is cancelled, the full quantity is executed, or the market closes. Day orders may be modified, replaced or cancelled by a Participant. Immediate-or-Cancel ("IOC") Orders: The order will match immediately with eligible resting contra-side orders and Sigma X2 will cancel back the balance. IOC orders may not be modified, replaced or cancelled by a Participant. Participants can change a time in force designation on an order from Day to IOC, not the converse. At such time, Sigma X2 will: (i) reevaluate and update the Assigned Limit Price of the order as may be necessary; (ii) scan the book for available contra-side interest, treating the amended IOC order as a liquidity-taking order; and (iii) then, execute or cancel the order. REASONS TO REJECT OR CANCEL ORDERS An order may be rejected or cancelled for various reasons, including incomplete order instructions or if the order message contains an invalid instruction or parameter (e.g., missing side, size exceeding maximum allowable quantity). The Sigma X2 FIX spec, which is provided at onboarding, details all cancel and reject reasons. Additionally, executions will be blocked during locked or crossed market conditions. ROUTING TO OTHER MARKET CENTERS Sigma X2 does not route orders to other market centers.

order_types

ORDER TYPES AND PARAMETERS Upon receipt of each order, Sigma X2 will determine and apply an "Assigned Limit Price." For Firm and Conditional orders, the Assigned Limit Price of an order is the highest price for a buy order (lowest for a sell order) at which the order may be executed at or within the National Best Bid and Offer ("NBBO") after applying the constraints selected by the Participant (e.g., limit price or peg type). Assigned Limit Prices will be reevaluated and updated as may be necessary with each change in the NBBO. Sigma X2 will not apply an Assigned Limit Price worse than the Participant's Limit Price. Sigma X2 supports the following order types: LIMIT ORDERS. For Firm and Conditional orders, Limit orders, which are determined by the Participant, are posted to the Sigma X2 order book with an Assigned Limit Price equal to the order's Limit Price with the following exception: - Firm and Conditional orders with prices outside the NBBO (i.e., at prices higher than the NBBO for buy orders and lower than the NBBO for sell orders) are given an Assigned Limit Price at the NBBO. For example, if the NBBO is $10.00 x $10.02, a buy order with a limit price of $10.03 will have an Assigned Limit Price of $10.02. Pursuant to Rule 612 under Regulation NMS, Firm and Conditional orders with a price not within the minimum quotation increment will be rejected. (For orders priced at or above $1.00, the minimum increment is $0.01. For orders below $1.00, the minimum increment is $0.0001. The Assigned Limit Price will follow these pricing requirements.) No Firm or Firm Up order will be executed at a price worse than the order's Limit Price. If a Participant amends the Limit Price of a Firm or Conditional order, Sigma X2 will reevaluate and update the Assigned Limit Price as may be necessary. PEG ORDERS. For Firm and Conditional orders, Sigma X2 supports three peg types: - Mid Peg - an order pegged to the midpoint of the current NBBO. - Market Peg - an order pegged to the far side of the NBBO (e.g., best offer for a buy order). - Primary Peg - an order pegged to the near side of the NBBO (e.g., best bid for a buy order). All Firm and Conditional peg orders require a limit price. A Firm or Conditional peg order will have an Assigned Limit Price as close to the midpoint of the NBBO as possible given the constraints of the order's peg type and limit price. For example, where the NBBO is $10.00 x $10.02: - a Mid Peg sell order with a limit price of $10.00 will have an Assigned Limit Price of $10.01; and - a Mid Peg sell order with a limit price of $10.02 will have an Assigned Limit Price of $10.02. Attached are examples of the Assigned Limit Price logic for buy and sell orders. Note, if a Participant amends the peg instruction of a Firm or Conditional order, Sigma X2 will update the Assigned Limit Price as appropriate. Sigma X2 also will reevaluate and update the Assigned Limit Price of a Firm or Conditional Peg Order, as may be necessary, as a result of changes to the NBBO. SECURITIES PRICED UNDER $1.00. - For Firm and Conditional orders, where the Assigned Limit Price of an order would be the midpoint of the NBBO and the midpoint price extends to five decimal places, Sigma X2 will apply conservative rounding to four decimal places (i.e., the price of a sell order will be rounded up, and the price of a buy order will be rounded down). - Accordingly, where the Assigned Limit Price of a midpoint peg sell order and a midpoint peg buy order would be the midpoint of the NBBO, which for example is $0.60045, the Assigned Limit Price of the sell order will be $0.6005, and the Assigned Limit Price of the buy order will be $0.6004. Sigma X2 would not match these orders. TIME IN FORCE Sigma X2 supports Day and IOC time in force designations on orders. Any combination of order type, described above, and one of the two time in force designations is valid for Firm orders. Conditional orders must be sent with a time in force of Day, while Firm Up orders can be sent with a time in force of Day or IOC. Currently, the GSCO algorithms and SOR (described in Part II, Item 5.a.) make use of all order types and time in force combinations except for primary peg IOC orders. Day Orders: For Firm orders, the order will remain in the Sigma X2 order book until it is cancelled, the full quantity is executed, or the market closes. For Conditional orders, the order will remain in the Sigma X2 order book until it is cancelled by the Participant, cancelled upon issuance of a Firm Up Request, or the market closes. Firm Up orders will remain active until executed (partial or full) or the Time Out period expires (as explained in Part III, Item 9.a). Day Firm and Day Conditional orders may be modified, replaced or cancelled by a Participant. A Day Firm Up order may only be modified, replaced or cancelled by a Participant if it is the first-in-time of two Firm Up orders resulting from a Conditional to Conditional match. Upon entry, Day Firm Up orders will be converted to an IOC for execution purposes (as explained in Part III, Item 9.a). Immediate-or-Cancel ("IOC") Orders: Firm IOC orders will match immediately with eligible resting contra-side orders and Sigma X2 will cancel back the balance. Firm IOC orders may not be modified, replaced or cancelled by a Participant. Firm Up IOC orders may remain active in Sigma X2 until cancelled, executed, or the Timeout Period expires (as noted in Part III, Item 9.a). A Firm Up IOC order may only be modified, replaced or cancelled by a Participant if it is the first-in-time of two Firm Up orders resulting from a Conditional to Conditional match. For Firm orders, Participants can change a time in force designation on an order from Day to IOC, not the converse. At such time, Sigma X2 will: (i) reevaluate and update the Assigned Limit Price of the order as may be necessary; (ii) scan the book for available contra-side interest, treating the amended IOC order as a liquidity-taking order; and (iii) then, execute or cancel the order. REASONS TO REJECT OR CANCEL ORDERS Firm and Conditional orders may be rejected or cancelled for various reasons, including incomplete order instructions or if the order message contains an invalid instruction or parameter (e.g., missing side, size exceeding maximum allowable quantity). The Sigma X2 FIX spec, which is provided at onboarding, details all cancel and reject reasons. Additionally, Firm and Firm Up executions will be blocked during locked or crossed market conditions. ROUTING TO OTHER MARKET CENTERS Sigma X2 does not route Firm or Conditional orders to other market centers.

