Exhibit A
A description of classes of subscribers (for example, broker-dealer, institution, or retail). Also describe any differences in access to the services offered by the alternative trading system to different groups or classes of subscribers.
Convergex Execution Solutions LLC (“CES”) is the sponsor of Millennium. Registered broker-dealers, institutions and retail prime clients that are customers of CES are eligible to become subscribers to Millennium (“Subscribers”). As customers of CES, all Subscribers will be subject to the existing credit criteria currently set in place by CES’s credit committee.
Subscribers have access to Millennium services with respect to Opening Crosses and Regular Matches according to their assigned Subscriber class and their matching preferences. Millennium, at its sole discretion, assigns Subscribers to one of four classes – Exchanges, Asset Managers, Broker-Dealers, or Electronic Liquidity Providers (each, a “Subscriber Class”).1 Each Subscriber may then elect not to have its order flow interact
with a particular Subscriber Class(es). (For instance, an Asset Manager Subscriber may choose not to interact with Electronic Liquidity Providers, or it may choose to interact only with other Asset Manager Subscribers, at its sole discretion. Subscribers, however, may not choose to limit their interactions with specific Subscribers, but instead are only permitted to limit interactions with an entire Subscriber Class(es).) Once a Subscriber chooses to preclude its interactions with a particular Subscriber Class, its orders will not match with orders of any Subscriber assigned to that Subscriber Class. Likewise, if a Subscriber does not elect to limit its interactions by Subscriber Class, its order flow is eligible to interact with all other Subscribers’ flow.
In addition, Subscribers participating in Regular Matches may limit their interaction with other Subscribers in connection with the submission of Conditional Orders to Millennium. A Subscriber submitting a Conditional Order may choose to match only with contra-side Conditional Orders or with any available contra-side Resting Orders, and Subscribers also may choose to not interact with any contra-side Conditional Orders. (Conditional Orders are more fully described in Exhibit F.)
In addition, certain Subscribers (such as members of national securities exchanges as described in Exhibit F) may choose to participate for matching preference purposes only with other designated Subscribers in “Directed Matches.” In these Directed Matches, orders of a participating Subscriber will only be matched with orders of other participating Subscribers.
1A single Subscriber’s order flow may be assigned to more than one Subscriber Class, depending on the
nature of the order flow. For example, a broker-dealer Subscriber may send both retail customer order flow and proprietary order flow to Millennium, and Millennium may assign each type of order flow from that
Exhibit B
a. A list of the types of securities the alternative trading system trades (for example, debt, equity, listed, Nasdaq NM), or if this is an initial operation report, the types of securities it expects to trade. Note whether any types of securities are not registered under Section 12(a) of the Exchange Act of 1934 (“Exchange Act”).
Millennium accepts orders in all National Market System (“NMS”) stocks as defined in Regulation NMS.
b. A list of the securities the alternative trading system trades, or if this is an initial operation report, the securities it expects to trade. Note whether any securities are not registered under Section 12(a) of the Exchange Act.
A list of NMS stocks can be found on the following websites:
www.nyse.com
www.nasdaq.com
Exhibit C
Name, address, and telephone number of counsel for the alternative trading system. Steven P. Heineman General Counsel Convergex Group, LLC 1633 Broadway, 48th Floor New York, NY 10019 Telephone: (212) 468-7796 Facsimile: (212) 468-7799
With a copy to: Laura S. Pruitt, Esq. Alston & Bird LLP 950 F Street, N.W.
Washington, D.C. 20004-1404 Telephone: (202) 239-3618 Facsimile: (202) 654-4908
Exhibit D
Copy of the constitution, articles of incorporation or association, with all amendments, and of the existing by-laws or corresponding rules or instruments, whatever the name, of the alternative trading system. If this information is publicly available on a continuous basis on an Internet site controlled by the alternative trading system, the alternative trading system may indicate the location of the Internet web site where such information may be found in lieu of filing such information with the Commission.
