Form ATS-N/UA GOLDMAN SACHS & CO. LLC

  
    ATS-N/UA
    0000950123-21-009323
    
      LIVE
      
        
          0000042352
          XXXXXXXX
        
        013-00121
      
      
        false
        false
      
    
  
  
    
      Sigma X2
      N
      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.
    
    
      Y
      GOLDMAN SACHS & CO. LLC
      
        
      
      008-00129
      000000361
      FINRA
      10/26/1936
      SGMT
      https://www.goldmansachs.com/what-we-do/securities/gset-equities.html
      
        Equinix NY4 data center
        755 Secaucus Rd
        Secaucus
        07094
        US-NJ
      
      
        
          CH4 - 350 E. Cermak Rd
          Chicago
          60616
          US-IL
        
      
      false
      false
    
    
      
        Yes. GSCO is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and individuals. As such, GSCO has a number of business units that engage in various securities trading activities that may enter and/or direct the entry of orders to Sigma X2 using limit or Peg orders, and using GSCO systems that include GSCO order handling algorithms, smart order routing, or directed orders. Sigma X2 only accepts orders; the system does not accept any other form of trading interest. Set forth below are the GSCO business units that are responsible for facilitating GSCO's trading activities on Sigma X2 in an agency or principal capacity:  
SALES TRADING & GSET:  The Goldman Sachs Electronic Trading ("GSET") business unit and the Sales Trading business unit provide execution services to high-touch (Sales Trading) and low-touch (GSET) clients in single stock, derivatives, program trades, or synthetics/ETFs. Sales Trading personnel may facilitate the routing of orders to internal GS trading desks or to various listed exchanges and/or liquidity pools, which can include order routing to Sigma X2 for execution. GSET provides clients with access to algorithmic strategies and systems the clients can use to route orders to various listed exchanges and/or liquidity pools, which can include order routing to Sigma X2 for execution. These business units can send orders to Sigma X2 in an agency capacity under the MPIDs GSCO and GSCS. 
EQUITIES MACRO ONE DELTA - AMERICAS: This GSCO business unit engages in market making-related activities in cash equities and exchange-traded ("listed") and over-the-counter ("OTC") equity derivatives of various forms, and hedges the risk associated with this activity. Equity Macro One Delta activities include block positioning, exchange market making, creation and redemption of ETFs and corresponding equity underlier baskets, and OTC facilitation of client, customer, and counterparty transactions in equities products. This business unit sends orders to Sigma X2 in agency and principal capacities under the MPID GSCO.
EQUITIES MICRO ONE DELTA - AMERICAS: This GSCO business unit engages in market making-related activities in equities single stock securities and products and hedges the risks associated with those activities. The activities of this business unit include block positioning, effecting transactions on exchanges, and OTC facilitation of client, customer, and counterparty transactions in single stock equities products. This business unit sends orders to Sigma X2 in agency and principal capacities under the MPID GSCO.
EQUITIES MACRO DERIVATIVES - AMERICAS:  This GSCO business unit engages in market making and market making-related activities in index based listed/exchange-traded and OTC index equity derivatives, and performs hedging of corresponding risk associated with those activities. The activities of this business unit include agency execution of exchange-traded derivative securities, as well as listed and OTC facilitation of client, customer, and counterparty derivatives transactions. This business unit sends orders to Sigma X2 in agency and principal capacities under the MPID GSCO.
EQUITIES MICRO DERIVATIVES - AMERICAS: This GSCO business unit engages in market making and market making-related activities in single stock listed/exchange-traded derivative securities and OTC instruments (e.g., convertibles and derivatives), and hedges the risk associated with those activities. Equity Micro Derivatives activities include agency execution of single stock exchange traded derivative securities, as well as listed and OTC facilitation of client, customer, and counterparty derivatives transactions. This business unit sends orders to Sigma X2 in agency  and principal capacities under the MPID GSCO.
EQUITIES - STRUCTURED PRODUCTS AND WORLD EXOTICS: This GSCO business unit engages in market-making and related activities that includes activities in listed, OTC, securitized derivatives on securities and cross-asset derivatives (i.e., a derivative involving a combination of equity, foreign exchange, interest rates, credit and/or commodities called "hybrids"). This business unit sends orders to Sigma X2 in a principal capacity under the MPID GSCO.
CREDIT - US INDEX TRADING:  The GSCO business within Global Credit engages in market making-related activities in credit index products, including credit ETFs, and hedges the risks associated with these activities. These activities include market making, OTC facilitation of client, customer and counterparty transactions, and transactions executed on various electronic trading platforms (e.g., Bloomberg, MarketAxess, Trade Web) in the United States. This business unit sends orders to Sigma X2 in a principal capacity under the MPID GSCO.
In addition to the above referenced business units, the Equities Delta Hedging Facility ("EDHF"), is the Firm's automated hedging tool used to manage its equities-related principal risk positions. As part of the Firm's process for managing principal risk, various above-described business units within GSCO's equities business may send principal equities orders to EDHF. EDHF then uses the GSCO algorithms and smart order router (SOR) to manage the Firm's risk position. Such orders can be routed to Sigma X2 in a principal capacity under the MPID GSCO. The profits and losses associated with such hedging are allocated back to the above-described equities businesses. The EDHF tool operates within the Equities Macro One Delta - Americas business unit.
        Y
        N
      