means_of_entry

Direct Subscribers access Sigma X2 directly via a standard FIX connection (FIX version 4.2) dedicated to Sigma X2 and utilize FIX protocol for Firm and Conditional order submission.

means_of_entry

Direct Subscribers access Sigma X2 directly via a standard FIX connection (FIX version 4.2) dedicated to Sigma X2 and utilize FIX protocol for order submission.

pricing_methodology

Sigma X2 executes orders using an NBBO constructed by Ocean, a third-party technology provider for Sigma X2. Ocean constructs the NBBO using a combination of full network redundant direct market data feeds and market data disseminated by the Securities Information Processors ("SIPs") (the "Constructed NBBO"). Specifically, Sigma X2 uses direct market data feeds for all exchanges other than IEX and NYSE National (for which it uses the SIP). Separately, Sigma X2 uses full network redundant SIP feeds as a secondary source of the NBBO. The Constructed NBBO is used to price, prioritize, and execute orders. The ATS will arbitrate between the two feeds, direct or SIP, based on the detection of any market data latency. If there is an issue with the Constructed NBBO, transactions in Sigma X2 will be priced solely using the NBBO disseminated by the SIPs. Accordingly, all executions in Sigma X2 are programmed to match at or within the Constructed NBBO or the SIP NBBO.

pricing_methodology

Sigma X2 executes orders using an NBBO constructed by Ocean, a third-party technology provider for Sigma X2. Ocean constructs the NBBO using a combination of full network redundant direct market data feeds and market data disseminated by the Securities Information Processors ("SIPs") (the "Constructed NBBO"). Specifically, Sigma X2 uses direct market data feeds for all exchanges other than LTSE (which does not offer a direct market data feed). Separately, Sigma X2 uses full network redundant SIP feeds as a secondary source of the NBBO. The Constructed NBBO is used to price, prioritize, and execute orders. The ATS will arbitrate between the two feeds, direct or SIP, based on the detection of any market data latency. If there is an issue with the Constructed NBBO, transactions in Sigma X2 will be priced solely using the NBBO disseminated by the SIPs. Accordingly, all executions in Sigma X2 are programmed to match at or within the Constructed NBBO or the SIP NBBO.

pricing_methodology

Sigma X2 executes orders using an NBBO constructed by Ocean, a third-party technology provider for Sigma X2. Ocean constructs the NBBO using a combination of full network redundant direct market data feeds and market data disseminated by the Securities Information Processors ("SIPs") (the "Constructed NBBO"). Specifically, Sigma X2 uses direct market data feeds for all exchanges other than LTSE (which does not offer a direct market data feed), IEX, NYSE National, NYSE Chicago, MIAX Pearl Equities, and MEMX (for which it uses the SIP). Separately, Sigma X2 uses full network redundant SIP feeds as a secondary source of the NBBO. The Constructed NBBO is used to price, prioritize, and execute orders. The ATS will arbitrate between the two feeds, direct or SIP, based on the detection of any market data latency. If there is an issue with the Constructed NBBO, transactions in Sigma X2 will be priced solely using the NBBO disseminated by the SIPs. Accordingly, all executions in Sigma X2 are programmed to match at or within the Constructed NBBO or the SIP NBBO.

pricing_methodology

Sigma X2 executes orders using an NBBO constructed by Ocean, a third-party technology provider for Sigma X2. Ocean constructs the NBBO using a combination of full network redundant direct market data feeds and market data disseminated by the Securities Information Processors ("SIPs") (the "Constructed NBBO"). Specifically, Sigma X2 uses direct market data feeds for all exchanges other than LTSE (which does not offer a direct market data feed) and MEMX (for which it uses the SIP). Separately, Sigma X2 uses full network redundant SIP feeds as a secondary source of the NBBO. The Constructed NBBO is used to price, prioritize, and execute orders. The ATS will arbitrate between the two feeds, direct or SIP, based on the detection of any market data latency. If there is an issue with the Constructed NBBO, transactions in Sigma X2 will be priced solely using the NBBO disseminated by the SIPs. Accordingly, all executions in Sigma X2 are programmed to match at or within the Constructed NBBO or the SIP NBBO.