Attachment D1: Amended Certificate of Formation of ConvergEx Execution Solutions LLC (sponsor of Millennium) (formerly BNY ConvergEx Execution Solutions LLC), previously provided with the Initial Operation Report on Form ATS for ConvergEx Millennium (prior name of Millennium), filed March 4, 2010. Attachment D2: Limited Liability Company Agreement of ConvergEx Execution
Solutions LLC (formerly BNY ConvergEx Execution Solutions LLC and, before that, BNY Brokerage LLC) (sponsor of Millennium), previously provided with the Initial Operation Report on Form ATS for ConvergEx Millennium, filed March 4, 2010. Attachment D3: Certificate of Merger, dated December 11, 2009, merging NYFIX
Millennium, L.L.C., with and into BNY ConvergEx Execution Solutions LLC (including the Agreement and Plan of Merger, dated as of December 11, 2009, between BNY ConvergEx Executions Solutions LLC, and NYFIX Millennium, L.L.C.), previously provided with the Initial Operation Report on Form ATS for ConvergEx Millennium, filed March 4, 2010.
Attachment D4: Certificate of Amendment to the Certificate of Formation of BNY ConvergEx Execution Solutions LLC, dated November 30, 2011, changing its name to ConvergEx Execution Solutions LLC, previously provided with the Amendment to Initial Operation Report on Form ATS for ConvergEx Millennium filed on January 30, 2012.
Attachment D5: Amended and Restated Limited Liability Company Agreement of BNY ConvergEx Execution Solutions LLC dated as of January 1, 2009, previously provided with the Amendment to Initial Operation Report on Form ATS for Millennium filed on January 21, 2015.
Attachment D6: Second Amended and Restated Limited Liability Company Agreement of ConvergEx Execution Solutions LLC, dated as of November 13, 2014, previously provided with the Amendment to Initial Operation Report on Form ATS for Millennium filed on January 21, 2015.
Attachment D7: Certificate of Merger, dated November 25, 2014, merging LiquidPoint, LLC with and into ConvergEx Execution Solutions LLC, with the name of the surviving entity being Convergex Execution Solutions LLC, previously provided with the Amendment to Initial Operation Report on Form ATS for Millennium filed on January 21, 2015.
Exhibit E
Name of any entity, other than the alternative trading system, that will be involved in operation of the alternative trading system, including the execution, trading, clearing, and settling of transactions on behalf of the alternative trading system. Provide a description of the role and responsibilities of each entity.
Convergex Execution Solutions LLC (“CES”) serves as the broker-dealer sponsor of, and is responsible for executing all trades matched by, Millennium. All trade executions through the system, as well as the clearance and settlement of all such executed trades, will be handled by CES.
Certain technology and hosting services will be provided to Millennium by Thesys Technologies LLC (“Thesys”) on an outsourced basis. Thesys will provide the electronic platform upon which Millennium will operate, and it is responsible for developing and implementing all changes to Millennium at the direction of CES. Thesys also will provide support services to Millennium, and will have access to Millennium Subscriber information only to the extent necessary to provide the hosting services and related support. Thesys is subject to strict confidentiality requirements and oversight by CES as required by Rule 301(b)(10) of Regulation ATS and described further in Exhibit G to this Form ATS.
Exhibit F
(a) Manner of Operation of the Alternative Trading System
(b) Procedures Governing Entry of Orders into the Alternative Trading System
(c) Means of Access to the Alternative Trading System
(d) Procedures Governing Execution, Reporting, Clearance, and Settlement of Transactions Effected through the Alternative Trading System
(e) Procedures for Ensuring Subscriber Compliance with System Guidelines
(f) Copy of the Alternative Trading System’s Subscriber Manual and any Other Materials Provided to Subscribers
(a) Manner of Operation of the Alternative Trading System
Millennium, which is operated by CES, identifies and executes matching orders from its Subscribers on a continuous basis. Millennium’s hours of operation are 7:00am -5:00pm ET on days in which the U.S. equity markets are open for trading (excepting holiday hours and market half-days). Subscribers may connect to Millennium at any point after 7:00am, and Millennium will accept Resting Orders and Conditional Orders (each described below) beginning at 7:30am. Millennium will accept IOC Orders (described below) during market hours (i.e., generally 9:30am – 4:00pm ET). Regular Matches (described below) will take place during regular market hours (i.e., generally 9:30 a.m. - 4:00 p.m. ET, excepting holiday hours and half-days), and Directed Matches (described below) will take place between 9:30 a.m. – 4:15 p.m. ET (excepting holiday hours and half-days). Individual securities, however, will not begin trading until trading has opened on the primary listing market for that security.
