General
AlphaX US is a US equity ATS offering broker-dealers a venue focused on execution performance, customization opportunities, and transparency in executing trading strategies.
AlphaX US allows as Participants those applicants who satisfy certain eligibility requirements. Specifically, Participants must meet the following requirements:
- 1. Be registered with the U.S. Securities and Exchange Commission (the “SEC”) as a broker or dealer, and a member of at least one self-regulatory organization (“SRO”).
- 2. Pass a disciplinary/regulatory review, which includes reviewing public information to determine if the potential Participant has a disciplinary history that would preclude trading on AlphaX US.
- 3. Pass Office of Foreign Asset Control (OFAC) checks.
- 4. Pass technology certification with the TSX Alpha U.S., Inc. team, to ensure connectivity and messaging work effectively.
- 5. Establish the necessary Qualified Service Representative (“QSR”) service relationship with TSXAlpha U.S., Inc.’s chosen clearing provider, Instinet.
- 6. Execute the Participant Agreement.
There is an optional interface through the internet called AlphaX Hub which is available to Participants of AlphaX US. Participants may use AlphaX Hub to request Participant Parameters (“PP”) (i.e., counterparty selection and minimum execution quantity). Within the AlphaX Hub, Participants can also choose the length of time they want PP to apply to their orders. Although users may use the AlphaX Hub to modify and/or request PP during the trading day, requested modifications will not take effect until at least the next trading day. If a Participant chooses to use the AlphaX Hub, each authorized user of the Participant will receive password-protected access giving the authorized user access to the Participant’s information. Once PP are selected, the PP are identified through a tag sent over FIX or Binary protocol.
If a Participant would like to set up PP, but does not wish to access AlphaX Hub, AlphaX US can set and/or modify PP at the request of an authorized user of the Participant. If you are interested in using the AlphaX Hub, please reach out to the team for more information at AlphaXUS@tmx.com.
AlphaX US offers trading in all Regulation NMS common stock, exchange-traded funds (“ETFs”) and American depository receipts (“ADRs”).
AlphaX US opens for trading in a given security when:
- 1. There is at least one publicly-displayed Limit Buy Order and one publicly-displayed Limit Sell Order for the security on the primary listing exchange;
- 2. Regular Trading Hours have begun; and
- 3. Valid LULD bands for the security have been publicly disseminated
If an NMS Stock is halted for trading by the primary listing exchange pursuant to a regulatory halt, AlphaX US resumes matching when:
- 1. It receives a message from the securities information processor (“SIP”) indicating that trading has resumed in the security; and
- 2. Valid LULD bands are present.
AlphaX US is open for the transaction of business on all business days during which the registered national securities exchanges that are the primary listing markets for NMS securities are open for business. AlphaX US matches trades during regular U.S. market hours, generally 9:30:00 am to 4:00:00 pm Eastern Time. AlphaX US allows order entry starting sixty (60) minutes prior to the open of trading, beginning at 8:30 am Eastern Time (“Pre-Market Order Acceptance Period”), and continuing throughout the trading day, which ends at 4:00:00 pm Eastern Time.
Connectivity
Participants must have cross-connections (“cross-connects”) from their own servers in NY5 or NY4 to establish a direct link to the AlphaX US servers, or connect through other providers with servers at NY5.
AlphaX US’s matching engine is located in Equinix’s NY5 Data Center, in Secaucus, N.J.
AlphaX US does not provide co-location. Participants must have cross-connections (“cross-connects”) from their own servers in NY5 or NY4 to establish a direct link to the AlphaX US servers, or connect through other providers with servers at NY5.
TSX Alpha U.S., Inc. permits orders and trading interest to be entered directly into AlphaX US. All such orders and trading interest must be sent via Financial Information eXchange (“FIX”) 4.2 or Binary (“BIN”) protocol. Please contact the team at alphaxus@tmx.com for more information.
Order Parameters
Market Orders: Market Orders are orders to buy or sell a stated amount of a security that is to be executed at or in between the NBBO in the Match Event.
Limit Orders: Limit Orders are orders to buy or sell a stated amount of a security at a specified price or better that are to be executed in the Match Event.
Midpoint Peg Orders: Midpoint Peg Orders are orders to buy or sell a stated amount of a security that are to be executed only at the midpoint price of the NBBO or better in the Match Event. AlphaX US accepts Midpoint Peg Orders with or without a limit price
Primary Peg Orders: Primary Peg Orders are orders to buy at the NBB, or sell at the NBO, a stated amount of a security that is to be executed only at the primary peg in the Match Event. Orders may be submitted with or without a limit price. Participants also have the option to implement an offset to the primary price for this order type.
Marketable Peg Orders: Marketable Peg Orders are orders to buy at or below the NBO, or sell at or above the NBB, a stated amount of a security that is to be executed in the Match Event. Orders may be submitted with or without a limit price. Participants also have the option to implement an offset to the market price for this order type.
AlphaX US accepts both firm and conditional order types.
AlphaX US accepts both Day and IOC orders. Day is the default TIF instruction, and Day orders are held by AlphaX US on its order book from the time of receipt until the end of Regular Trading Hours or such time that a “cancel” instruction is sent by the Participant, whichever comes first. IOC orders are automatically converted to Auction or Cancel (AOC) upon receipt by AlphaX US. AOC orders are held until the completion of the next Match Event, and if unexecuted, are automatically canceled. AOC orders are only eligible for firm orders and can not be used for conditional orders.
AlphaX US offers a minimum quantity modifier for order execution. The minimum quantity modifier allows a Participant to request a minimum share amount on an execution, such that if the available liquidity is below the minimum quantity amount, the order will not execute. AlphaX US does not combine contra-orders to meet a minimum execution quantity.