pricing_methodology

Sigma X2 executes orders using an NBBO constructed by Ocean, a third-party technology provider for Sigma X2. Ocean constructs the NBBO using a combination of full network redundant direct market data feeds and market data disseminated by the Securities Information Processors ("SIPs") (the "Constructed NBBO"). Specifically, Sigma X2 uses direct market data feeds for all exchanges other than LTSE (which does not offer a direct market data feed), NYSE National, and NYSE Chicago (for which it uses the SIP). Separately, Sigma X2 uses full network redundant SIP feeds as a secondary source of the NBBO. The Constructed NBBO is used to price, prioritize, and execute orders. The ATS will arbitrate between the two feeds, direct or SIP, based on the detection of any market data latency. If there is an issue with the Constructed NBBO, transactions in Sigma X2 will be priced solely using the NBBO disseminated by the SIPs. Accordingly, all executions in Sigma X2 are programmed to match at or within the Constructed NBBO or the SIP NBBO.

pricing_methodology

Sigma X2 executes orders using an NBBO constructed by Ocean, a third-party technology provider for Sigma X2. Ocean constructs the NBBO using a combination of full network redundant direct market data feeds and market data disseminated by the Securities Information Processors ("SIPs") (the "Constructed NBBO"). Specifically, Sigma X2 uses direct market data feeds for all exchanges other than LTSE. Separately, Sigma X2 uses full network redundant SIP feeds as a secondary source of the NBBO. The Constructed NBBO is used to price, prioritize, and execute orders. The ATS will arbitrate between the two feeds, direct or SIP, based on the detection of any market data latency. If there is an issue with the Constructed NBBO, transactions in Sigma X2 will be priced solely using the NBBO disseminated by the SIPs. Accordingly, all executions in Sigma X2 are programmed to match at or within the Constructed NBBO or the SIP NBBO.

counterparty_selection

For Firm and Conditional orders, Participants can limit the counterparties with which their orders interact through the use of certain order parameters and conditions (e.g., use of MinQty to specify a minimum quantity for execution against any single contra order or use of Affiliate-Match Prevention to block a match with an affiliated Participant) (See Part III, Item 11.c.). For Firm orders only, counterparties can be limited by the Counterparty Classification Framework (e.g., to allow liquidity-providing Participants to designate the category or categories of liquidity-taking orders with which they may interact) (See Part III, Item 13.a.). Additionally, a Direct Subscriber can limit the interaction of Firm orders with Conditional orders on an order by order basis (See Part III, Item 9.a.).

counterparty_selection

Participants can limit the counterparties with which their orders interact through the use of: (i) certain order parameters and conditions (e.g., use of MinQty to specify a minimum quantity for execution against any single contra order or use of Affiliate-Match Prevention to block a match with an affiliated Participant)(See Part III, Item 11.c.) and (ii) the Counterparty Classification Framework (e.g., to allow liquidity-providing Participants to designate the category or categories of liquidity-taking orders with which they may interact) (See Part III, Item 13.a.).

counterparty_selection

For Firm and Conditional orders, Participants can limit the counterparties with which their orders interact through the use of certain order parameters and conditions (e.g., use of MinQty to specify a minimum quantity for execution against any single contra order or use of Affiliate-Match Prevention to block a match with an affiliated Participant) (See Part III, Item 11.c.). For Firm orders only, counterparties can be limited by the Liquidity Taker Categories of the Counterparty Classification Framework (e.g., to allow liquidity-providing Participants to designate the category or categories of liquidity-taking orders with which they may interact). GSCO algorithms and the GSCO SOR, on behalf of Indirect Subscribers, may determine the Participant Categories with which such orders may interact (See Part III, Item 13.a.). Additionally, a Direct Subscriber can limit the interaction of Firm orders with Conditional orders on an order by order basis or opt-out at the FIX session level (See Part III, Item 9.a.).

counterparty_selection

For Firm and Conditional orders, Participants can limit the counterparties with which their orders interact through the use of certain order parameters and conditions (e.g., use of MinQty to specify a minimum quantity for execution against any single contra order or use of Affiliate-Match Prevention to block a match with an affiliated Participant) (See Part III, Item 11.c.). For Firm orders only, counterparties can be limited by the Counterparty Classification Framework (e.g., to allow liquidity-providing Participants to designate the category or categories of liquidity-taking orders with which they may interact) (See Part III, Item 13.a.). Additionally, a Direct Subscriber can limit the interaction of Firm orders with Conditional orders on an order by order basis or opt-out at the FIX session level (See Part III, Item 9.a.).

financial_condition_summary

Subscribers may access Sigma X2 directly (i.e., Direct Subscribers) or indirectly (i.e., Indirect Subscribers, whose fees are discussed below in response to Item 19.b.) and can utilize both ATS and non-ATS GSCO offered products and services. Direct Subscribers are charged commissions for executions in Sigma X2 on a per share basis. These commissions are consistent across security and order types. GSCO has the discretion to charge Direct Subscribers commissions that range from $.001 per share up to $.03 per share. In determining the commission rate, GSCO considers the Direct Subscriber's overall relationship with GSCO including the range of GSCO products and services the Direct Subscriber utilizes. Note, some GSCO clients are both Direct Subscribers and Indirect Subscribers (i.e., they access Sigma X2 both directly and indirectly) and may pay commissions specific to each type of access to Sigma X2. There are no subscription or connectivity fees for accessing Sigma X2.