The ATS accepts orders from Millennium Subscribers that are institutional, broker-dealer and retail prime clients of CES. Subscribers are assigned by Millennium, in its sole discretion, to one of four Subscriber Classes – Exchanges, Asset Managers, Broker-Dealers, or Electronic Liquidity Providers. Each Subscriber may choose, at its sole discretion, that its orders not interact with orders of Subscribers assigned to a particular Subscriber Class(es). If a Subscriber does not so limit its trading in Millennium, its orders may interact with eligible Subscribers in any Subscriber Class.
Millennium accepts two basic order types, Resting Orders and Immediate-or-Cancel (“IOC”) Orders, as well as “Conditional Orders”. Resting Orders (also known as Day Orders) are Subscriber orders that remain in Millennium until filled, cancelled by the Subscriber, or cancelled by Millennium at the end of the regular trading day. These include “good-til-time” (GTT) orders, which remain in Millennium until the time-in-force expires or cancelled by the Subscriber, whichever comes first. IOC Orders will either receive an immediate complete fill or partial fill if they can be matched through Millennium, or, if not, the unfilled portion of the order will be cancelled back to the
submitting Subscriber. The various types of available order constraints are more fully described below in subsection (b).
Conditional Orders are messages submitted by a Subscriber that describe the Subscriber’s potential interest in a trade. Conditional Orders are not actual orders, and they are not subject to execution by the system. Instead, if matching liquidity is available for a Conditional Order, Millennium will send a message (called a “Firm-up Invitation”) to the Subscriber that submitted the Conditional Order, informing it that a potential match has been found, and requesting that the Subscriber submit a Resting Order for possible execution. Subscribers may choose whether their Conditional Orders may interact with all available Resting Orders in the system or only other Conditional Orders, and Subscribers also may choose whether any their Resting Orders may be used by the system to generate Firm-Up Invitations to submitters of Conditional Orders. A more detailed explanation of Conditional Orders is set forth below in subsection (b).
Resting Orders can match against other Resting Orders or IOC Orders, but IOC Orders can only be matched with Resting Orders. With certain limited exceptions described below, all transactions in Millennium are executed at the prevailing midpoint of the National Best Bid and Offer (“NBBO”).
One exception to this is the Opening Cross in which Millennium crosses marketable orders on the system immediately following the Primary Market opening at the Primary Market Opening Price of the security being traded.
The other exception to this execution methodology is in connection with orders from participants in “Directed Matches.” In a Directed Match, orders from a participating Subscriber will be matched only with other Subscriber orders sent to Millennium for participation in that specific Directed Match.2 For example, two
Millennium Subscribers may have entered into a qualified contingent cross on an options exchange. Because that exchange cannot execute the equity stock portion of that transaction, the orders that comprise the equity part of the transaction will be routed to a Millennium Directed Match for execution, clearance and settlement.3 Similarly, a
broker-dealer Subscriber may send its customers’ matched block-size orders to a Millennium Directed Match to be executed, reported, cleared and settled.
Orders sent to Directed Matches are matched with each other according to their terms only in the Directed Match. Orders sent to Directed Matches do not interact with Resting Orders or IOCs from any Subscribers that are not participating in the particular Directed Match. In this regard, Directed Matches are wholly separate from Regular 2 Currently, there are three such Directed Match groups. Two have been formed to execute the related
stock component of qualified contingent trades for which the options portions are executed on registered options exchanges, and the other has been formed to execute block crosses for a particular broker-dealer
Matches and the Opening Cross. Orders in one Directed Match do not interact with orders submitted to a different Directed Match.4
Millennium always executes trades at prices no worse than the NBBO, or that are exempted from that requirement by applicable rule or SEC Order.5 Millennium will use a
combination of direct market feeds and a SIP market data feed in calculating a Regulation NMS-compliant NBBO for purposes of matching within the system. Trading halts will be based on information from the SIP, and if a direct feed from any exchange goes down, Millennium will “back fill” that exchange’s protected quotes from the SIP to calculate the NBBO, or switch to using the SIP completely as the provider of the NBBO to Millennium.