Yes, AlphaX US does support conditional orders. Conditional orders reside in the AlphaX US order book. If AlphaX US receives a contra-order that fulfills the characteristics of a conditional order (i.e., price and PP), the Participant who sent the conditional order will receive a firm-up request from AlphaX US to “firm-up” the conditional order with a firm-up order. The Participant will also receive a cancel on the original conditional order. Specifically, AlphaX US will determine whether there is an eligible contra-order during a Match Event, and generate the firm-up request and conditional order cancel immediately following the Match Event. Firm-up requests and resulting firm-up orders all expire 150 milliseconds from the time AlphaX US sends the firm-up requests to the Participant.
Once conditional orders firm-up, they follow the same order requirements and matching methodology as firm orders and have no additional requirements. Specifically, AlphaX US will first look to price and then to time, and considers PP before it matches orders in a Match Event.
AlphaX US will monitor rates on both firm-up response and cancellation after a firm-up order is sent but prior to execution. AlphaX US may restrict a Participant’s utilization of conditional orders based on this information.
AlphaX US does not wait to execute a firm order if it is able to execute the firm order in a Match Event prior to a firm-up on a contra conditional order. Firm orders can opt out of interacting with conditional orders on an order-by-order basis.
Participants can implement two forms of counterparty selection. The first form of counterparty selection allows a Participant to choose to interact with order flow sent by itself. The second form of counterparty selection allows a Participant to interact with directed order flow from another designated Participant or Participants. For any given order, a Participant can choose more than one form of counterparty selection. These are the only forms of counterparty selection, and they are always at the full discretion of the Participant. Even though this is being “directed” to specific counterparts, the matching would still take place in a scheduled Match Event and would be matched based on price/time priority. The selection of a counterparty (or counterparties) is a PP that the Participant has placed on an order and would simply constrain who they would match against in the Match Event. The trades of the matched orders would price based on the AlphaX US pricing model of the midpoint of the buyer and seller book prices. Orders can only match between two counterparties when neither Participant has excluded the other from their executions through PP. AlphaX US will never make a decision to add PP for any Participant, and all PP decisions, including those around counterparty selection, are made solely by the Participants. AlphaX US will also never decline or modify PP from a Participant.
At this time there is no tiering in the venue. Once there is enough quantitative data from executions, AlphaX US does plan on introducing tiers at a later date. Before this occurs, an Amendment to Form ATS-N will be filed.
The minimum unit of trading for securities traded on AlphaX US is one share.
In an event where the remaining order quantity falls below the minimum execution quantity, AlphaX US will cancel back the remaining residual.
AlphaX US provides a self-trade prevention (“STP”) setting for its Participants. This setting is not enabled by default, but can be enabled upon request.
Matching Behavior
The Match Events (i.e., auctions) in each security are automatic, and occur at scheduled times as determined by AlphaX US’s matching algorithm throughout the day and are calibrated separately by each Match Event. Each Match Event acts independently of each other. AlphaX US randomizes the time between Match Events within a time range of a base of 10 milliseconds and a randomized increment up to 10% on either side (“Match Event Intervals”). Match Event Intervals are calibrated on a security-by-security basis. Once a Match Event concludes, the new Match Event Interval commences immediately.
An order’s match priority is based on price and the time at which such order is received relative to other orders. Matching priority is constrained by Participant Parameters (PP), which are counterparty selection and minimum execution quantity.
Orders are matched at the midpoint of the buyers’ and sellers’ order book prices at the time of the Match Event, which are capped at the NBBO, as obtained from the SIP.
Orders are only ever “locked up” in AlphaX US during the time an actual Match Event is in progress, which will not exceed 5 microseconds. Until a Match Event is in progress, all orders are eligible for amendment and cancellation.
An open order may be amended by a Participant as long as the amendment is received by AlphaX US before a Match Event occurs. If an order amendment is received during a Match Event and there is still an open order at the conclusion of the Match Event, the amendment will be processed at the conclusion of the Match Event. If the order has been filled during the Match Event and no open order remains, the amendment will be rejected at the end of the Match Event. Amendments of existing order size only keep their original time priority if the change is a decrease in the order size. If the order size is increased, the price is altered in any way, or any other change is made, the sequence number is updated to the next sequence number for a new order, and the new sequence number is used for ranking priority.
An open order may be canceled by a Participant to the extent the cancellation order is received and processed by AlphaX US before a Match Event occurs. If an order cancellation is received during a Match Event and there is still an open order at the conclusion of the Match Event, the cancellation will be processed at the conclusion of the Match Event. If the order has been filled during the Match Event and no open order remains, the cancellation will be rejected at the end of the Match Event. A cancellation order cancels all remaining open quantities on the open order.
Operations and Trade Reporting
AlphaX US does not route orders outside of the ATS.
ALPX is both the MIC code and MPID for AlphaX US.
TSX Alpha U.S., Inc. has a vendor agreement with Instinet to act on behalf of AlphaX US to clear and settle all transactions executed on AlphaX US. Instinet submits all executions on behalf of AlphaX US to the National Securities Clearing Corporation (“NSCC”) for clearing and to the Depository Trust Company (“DTC”) for settling. All Participants must thus have clearing brokers that are NSCC/DTC members, or be members themselves for self-clearing, and must also have a QSR relationship established with Instinet.
AlphaX US uses SIP data feeds to determine the NBBO, LULD bands, trade halts, and pegged order prices, and to price executions.
AlphaX US will be reporting trades to the Nasdaq TRF.