financial_condition_summary

Subscribers may access Sigma X2 directly (i.e., Direct Subscribers) or indirectly (i.e., Indirect Subscribers, whose fees are discussed below in response to Item 19.b.) and can utilize both ATS and non-ATS GSCO offered products and services. Direct Subscribers are charged commissions for executions in Sigma X2 on a per share basis. These commissions are consistent across security and order types. GSCO has the discretion to charge Direct Subscribers commissions that range from $.001 per share up to $.03 per share. In determining the commission rate, GSCO considers the Direct Subscriber's overall relationship with GSCO including the range of GSCO products and services the Direct Subscriber utilizes. Note, some GSCO clients are both Direct Subscribers and Indirect Subscribers (i.e., they access Sigma X2 both directly and indirectly) and may pay commissions specific to each type of access to Sigma X2. There are no subscription or connectivity fees for accessing Sigma X2. As described in FINRA Rule 6897 (Consolidated Audit Trail Funding Fees), Executing Brokers (as defined for purposes of Rule 6897) are assessed CAT regulatory fees. In accordance with such rule, GSCO is always identified as the "CAT Executing Broker" for the buyer in each transaction executed on Sigma X2 and, as a result, GSCO is assessed CAT regulatory fees in that capacity. GSCO is also identified as the CAT Executing Broker for the seller in each transaction executed on Sigma X2 and, as a result, is assessed CAT regulatory fees in that capacity except when a broker-dealer Direct Subscriber is on the sell side of an execution in Sigma X2. In such instances, the broker-dealer Direct Subscriber on the sell-side will be the CAT Executing Broker for the seller and will be assessed CAT regulatory fees directly by FINRA CAT, LLC for such transaction. For all other sellers (i.e., non-broker-dealer Direct Subscribers and all Indirect Subscribers), GSCO is identified as the CAT Executing Broker for the seller and is assessed the CAT regulatory fees. At this time, through the issuance of monthly invoices, GSCO passes CAT regulatory fees that are assessed against it as the CAT Executing Broker (1) to non-broker-dealer Direct Subscribers for all of their executions in Sigma X2 (i.e., buy, sell and sell short executions), and (2) to broker-dealer Direct Subscribers for their buy executions in Sigma X2.

conflict_description

GSCO has a number of affiliate organizations that are classified as Broker-Dealers and Investment Advisors (domestic and foreign) that engage in various securities trading activities. Currently Goldman Sachs International "GSI"), Goldman Sachs Bank Europe SE ("GSOH") and Goldman Sachs Canada, Inc. ("GSCD") are foreign affiliates that are not registered in the U.S., and are entitled to send Firm and Conditional orders to GSCO which, where warranted, may be entered or directed to Sigma X2 by GSCO using GSCO's algorithms or the GSCO SOR. Such GSI and GSOH orders may be principal and/or agency orders, and such GSCD orders may be agency orders. These orders have GSCO's MPID attached to them. GSI, GSOH and GSCD are referred to herein as either "GSCO Affiliates" or "GSCO Affiliate" as warranted. Please note that while GSCO's affiliate Goldman Sachs Asset Management, L.P. ("GSAM"), a U.S. registered entity, routinely interacts and routes orders to GSCO to facilitate trade execution, GSAM is not permitted to enter or direct the entry of orders to Sigma X2.

conflict_description

GSCO has a number of affiliate organizations that are classified as Broker-Dealers and Investment Advisors (domestic and foreign) that engage in various securities trading activities. Currently however, only Goldman Sachs International ("GSI"), a foreign affiliate that is not registered in the U.S., is entitled to send orders to GSCO in a principal or agency capacity, which, where warranted, may be entered or directed to Sigma X2 by GSCO using GSCO's algorithms or the GSCO SOR. These orders have GSCO's MPID attached to them. Please note that while GSCO's affiliate Goldman Sachs Asset Management, L.P. ("GSAM"), a U.S. registered entity, routinely interacts and routes orders to GSCO to facilitate trade execution, GSAM is not permitted to enter or direct the entry of orders to Sigma X2.

conflict_description

GSCO has a number of affiliate organizations that are classified as Broker-Dealers and Investment Advisors (domestic and foreign) that engage in various securities trading activities. Currently however, only Goldman Sachs International ("GSI"), a foreign affiliate that is not registered in the U.S., is entitled to send Firm and Conditional orders to GSCO in a principal or agency capacity, which, where warranted, may be entered or directed to Sigma X2 by GSCO using GSCO's algorithms or the GSCO SOR. These orders have GSCO's MPID attached to them. Please note that while GSCO's affiliate Goldman Sachs Asset Management, L.P. ("GSAM"), a U.S. registered entity, routinely interacts and routes orders to GSCO to facilitate trade execution, GSAM is not permitted to enter or direct the entry of orders to Sigma X2.