(b) Procedures Governing Entry of Orders into the Alternative Trading System Subscribers may enter orders and Conditional Orders into Millennium directly, by means of direct electronic connections to Millennium, or indirectly, through any third party order management or order routing system utilizing the FIX protocol. Orders and Conditional Orders also may come into Millennium through CES smart routers with access to the system or through a CES trading desk on behalf of a Subscriber.
As noted above, Subscriber orders may be IOC Orders or Resting Orders. IOC Orders sent to Millennium are cancelled back to the Subscriber if not immediately executed in full or in part. Resting Orders are submitted to Millennium for a specified period of time, and are not routed to other market centers by Millennium. Subscribers may customize their orders by, among other things, establishing various price and quantity-related matching constraints.6
Millennium also accepts Conditional Orders from Subscribers. A Conditional Order is an instruction to the system that the submitting Subscriber is interested in interacting with other Subscribers in Millennium on a conditional basis. A Conditional Order must contain symbol, side, price, size and minimum quantity.
A Conditional Order never executes in the system, but when a Conditional Order otherwise would have matched with a contra Resting Order, an invitation (called a
“Firm-4 The assignment by Millennium of Subscribers to Subscriber Classes, described above, does not affect
participation in Directed Matches.
5 For example, due to the contingent nature of some trades occurring in a Directed Match (e.g., the stock
component of a qualified contingent trade), they may print outside the prevailing NBBO as permitted by SEC Release No. 34-54389, “Order Granting an Exemption for Qualified Contingent Trades from Rule 611(a) of Regulation NMS under the Securities Exchange Act of 1934”.
6 In addition, Millennium offers a “Cancel on Disconnect” feature that will cancel all open Subscriber
Resting Orders in the event that a subscriber’s FIX connection to Millennium becomes disconnected for any reason.
up Invitation”) is sent to the Subscriber that submitted the Conditional Order, inviting it to send a firm non-conditional Resting Order (a “Firm-up Response Order”) to Millennium.7 The Firm-up Invitation contains the minimum quantity that could have
executed if the Conditional Order had been firm at the time the invitation was generated. A Firm-up Response Order must contain the same symbol, side, and minimum quantity as the original Conditional Order, or it will be rejected by the system. Neither Conditional Orders nor Firm-up Response Orders are permitted to be IOC orders. Each Conditional Order will generate at most only one Firm-up Invitation.
All Subscribers are eligible to submit Conditional Orders. Subscribers are also permitted to opt out of interacting with Conditional Orders in any way, such that their Resting Orders will not induce a Firm-up Invitation in response to a Conditional Order. This is referred to as a “No Conditional” instruction. (As discussed further below, however, a firm non-conditional Firm-up Response Order submitted in response to a Firm-up Invitation may execute against a Resting Order with a No Conditional instruction because the responsive Order represents firm liquidity.)
Subscribers submitting Conditional Orders also may choose to be invited by and execute only with other Conditional Orders and their associated Firm-up Response Orders. In such a case, both the Conditional Order and the Firm-up Response Order must be marked “Conditional Only” or the Firm-up Response Order will be rejected. Conditional Orders that have not yet been subject to a Firm-up Invitation may be canceled or modified, except with respect to conditional status. Firm-up Response Orders may be canceled or modified with the same restrictions as normal Resting Orders.