      N
      
        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.
        Y
        N
      
      N
      
        Direct Subscribers and Indirect Subscribers (defined in Part II, Item 5.a.) also are referred to herein collectively as "Participants."  Participants can restrict interactions with GSCO principal orders for any reason (e.g., where required pursuant to Section 28(e) of the Exchange Act) by using the "Agency Only Execution" condition (See Part III, Item 11.c.). This restriction is applied at the Participant-level. The manner in which Participants can opt-out of interacting with GSCO principal flow is described in Part III, Item 11.c.
      
      N
      Y
      
        GSCO has mutual access agreements with Barclays; Deutsche Bank; JPMorgan; Liquidnet; Merrill, Lynch, Pierce, Fenner & Smith Incorporated; Morgan Stanley; and UBS. These agreements govern how such parties can access Sigma X2 to transmit orders, and how GSCO can do the same relative to such Trading Centers. The agreements do not provide for any compensation, nor do they obligate any party to transmit orders to, or accept orders from, another. To the extent that any of these Trading Centers determine to route orders to Sigma X2, the terms and conditions to access Sigma X2 are the same as the terms and conditions applicable to other Participants and there is no difference in treatment with respect to the services.
        N
      
      
        Subscribers can access Sigma X2 directly ("Direct Subscribers") or indirectly ("Indirect Subscribers"), and all Subscribers can utilize both ATS and non-ATS GSCO offered products and services.
Direct Subscribers access Sigma X2 via a FIX connection. Indirect Subscribers access Sigma X2 via non-ATS GSCO offered products and services, which may include:
i. GSCO algorithms, which accept parent-level orders and can send portions of such orders (i.e., child orders) to GSCO's SOR. GSCO's SOR may route such orders to Sigma X2 or other market centers, as described below;
ii. The GSCO SOR (hosted in Carteret and NY4), which can route various orders to Sigma X2 or other market centers or may route directed orders to Sigma X2; and
iii. The GSCO Direct Market Access ("DMA") System, which GSCO clients may use to direct orders to Sigma X2 or other market centers using their own algorithms, i.e., non-GSCO algorithms. Orders routed via the GSCO DMA System do not pass through, and are not known by, GSCO's SOR.
Direct Subscribers' orders experience less latency than Indirect Subscribers' orders.  
Sigma X2 does not display orders to Participants, or outside of Sigma X2. However, GSCO's SOR is aware of orders it has posted in all venues, including Sigma X2. The GSCO SOR uses knowledge of such orders to predict venue-level fill rates. This data is not communicated outside of the SOR.
        Y
      