compliance_officer

GSCO has written policies and procedures designed to safeguard confidential trading information. Such policies and procedures are global and, as such, apply to The Goldman Sachs Group, Inc. and all of its affiliates (e.g., GSCO, GSI and other affiliates). GSCO considers information about Participants' identities, orders, transactions, strategies, and activities to be confidential trading information subject to protection. GSCO and Affiliate employees' access to Participant confidential trading information is dependent upon the level of information that is needed to perform their duties and responsibilities related to Sigma X2 ("need to know standard"). GSCO and Affiliate employees are strictly prohibited from using such information in an unauthorized manner and from discussing the details of any trades executed in Sigma X2 with persons who do not need such information to carry out their designated duties and responsibilities. Access to such information is granted as needed to perform these duties and responsibilities (i.e., real-time or delayed, isolated, periodic, or continuous). The individuals and systems with access to Participant confidential trading information, including the basis for such access, are outlined in response to Part II, Item 7.d. Set forth below are the policies and procedures in place to safeguard and oversee the protection of Sigma X2 Participant confidential trading information. SEPARATION OF SYSTEMS AND EMPLOYEES: The Sigma X2 matching engine is physically separate from other GSCO systems as it is hosted and operated by Ocean on a daily basis (i.e., Sigma X2 does not share rack space with any other GSCO systems). Similarly, the Sigma X2 matching engine and order entry servers are on separate hardware from other systems hosted/operated by Ocean. Additionally, the Ocean employees that are responsible for the daily operation of Sigma X2 and that have access to the Sigma X2 order book are in a separate physical location from GSCO employees. GSCO employees with access to real-time Participant confidential trading information are in a different physical location on the floor, separate from GSCO principal trading employees. THIRD PARTY ACCESS PROTECTIONS: Certain Ocean and Nasdaq employees have access to Participant confidential trading information. Such employees include Ocean and Nasdaq staff from Compliance, Operations, Technology Development (including trading and surrounding systems), Product Management, and Business Management. The confidential trading information consists of information regarding individual orders and executions, names of Participants, and volume of orders in Sigma X2. Ocean's policies and procedures employ a three-pronged approach to permission access to Sigma X2. First, an 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. Third, once approved, the Ocean employee must complete Ocean's annual Compliance training. Ocean employees that have access to confidential trading information are subject to Ocean's "Information Barriers and Conflict Management Policies and Procedures." All Ocean employees are 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. GSCO has the right to audit Ocean's operation of Sigma X2, including Ocean's access to and use of Participant confidential trading information either through audits conducted by GSCO's own audit team or by third-party auditors. Such audits may be conducted on-site or off-site. Ocean also is obligated to notify GSCO of any actual or suspected unauthorized access to confidential information, which includes Participant confidential trading information, in a timely manner. GSCO ACCESS PROTECTIONS: Access to Sigma X2 is controlled through permission configurations that provide application access only to entitled users (i.e., users who require access to information to carry out designated duties and responsibilities as described in Part II, Item 7.d. below). Access entitlements are approved by designated supervisors and documented, tracked and monitored. Designated supervisors attest quarterly via a supervisor checklist confirming that procedures designed to safeguard and protect Participant confidential trading information were followed. Such procedures include reviews of organizational structure and new or transferred employees as well as reviews of any personal account trades and any related firm/divisional policy violations (as described below). GSCO employees with access to the Sigma X2 order book are prohibited from writing code (i.e., order handling logic) for the GSCO SOR and GSCO algorithms. GSCO also has detailed written firm-wide policies and procedures designed to monitor and limit employee personal trading, which includes requiring supervisory pre-approval to enter into personal trading account transactions. These policies and procedures are global. As such, they are applicable to The Goldman Sachs Group, Inc. and all of its affiliates and, accordingly, are applicable to all GSCO employees, including those with duties and responsibilities related to Sigma X2. Specifically, GSCO employees are prohibited from engaging in personal trading activity that, among other things, would conflict with or appear to conflict with client business or negatively impact client service or trading outcomes. To address potential conflicts of interest GSCO employs personal trading controls including the following: (i) requiring disclosure of all personal trading accounts for activity monitoring purposes; (ii) requiring pre-approval by a supervisor of trades in certain financial instruments; (iii) restricting personal trading in certain financial instruments (e.g., penny stocks and commodities); and (iv) limiting the number of personal trades that can be executed annually. GSCO supervisors will not approve personal trade requests if there is an appearance of impropriety (e.g., potential front-running). Additionally, except in specified circumstances, GSCO prohibits the use of external brokerage accounts. Finally, employee trades are subject to a 30-day holding period. On an annual basis, GSCO employees (including those with duties and responsibilities related to Sigma X2) participate in compliance training that addresses information protection and client confidentiality. Additionally, on a firm-wide basis GSCO continuously monitors electronic communications to identify potential policy violations.