There are essentially 4 pricing instructions for orders submitted to Millennium: market, limit, midpoint peg and market peg. A midpoint peg essentially means that the Subscriber wants to receive an execution price of the midpoint of the NBBO. A market peg is an alternative pricing methodology for a market order, often used by a Subscriber in lieu of a market order. A market peg order on Millennium essentially means that the Subscriber is willing to buy at the then-current NBO or sell at the then-current NBB (i.e., cross the market), with the expectation of price improvement (i.e., an execution at the midpoint). In addition, a Subscriber may, but is not required to, add a limit to a pegged order (e.g., midpoint, limit of $10). Millennium does not accept sub-penny orders, except with respect to orders for shares priced below $1.00, as permitted by Rule 612 of Regulation NMS. No matter what pricing instructions an order sent to Millennium contains, however, Millennium only executes trades at the midpoint of the NBBO in Regular Matches.8
Subscribers also may include minimum execution quantity constraints. Quantity-related matching constraints include Aggregate Minimum Quantity, which specifies the minimum number of shares that must be matched in either a single trade or in the
aggregate. For example, if an order to sell 10,000 shares has a minimum quantity of 2,000 shares, and there are 2 resident buy orders of 1,000 shares each, the sell order will execute in 2 lots of 1,000 shares each. Subscribers also may specify Minimum Block Quantity, which is the minimum quantity that must be matched against an order in a single match for that order to receive any executions. Using the example above, the sell order would not execute as there is no single order that meets the Minimum Block size of 2,000 shares. Furthermore, as noted above, Conditional Orders must contain a Minimum Quantity constraint.
Subscribers may further specify how the remaining quantities of their orders should be handled once the specified minimum quantities have been executed by Millennium. For instance, at the direction of the Subscriber, once the remaining quantity of a Subscriber order is less than the specified minimum quantity, the remainder of the order may be (i) treated as a regular Resting Order without a quantity restraint, (ii) cancelled back to the Subscriber, or (iii) restricted to executing as a single execution.
Millennium accepts short sale orders from Subscribers in compliance with Regulation SHO. After a circuit breaker has been triggered under Rule 201 of Regulation SHO, however, such short sale orders will not be executed at a price at or below the then-current NBB.
As described above, Millennium permits Subscribers to limit their interactions with other Subscribers on a class-wide basis. Millennium also offers Subscribers functionality to prevent a Subscriber’s own orders from crossing with one another. Subscribers may utilize this functionality on a firm-wide basis or as otherwise designated by the Subscriber.9 In addition, as noted above, Subscribers submitting Conditional
Orders may choose to only interact only with other Conditional Orders and their related Firm-up Response Orders.
Millennium only executes in round lots. Therefore, orders for less than a round lot will not be accepted and mixed-lot orders will only execute in round lots, canceling back any remainder to the Subscriber.
Resting Orders received prior to the opening of trading are eligible to participate in the Opening Cross at the option of the Subscriber. Conditional Orders are not eligible to participate in the Opening Cross, and Firm-up Invitations relating to Conditional Orders received by Millennium prior to the Opening Cross will not be sent to Subscribers until after the Opening Cross. Any eligible Resting Order not executed in the Opening Cross will remain in the system for continuous matching in a Regular Match in accordance with the Order’s instructions. Unexecuted Resting Orders and Conditional Orders remaining in the system at 4:00pm ET will be cancelled by the system.
Except as to certain Conditional Orders as described above, Orders residing in
9 For example, if a Subscriber has several different aggregation units that send orders to Millennium, the
Millennium may be cancelled at any time by the originating Subscriber or by the CES Trade Support Desk at the originating Subscriber’s request (e.g., when the Subscriber’s connection to the ATS fails).