      
        Neither GSI nor its clients can access Sigma X2 directly (i.e., they are not Direct Subscribers as defined in Part II, Item 5.a.). GSI offers sales and trading services to its clients that include the ability to send orders in NMS Stocks to GSCO, which, through the use of a GSCO algorithm or the GSCO SOR, may be routed to Sigma X2.
        Y
      
      
        GSCO does not have any employees solely responsible for Sigma X2. Certain GSCO employees and certain Affiliate employees have responsibilities with respect to GSCO and/or an Affiliate in addition to responsibilities regarding the operation of Sigma X2 and, as such, have the ability to access certain Participant confidential trading information. Such employees' roles are summarized below in response to Part II, Item 7.d.
      
      
        GSCO has entered into an agreement with Operations and Compliance Network, LLC ("Ocean"), an affiliate of Nasdaq, pursuant to which Ocean hosts, operates and supports the technology platform for Sigma X2 subject to the direction and oversight of GSCO as the Broker-Dealer Operator. Pursuant to this agreement, Ocean also provides certain support services related to GSCO's compliance, surveillance, supervisory, recordkeeping and reporting obligations subject to the direction and oversight of GSCO as the Broker-Dealer Operator. Pursuant to the agreement with Ocean, certain aspects of the services provided by Ocean to Sigma X2 utilize infrastructure and support services shared by Ocean and its affiliates. As the Broker-Dealer Operator, GSCO is responsible for the operation of Sigma X2 in compliance with the federal securities laws. Ocean is responsible for carrying out the operation of Sigma X2 and all aspects of Part III of the Form ATS-N with the exception of Items 6 (Co-location and Connectivity), 12 (Liquidity Providers), 15 (Display), 16 (Routing), 18 (Trading Outside of Regular Trading Hours), 19 (Fees), 22 (Clearance and Settlement), 24 (Order Display and Execution Access), and 25 (Fair Access). Certain of these enumerated functions do not apply to Sigma X2 at all or are handled by GSCO personnel.
        N
      