compliance_officer

GSCO has written policies and procedures designed to safeguard confidential trading information. Such policies and procedures are global and, as such, apply to The Goldman Sachs Group, Inc. and all of its affiliates (e.g., GSCO, GSI and other affiliates). GSCO considers information about Participants' identities, orders, transactions, strategies, and activities to be confidential trading information subject to protection. GSCO and Affiliate employees' access to Participant confidential trading information is dependent upon the level of information that is needed to perform their duties and responsibilities related to Sigma X2 ("need to know standard"). GSCO and Affiliate employees are strictly prohibited from using such information in an unauthorized manner and from discussing the details of any trades executed in Sigma X2 with persons who do not need such information to carry out their designated duties and responsibilities. Access to such information is granted as needed to perform these duties and responsibilities (i.e., real-time or delayed, isolated, periodic, or continuous). The individuals and systems with access to Participant confidential trading information, including the basis for such access, are outlined in response to Part II, Item 7.d. Set forth below are the policies and procedures in place to safeguard and oversee the protection of Sigma X2 Participant confidential trading information. SEPARATION OF SYSTEMS AND EMPLOYEES: The Sigma X2 matching engine is physically separate from other GSCO systems as it is hosted and operated by Ocean on a daily basis (i.e., Sigma X2 does not share rack space with any other GSCO systems). Similarly, the Sigma X2 matching engine and order entry servers are on separate hardware from other systems hosted/operated by Ocean. Additionally, the Ocean employees that are responsible for the daily operation of Sigma X2 and that have access to the Sigma X2 order book are in a separate physical location from GSCO employees. GSCO employees with access to real-time Participant confidential trading information are in a different physical location on the floor, separate from GSCO principal trading employees. THIRD PARTY ACCESS PROTECTIONS: Certain Ocean and Nasdaq employees have access to Participant confidential trading information. Such employees include Ocean and Nasdaq staff from Compliance, Operations, Technology Development (including trading and surrounding systems), Product Management, and Business Management. The confidential trading information consists of information regarding individual orders and executions, names of Participants, and volume of orders in Sigma X2. Ocean's policies and procedures employ a three-pronged approach to permission access to Sigma X2. First, an 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. Third, once approved, the Ocean employee must complete Ocean's annual Compliance training. Ocean employees that have access to confidential trading information are subject to Ocean's "Information Barriers and Conflict Management Policies and Procedures." All Ocean employees are 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. GSCO has the right to audit Ocean's operation of Sigma X2, including Ocean's access to and use of Participant confidential trading information either through audits conducted by GSCO's own audit team or by third-party auditors. Such audits may be conducted on-site or off-site. Ocean also is obligated to notify GSCO of any actual or suspected unauthorized access to confidential information, which includes Participant confidential trading information, in a timely manner. GSCO ACCESS PROTECTIONS: Access to Sigma X2 is controlled through permission configurations that provide application access only to entitled users (i.e., users who require access to information to carry out designated duties and responsibilities as described in Part II, Item 7.d. below). Access entitlements are approved by designated supervisors and documented, tracked and monitored. Designated supervisors attest periodically, via an electronic system, that procedures designed to safeguard and protect Participant confidential trading information were followed. Such procedures include reviews of organizational structure including any new or transferred employees as well as reviews of any personal account trades and any related firm/divisional policy violations (as described below). GSCO employees with access to the Sigma X2 order book are prohibited from writing code (i.e., order handling logic) for the GSCO SOR and GSCO algorithms. GSCO also has detailed written firm-wide and divisional policies and procedures designed to monitor and limit employee personal trading globally. As such, they are applicable to The Goldman Sachs Group, Inc. and all of its affiliates and, accordingly, are applicable to all GSCO employees, including those with duties and responsibilities related to Sigma X2. Specifically, GSCO employees are prohibited from engaging in personal trading activity that, among other things, would conflict with or appear to conflict with client business or negatively impact client service or trading outcomes. To address potential conflicts of interest GSCO employs personal trading controls including the following: (i) requiring disclosure of all covered personal trading accounts for activity monitoring purposes; (ii) requiring supervisor pre-approval before trading in single name securities; and (iii) restricting or performing enhanced reviews of personal trading in certain financial instruments. Goldman Sachs FICC and Equities, within which Sigma X2 is operated within GSCO, also has a policy that provides general guidelines for limits on personal trading volumes in single name securities. The policy is applicable to all employees within Goldman Sachs FICC and Equities, including employees that have duties and responsibilities related to Sigma X2 (e.g., Supervision (including GSET managers), GSET Engineers, and GSCO and GSI Execution Coverage employees described in Part II, Item 7.d). Control-side and other employee groups described in Part II, Item 7.d (Compliance, Legal, Internal Audit, Operations) are subject to more restrictive policies regarding trading in single name securities (i.e., with limited exceptions, such employees may not transact in single name securities). GSCO supervisors must escalate personal trades if there is an appearance of impropriety (e.g., potential front-running). Additionally, GSCO employees are only allowed to use external brokerage accounts under certain terms and conditions and only with approved brokers. Finally, GSCO employee trades in certain products (e.g., single name securities) are subject to a 30-day holding period. On an annual basis, GSCO employees (including those with duties and responsibilities related to Sigma X2) participate in compliance training that addresses information protection and client confidentiality. Additionally, on a firm-wide basis GSCO continuously monitors electronic communications to identify potential policy violations.