Visibility/Display of Subscriber Orders
Millennium is an anonymous trading system. Except with respect to the information provided to Subscribers with respect to Firm-up Invitations for Conditional Orders, Millennium does not display Subscriber orders to other Subscribers, any internal Trade Desk, order router or other third parties. Just as with any other Subscriber or third-party order router sending orders to Millennium, the only information that any CES-operated smart router receives from Millennium is information relating solely to the orders sent by that smart router into Millennium (i.e., confirmations of fills or notifications of cancels). No CES-operated smart router receives any information relating to any other orders residing in Millennium.10
(c) Means of Access to Alternative Trading Systems
Registered broker-dealers and institutions that are customers of CES are eligible to become Subscribers to Millennium. (As customers of CES, all Subscribers are subject to the existing credit criteria currently set in place by CES’s credit committee.) Subscribers may submit orders (as well as Conditional Orders) electronically to Millennium via the Internet or dedicated lines by means of any Subscriber-selected order management system or execution management system platform utilizing the FIX messaging protocol. Smart routers, including those operated by third parties as well as by CES, also may route orders to Millennium. (As noted above, the access that a CES smart router has to Millennium, however, is no different than the access by any other smart router.) Subscribers also may send orders to CES’s sales traders to be entered in Millennium on their behalf. Millennium, however, does not route orders out to other trading venues; rather, all orders in Millennium, whatever the source, are either executed (in whole or in part) or cancelled/routed back only to the submitting Subscriber.
(d) Procedures Governing Execution, Reporting, Clearance and Settlement of Transactions Effected Through the Alternative Trading System
Executions
Millennium will not execute any trades in a security until trading in the particular stock has opened on the primary market for the security.
Opening Cross: For the Opening Cross, Millennium crosses marketable Resting Orders on the system immediately following the Primary Market opening at the Opening Price on that Primary Market. Orders are matched, at the Opening Price, in order, based on the time of entry. After the Opening Cross, the remaining unmatched Resting Orders will participate in Regular Matches via normal matching rules.
Regular Matches: Following the Opening Cross, all executions occur at the midpoint of the NBBO.11 Once an order is deemed to be marketable, execution priority
is generally based on time of entry of the order.12 For example, if a midpoint buy order is
entered on the Millennium book, followed by a market peg buy order, both are deemed marketable at the midpoint. If a marketable sell order then enters the book, it will execute against the midpoint buy, since that order has time priority. In other words, a Subscriber cannot move to the front of the queue by entering a more aggressively priced order into Millennium, since the only price currently available is the midpoint of the NBBO.
If a Conditional Order matches a Resting Order or, where appropriate, another Conditional Order in Millennium, the system sends a Firm-up Request to the Subscriber submitting the Conditional Order. This invitation includes the minimum that would have executed if the Conditional Order had been firm instead of conditional, but more or less liquidity may be available to any Firm-up Response Order that is submitted. The Subscriber receiving the Firm-up Request has up to 2 seconds to respond with a Firm-up Response Order, matching the terms of that Subscriber’s related Conditional Order, in response to the invitation. The matching Resting Order, however, remains available for execution against any firm matching contra interest that is available in the system while the Conditional Order submitter responds to a Firm-up Request. As a result, a Firm-up Response Order may or may not receive any execution if matching firm interest is submitted before the Subscriber’s Firm-up Response Order reaches Millennium. Firm-up Response Orders are executed in accordance with normal Regular Match execution protocols. In this regard, because a Firm-up Response Order is a firm order, it may execute against a contra side Resting Order that has been designated as “No Conditional”, even if that Resting Order did not form the basis of a Firm-up Request.
Millennium will evaluate the manner in which Subscribers honor their Conditional Orders by using a multi-level scoring system. The scores used in this evaluation consist of: (a) a Historical Score, which is the ratio of all invitations and responses per Subscriber over a specific historical period of time; (b) an Intraday Score, a ratio of invitations to responses computed on a real-time basis as invitations and responses are processed; (c) a CORP score, which is the ratio of the number of valid Firm-up Response Orders to the number of Firm-up Requests for a particular Subscriber, and which measures the hit-rate of each Subscriber (on a per-MPID basis); and (d) a
11 As noted above, Millennium calculates a Regulation NMS-compliant NBBO from a combination of
direct market feeds and a SIP market data feed.
COMP score, which is the ratio of the total shares sent in all Firm-up Response Orders to the total number of shares sent in the Firm-up Requests sent to that Subscriber, and which measures the quality of the hit-rate of each participating Subscriber (on a per-MPID basis). Each of these scores will have a “floor”, to be determined at the sole discretion of Millennium. Any Subscriber whose score falls below the floor for that type of score will be put into a “penalty box”, during which time that Subscriber will receive no Firm-up Requests for Conditional Orders. The length of time that a Subscriber will be in the penalty box will be solely determined by Millennium, and CES personnel with supervisory authority over Millennium may release Subscribers from the penalty box at their discretion.