compliance_officer

GSCO has written policies and procedures designed to safeguard confidential trading information. Such policies and procedures are global and, as such, apply to The Goldman Sachs Group, Inc. and all of its affiliates (e.g., GSCO and other affiliates). GSCO considers information about Participants' identities, orders, transactions, strategies, and activities to be confidential trading information subject to protection. GSCO and GSCO Affiliate employees' access to Participant confidential trading information is dependent upon the level of information that is needed to perform their duties and responsibilities related to Sigma X2 (with respect to GSCO employees) or other duties and responsibilities ("need to know standard"). GSCO and GSCO Affiliate employees are strictly prohibited from using such information in an unauthorized manner and from discussing the details of any trades executed in Sigma X2 with persons who do not need such information to carry out their designated duties and responsibilities. Access to such information is granted as needed to perform these duties and responsibilities (i.e., real-time or delayed, isolated, periodic, or continuous). The individuals and systems with access to Participant confidential trading information, including the basis for such access, are outlined in response to Part II, Item 7.d. Set forth below are the policies and procedures in place to safeguard and oversee the protection of Sigma X2 Participant confidential trading information. SEPARATION OF SYSTEMS AND EMPLOYEES: The Sigma X2 matching engine is physically separate from other GSCO systems as it is hosted and operated by Ocean on a daily basis (i.e., Sigma X2 does not share rack space with any other GSCO systems). Similarly, the Sigma X2 matching engine and order entry servers are on separate hardware from other systems hosted/operated by Ocean. Additionally, the Ocean employees that are responsible for the daily operation of Sigma X2 and that have access to the Sigma X2 order book are in a separate physical location from GSCO employees. GSCO employees with access to real-time Participant confidential trading information are in a different physical location on the floor, separate from GSCO principal trading employees. THIRD PARTY ACCESS PROTECTIONS: Certain Ocean and Nasdaq employees have access to Participant confidential trading information. Such employees include Ocean and Nasdaq staff from Compliance, Operations, Technology Development (including trading and surrounding systems), Product Management, and Business Management. The confidential trading information consists of information regarding individual orders and executions, names of Participants, and volume of orders in Sigma X2. Ocean's policies and procedures employ a three-pronged approach to permission access to Sigma X2. First, an 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. Third, once approved, the Ocean employee must complete Ocean's annual Compliance training. Ocean employees that have access to confidential trading information are subject to Ocean's "Compliance Policies and Procedures." All Ocean employees are 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. GSCO has the right to audit Ocean's operation of Sigma X2, including Ocean's access to and use of Participant confidential trading information either through audits conducted by GSCO's own audit team or by third-party auditors. Such audits may be conducted on-site or off-site. Ocean also is obligated to notify GSCO of any actual or suspected unauthorized access to confidential information, which includes Participant confidential trading information, in a timely manner. GSCO ACCESS PROTECTIONS: Access to Sigma X2 is controlled through permission configurations that provide application access only to entitled users (i.e., users who require access to information to carry out designated duties and responsibilities as described in Part II, Item 7.d. below). Access entitlements are approved by designated supervisors and documented, tracked and monitored. Designated supervisors attest periodically, via an electronic system, that procedures designed to safeguard and protect Participant confidential trading information were followed. Such procedures include reviews of organizational structure including any new or transferred employees as well as reviews of any personal account trades and any related firm/divisional policy violations (as described below). GSCO employees with access to the Sigma X2 order book are prohibited from writing code (i.e., order handling logic) for the GSCO SOR and GSCO algorithms. GSCO also has detailed written firm-wide and divisional policies and procedures designed to monitor and limit employee personal trading globally. As such, they are applicable to The Goldman Sachs Group, Inc. and all of its affiliates and, accordingly, are applicable to all GSCO employees, including those with duties and responsibilities related to Sigma X2. Specifically, GSCO employees are prohibited from engaging in personal trading activity that, among other things, would conflict with or appear to conflict with client business or negatively impact client service or trading outcomes. To address potential conflicts of interest GSCO employs personal trading controls including the following: (i) requiring disclosure of all covered personal trading accounts for activity monitoring purposes; (ii) requiring supervisor pre-approval before trading in single name securities; and (iii) restricting or performing enhanced reviews of personal trading in certain financial instruments. Goldman Sachs FICC and Equities, within which Sigma X2 is operated within GSCO, also has a policy that provides general guidelines for limits on personal trading volumes in single name securities. The policy is applicable to all employees within Goldman Sachs FICC and Equities, including employees that have duties and responsibilities related to Sigma X2 (e.g., Supervision (including GSET managers), GSET Engineers, and GSCO and GSCO Affiliate Execution Coverage employees described in Part II, Item 7.d). Control-side and other employee groups described in Part II, Item 7.d (Compliance, Legal, Internal Audit, Operations) are subject to more restrictive policies regarding trading in single name securities (i.e., with limited exceptions, such employees may not transact in single name securities). GSCO supervisors must escalate personal trades if there is an appearance of impropriety (e.g., potential front-running). Additionally, GSCO employees are only allowed to use external brokerage accounts under certain terms and conditions and only with approved brokers. Finally, GSCO employee trades in certain products (e.g., single name securities) are subject to a 30-day holding period. On an annual basis, GSCO employees (including those with duties and responsibilities related to Sigma X2) participate in compliance training that addresses information protection and client confidentiality. Additionally, on a firm-wide basis GSCO continuously monitors electronic communications to identify potential policy violations.

compliance_officer

GSCO has written policies and procedures designed to safeguard confidential trading information. Such policies and procedures are global and, as such, apply to The Goldman Sachs Group, Inc. and all of its affiliates (e.g., GSCO, GSI and other affiliates). GSCO considers information about Participants' identities, orders, transactions, strategies, and activities to be confidential trading information subject to protection. GSCO and Affiliate employees' access to Participant confidential trading information is dependent upon the level of information that is needed to perform their duties and responsibilities related to Sigma X2 ("need to know standard"). GSCO and Affiliate employees are strictly prohibited from using such information in an unauthorized manner and from discussing the details of any trades executed in Sigma X2 with persons who do not need such information to carry out their designated duties and responsibilities. Access to such information is granted as needed to perform these duties and responsibilities (i.e., real-time or delayed, isolated, periodic, or continuous). The individuals and systems with access to Participant confidential trading information, including the basis for such access, are outlined in response to Part II, Item 7.d. Set forth below are the policies and procedures in place to safeguard and oversee the protection of Sigma X2 Participant confidential trading information. SEPARATION OF SYSTEMS AND EMPLOYEES: The Sigma X2 matching engine is physically separate from other GSCO systems as it is hosted and operated by Ocean on a daily basis (i.e., Sigma X2 does not share rack space with any other GSCO systems). Similarly, the Sigma X2 matching engine and order entry servers are on separate hardware from other systems hosted/operated by Ocean. Additionally, the Ocean employees that are responsible for the daily operation of Sigma X2 and that have access to the Sigma X2 order book are in a separate physical location from GSCO employees. GSCO employees with access to real-time Participant confidential trading information are in a different physical location on the floor, separate from GSCO principal trading employees. THIRD PARTY ACCESS PROTECTIONS: Certain Ocean and Nasdaq employees have access to Participant confidential trading information. Such employees include Ocean and Nasdaq staff from Compliance, Operations, Technology Development (including trading and surrounding systems), Product Management, and Business Management. The confidential trading information consists of information regarding individual orders and executions, names of Participants, and volume of orders in Sigma X2. Ocean's policies and procedures employ a three-pronged approach to permission access to Sigma X2. First, an 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. Third, once approved, the Ocean employee must complete Ocean's annual Compliance training. Ocean employees that have access to confidential trading information are subject to Ocean's "Information Barriers and Conflict Management Policies and Procedures." All Ocean employees are 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. GSCO has the right to audit Ocean's operation of Sigma X2, including Ocean's access to and use of Participant confidential trading information either through audits conducted by GSCO's own audit team or by third-party auditors. Such audits may be conducted on-site or off-site. Ocean also is obligated to notify GSCO of any actual or suspected unauthorized access to confidential information, which includes Participant confidential trading information, in a timely manner. GSCO ACCESS PROTECTIONS: Access to Sigma X2 is controlled through permission configurations that provide application access only to entitled users (i.e., users who require access to information to carry out designated duties and responsibilities as described in Part II, Item 7.d. below). Access entitlements are approved by designated supervisors and documented, tracked and monitored. Designated supervisors attest periodically, via an electronic system, that procedures designed to safeguard and protect Participant confidential trading information were followed. Such procedures include reviews of organizational structure including any new or transferred employees as well as reviews of any personal account trades and any related firm/divisional policy violations (as described below). GSCO employees with access to the Sigma X2 order book are prohibited from writing code (i.e., order handling logic) for the GSCO SOR and GSCO algorithms. GSCO also has detailed written firm-wide and divisional policies and procedures designed to monitor and limit employee personal trading globally. As such, they are applicable to The Goldman Sachs Group, Inc. and all of its affiliates and, accordingly, are applicable to all GSCO employees, including those with duties and responsibilities related to Sigma X2. Specifically, GSCO employees are prohibited from engaging in personal trading activity that, among other things, would conflict with or appear to conflict with client business or negatively impact client service or trading outcomes. To address potential conflicts of interest GSCO employs personal trading controls including the following: (i) requiring disclosure of all covered personal trading accounts for activity monitoring purposes; (ii) requiring supervisor pre-approval before trading in single name securities; and (iii) restricting or performing enhanced reviews of personal trading in certain financial instruments. The Global Markets Division, within which Sigma X2 is operated, also has a divisional policy that provides general guidelines for limits on personal trading volumes in single name securities. GSCO supervisors must escalate personal trades if there is an appearance of impropriety (e.g., potential front-running). Additionally, GSCO employees are only allowed to use external brokerage accounts under certain terms and conditions and only with approved brokers. Finally, GSCO employee trades in certain products (e.g., single name securities) are subject to a 30-day holding period. On an annual basis, GSCO employees (including those with duties and responsibilities related to Sigma X2) participate in compliance training that addresses information protection and client confidentiality. Additionally, on a firm-wide basis GSCO continuously monitors electronic communications to identify potential policy violations.

hours_of_operation

Sigma X2 operates Monday through Friday from 8:00 a.m. to 4:00 p.m. Eastern Time ("ET"). Sigma X2 accepts orders beginning at 8:00 a.m. ET, but matching only occurs during regular trading hours - 9:30 a.m. to 4:00 p.m. ET. Sigma X2 will observe the U.S. holidays and early closings as published by the national stock exchanges.

hours_of_operation

Sigma X2 operates Monday through Friday from 8:00 a.m. to 4:00 p.m. Eastern Time ("ET"). Sigma X2 accepts Firm and Conditional orders beginning at 8:00 a.m. ET, but matching only occurs during regular trading hours - 9:30 a.m. to 4:00 p.m. ET. Sigma X2 will observe the U.S. holidays and early closings as published by the national stock exchanges.

display_best_quotes

GSCO does not display Sigma X2 orders to Participants or outside of Sigma X2. Indirect Subscribers' orders can pass through GSCO's SOR, either directly, or, indirectly through the use of a GSCO algorithm, before accessing Sigma X2. GSCO's SOR is aware of orders it has posted in all venues, including Sigma X2. The SOR uses knowledge of such orders to predict venue-level fill rates. This data is not communicated outside of the SOR. Alternatively, Indirect Subscribers' DMA orders directed to Sigma X2 pass through the GSCO DMA System. The DMA System does not use knowledge of such order information. Separately, certain personnel (e.g., Execution Coverage for Indirect Subscribers) have access to such Indirect Subscriber orders in the same manner that they have access to information about the orders of their clients routed to other market centers (See Part II, Item 7.d.).

display_best_quotes

GSCO does not display Sigma X2 Firm or Conditional orders to Participants or outside of Sigma X2. Indirect Subscribers' Firm and Conditional orders can pass through GSCO's SOR, either directly, or, indirectly through the use of a GSCO algorithm, before accessing Sigma X2. GSCO's SOR is aware of orders it has posted in all venues, including Sigma X2. The SOR uses knowledge of Firm orders to predict venue-level fill rates. This data is not communicated outside of the SOR. Alternatively, Indirect Subscribers' DMA orders directed to Sigma X2 pass through the GSCO DMA System. The DMA System does not use knowledge of such order information. Separately, certain personnel (e.g., Execution Coverage for Indirect Subscribers) have access to such Indirect Subscriber orders in the same manner that they have access to information about the orders of their clients routed to other market centers (See Part II, Item 7.d.). As outlined in Part III, Item 9.a, if a match is found for a Conditional order, an invitation to trade, known as a Firm Up Request, is sent to the Participant. The Firm Up Request will contain a unique Firm Up ID, the quantity of the conditional match, and the order details of the Conditional order to which it relates (e.g., price). Other than the quantity of the conditional match, no other details of the matching contra-side order are transmitted on the Firm Up Request.

execution_services

Sigma X2 accepts orders beginning at 8:00 a.m. ET, but matching only occurs during normal market hours - 9:30 a.m. to 4:00 p.m. ET. The 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. Following a stoppage of trading in a security during regular trading hours, Sigma X2 will not execute transactions until the matching engine detects a reopening print (for an exchange-initiated stoppage) or pricing information (for a Sigma X2-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, Sigma X2 will not match orders in the security.

execution_services

Sigma X2 accepts Firm and Conditional orders beginning at 8:00 a.m. ET, but matching only occurs during normal market hours - 9:30 a.m. to 4:00 p.m. ET. Firm and Conditional 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. Following a stoppage of trading in a security during regular trading hours, Sigma X2 will not execute transactions until the matching engine detects a reopening print (for an exchange-initiated stoppage) or pricing information (for a Sigma X2-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, Sigma X2 will not match Firm or Conditional orders in the security.