Directed Matches: Orders from Subscribers with instructions to execute in a specific Directed Match will only attempt to execute against other Subscriber orders with similar instructions to execute in that Directed Match, according to the terms of those orders. Except in the case of qualified contingent trades, as previously discussed, all executions in a Directed Match will occur at or within the NBBO.
No executions occur in locked or crossed markets or in securities experiencing a regulatory trading halt. In addition, during the period in which a circuit breaker has been triggered under Rule 201 of Regulation SHO, short sale orders will not be executed at a price at or below the then-current NBB.
Reporting
Subscribers will receive electronic notification of their trades promptly.
All orders and trades are reported to the FINRA OATS reporting system and NASDAQ FINRA TRF as required by rule.
Millennium will report trade capacity on executed trades as specified by the Subscriber. For example, while Millennium only acts as agent for both sides of a trade executed in the ATS, a Subscriber may be acting in a principal capacity and that Subscriber’s trades will be reported as such.
Clearance and Settlement
Trades executed in Millennium will be sent through CES’s existing back office (DML) infrastructure for clearing and settlement via DTC (for buy-side Subscribers) and NSCC (for sell-side Subscribers). Subscribers will receive confirmations and monthly statements on their Millennium activity in accordance with applicable rules.
(e) Procedures for Ensuring Subscriber Compliance with System Guidelines Millennium has built-in compliance functionality for ensuring Subscriber compliance with the system guidelines. First, CES monitors the system on a continuous basis to ensure that the system is operating properly. In this regard, the system provides alerts to the ATS trade support desk covering, among other things, excessive order values and orders with limit prices exceeding 10% outside the then-current market, as well as executions at prices that violate limit prices, market order executions at prices outside the prevailing market, and potential trade-throughs. Second, CES maintains an audit trail for significant events that occur in the system to enable it to reconstruct the events leading up to any trades or problems. All Millennium orders and transactions are traceable to a particular Subscriber through a unique client identifier within the system. Millennium also reviews activity within the ATS for suspicious Subscriber activity and activity detrimental to other Subscribers, and will take appropriate action where necessary.
Millennium also has implemented market access and credit checks pursuant to SEC Rule 15c3-5. These checks include, but are not limited to, Subscriber buying power, “Fat-Finger” checks to minimize incorrect order instructions, and maximum order size.
Millennium’s operations are monitored and surveilled by CES supervisory and compliance personnel. The Millennium desk is supervised on a day-to-day basis by a registered principal of CES (a Desk Supervisor) who sits at the desk. In addition, the Firm employs an individual, the Control Supervisory Support Officer (“CSSO”), whose primary role is to support the various Desk Supervisors with their functions as such. In addition to supporting the Millennium desk, the CSSO also works with the other trading desks on the trading floor, physically located on a post overlooking the entire floor. He is available to assist any desk (with help from additional Trade Support personnel) when assistance is needed and reports directly to the Director of Trading Operations. The Firm also employs a Trading Surveillance Analyst, who is a member of the Compliance Department. Collectively, the Analyst and CSSO review trade and exception reports relating to Millennium (as well as the rest of the Firm’s trading desks) in accordance with CES’s written supervisory and compliance procedures. They, along with the Trade Support personnel and Desk Supervisor, have the ability to monitor the ATS to ensure that it operates smoothly and that its Subscribers comply with system guidelines.13
As described above in subsection (d), Millennium scores Subscribers submitting Conditional Orders, and if those Subscribers’ scores drop below a specified floor, those Subscribers will not receive Firm-up Requests for a period of time.
(f) Copy of Alternative Trading System’s Subscriber Manual and any Other Materials Provided to Subscribers
Millennium does not have a Subscriber manual. CES personnel help train 13 It should be noted that Millennium is an agency-only system. CES does not trade on a proprietary basis
Subscribers on the use of Millennium.
Millennium prepared a document addressing Frequently Asked Questions about Millennium, which was attached as Attachment F(f)-11 to the Form ATS filed on September 4, 2014, and was previously made available on CES’ website at
www.convergex.com. Millennium also provides information regarding the operation of
the ATS, including information regarding “Millennium Execution Protocols”, on its website. The most recent version of this document is attached as Attachment F(f)-14. In addition, Millennium has provided technical specifications for Subscribers in a document entitled “Convergex FIX Specification/Millennium ATS Mid-Point Matching Dark Pool”, the most recent version of which is attached as Attachment F(f)-13 and also is available through CES’ website. Marketing materials related to Millennium will be filed with amendments to Millennium’s Form ATS as required and will be posted on the CES website as well.
Copies of prior marketing materials mentioning Millennium were previously included as Attachments F(f)-1 through F(f)-10 to, variously, Millennium’s original Form ATS filed on May 5, 2010 and subsequent amendments to its Form ATS. A prior version of the “Convergex FIX Specification/Millennium ATS Dark Pool Direct Order Routing” was attached as Attachment F(f)-12 to the Form ATS filed on September 4, 2014.
Exhibit G
A brief description of the alternative trading system’s procedures for reviewing system capacity, security, and contingency planning procedures.
CES actively monitors the system to ensure that it is functioning properly. In this regard, the system provides various Alerts or Views into various functions of the system to CES personnel on the ATS support desk. For example, the system compiles and displays order-based volumetrics, including, among others, the number of orders (e.g., by type, per second, and response times to IOC orders) and order cancellations by users over various time periods. Based on those figures, Millennium alerts operators when capacity thresholds are threatened.
With respect to system security and confidentiality, access to order and trade information within the system is limited to the support personnel on the CES ATS support desk, with limited access provided to employees of CES’s technology vendor, Thesys. Such access is restricted to authorized personnel using permissioned-based applications for both real-time and historical data. Authorized Thesys personnel are permitted to access Millennium data for support and trouble-shooting issues. Thesys and its employees are subject to strict confidentiality requirements covering system-related information. CES will monitor access to any information within the ATS. Thesys will be subject to regular technology audits to protect against unauthorized access to the system.
CES and Thesys will have systems in place to protect against the misuse by any of its and its vendor’s personnel of ATS-related trading information. For example, CES’s compliance department reviews support personnel personal trading records in accordance with CES compliance policies and procedures for indications that confidential user trade information is being misused. CES IT personnel will employ the same techniques and procedures they use for all CES electronic systems (e.g., appropriate firewalls, filters, password protections, etc.) to protect Millennium from security threats. In addition, Thesys will implement instructions relating to system security provided by CES.
Millennium is subject to CES’s contingency planning and business continuity procedures, which include system back-ups, communication redundancies, alternative data and power sources, and remote office capabilities. It also is subject to internal CES systems control auditing, including audits of general computer controls and information security controls.
We note that Millennium is not subject to the capacity, integrity, and security requirements of Rule 301(b)(6) of Regulation ATS by virtue of subsection (b)(6)(i) of that Rule.
Exhibit H
If any other entity, other than the alternative trading system, will hold or safeguard subscriber funds or securities on a regular basis, attach as Exhibit H the name of such entity and a brief description of the controls that will be implemented to ensure the safety of such funds and securities.
All Millennium Subscribers are institutional and broker-dealer customers of CES, the broker-dealer sponsor of the ATS. Subscribers receiving executions through Millennium do so through CES, which clears and settles all Millennium trades. As a self-clearing broker-dealer, CES complies with Exchange Act Rule 15c3-3 (the “Customer Protection Rule”).
Exhibit I
Attach as Exhibit I, a list providing the full legal name of those direct owners reported on Schedule A of Form BD.
Millennium is owned and operated by Convergex Execution Solutions LLC. Convergex Execution Solutions LLC is registered broker-dealer, a member of both FINRA and the NYSE, and a wholly-owned subsidiary of Convergex Group, LLC.