      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.
      N
      Subject to the written safeguards and procedures described above, access to Participant confidential trading information is limited to those Persons with a "need to know" such information, as defined in response to Part II, Item 7.a. In particular, with respect to GSCO, Ocean and GSI, such access by personnel and systems is permissioned when necessary to perform duties and responsibilities for Sigma X2. Persons with access to Participant confidential trading information, including the basis for such access, are outlined below. 
OCEAN PERSONNEL
To perform operational, compliance, surveillance, recordkeeping, and regulatory reporting responsibilities, certain designated Ocean employees (approximately a dozen) require access to Sigma X2 trading information. Particular Ocean business personnel include:
Ocean Operations - Dedicated Operations personnel are responsible for the day-to-day technical and market operations of Sigma X2. To perform these responsibilities, Operations personnel have access to intraday and historical order and execution event data via various system applications, including OceanView, and have access to client set up data via the Configuration API. 
Ocean Compliance - Dedicated Compliance personnel are responsible for surveillance of Sigma X2 using the SMARTS application and for managing access requests and entitlements for Ocean systems. Such Compliance personnel also are responsible for Ocean's compliance with the Ocean Information Barriers and Conflict Management Policies and Procedures. To perform these responsibilities, such Compliance personnel have access to intraday and historical order and execution event data. 
Ocean CORE Technology - Dedicated CORE Technology personnel are responsible for development and maintenance of software related to the core/matching functionality of Sigma X2. To perform these responsibilities, CORE Technology personnel have access to intraday and historical order-event data via CORE stream.
Ocean Surrounding Technology - Surrounding Technology personnel have responsibilities for the development, maintenance, and operation of downstream applications that consume data from Sigma X2 for purposes of surveillance, regulatory reporting, and recordkeeping. Personnel have access to intraday and historical order-event data via various system applications, including OceanView. Personnel also have access to client set up data via the Configuration API.
Ocean Business and Product Management - Dedicated Business and Product Management personnel are responsible for overarching management and coordination of Ocean teams (Operations/Compliance/CORE/Surrounding). For these purposes, such personnel have access to intraday and historical order-event data via various systems applications, including OceanView.
GSCO EMPLOYEES: OCEANVIEW LIAISONS & DEDICATED GSET ENGINEERS
Designated "OceanView Liaisons": Supervisory, GSET Engineers, Operations and Compliance - A defined and limited group of designated GSCO employees who have responsibilities for providing supervisory, operational, or compliance support specific to Sigma X2 have access to the order book via Ocean's "OceanView" GUI. Support responsibilities may include liaising with Ocean, performing various technical functions, and troubleshooting.
Dedicated GSET Engineers - A designated subset of engineers dedicated to the Sigma X2 business who perform execution quality and mark-out profile analysis requiring information access on a (T+1) delayed basis. For these purposes, such personnel have access to Participant identities and execution information but do not have real-time access to the Sigma X2 order book.
GSCO EMPLOYEES: OTHER SUPPORT
Support employees referenced below are not entitled to access the Sigma X2 order book. 
Execution Coverage - Through an order management system, designated sales employees have access to order and execution information for the Indirect Subscribers to whom they provide coverage. Access to Indirect Subscriber order information is necessary for the purpose of providing sales and execution services, and their access to such information is no different than their ability to see orders that are routed to other market venues. Designated sales employees also have access to delayed (at least T+1) and aggregated execution information for the Direct and/or Indirect Subscribers to whom they provide coverage. 
GSET Engineers - Certain engineering employees who are designated liaisons with Ocean, perform various technical functions and troubleshoot and repair system issues. As discussed above, pursuant to an agreement with GSCO, Ocean operates and supports the technology platform for Sigma X2 subject to the oversight of GSCO as the Broker-Dealer Operator (See Part II, Item 6.b., above). Certain other engineering employees monitor Sigma X2's performance for purposes of measuring execution quality, performing mark-out profile analyses (as described further in Part III, Item 13), and related analytical functions. These employees have development and maintenance responsibilities for GSCO trading platforms, execution algorithms, order routing, data stores, and systems that feed GSCO middle and back office and have visibility into order routing destinations (whether principal and/or client flow), including routing to Sigma X2.
Operations - GSCO Operations employees perform various operational support functions including regulatory reporting and trade booking. Such employees can access Participant trading execution information in order to provide operational support, or perform specific responsibilities such as trade booking and regulatory reporting. 
Supervisory Coverage - Designated employees who perform supervisory oversight of GSET business activities and Sigma X2. These designated supervisory employees have as needed access to order and execution information to provide supervisory oversight responsibilities. 
Legal, Compliance, Internal Audit/Compliance Testing "Control Side Employees" -Designated employees assigned to GSCO's various Compliance, Legal, and Internal Audit/Compliance Testing divisions and who have control side, audit, and regulatory responsibilities may access Participant information to provide regulatory and compliance support, and address regulatory examinations and inquiries where warranted.
Segmentation Governance Working Group - Certain designated employees from Compliance, Dedicated GSET Engineers, Designated OceanView Liaisons, Execution Coverage, and Supervision, all described above, meet on a periodic basis to review and discuss Participants' Counterparty Classification designations (as described in Part III, Item 13). This group reviews and discusses the results of the GSCO objective mark-out analysis (as described in Part III, Item 13). 
GSI PERSONNEL
GSI, as an Indirect Subscriber to Sigma X2, has access to its own principal and client trading information. Similar to the coverage team for GSCO Execution, GSI employees have access to order and execution information for the clients on whose behalf they provide coverage, including execution services in Sigma X2 that are facilitated by GSCO acting as agent for GSI. Also, certain senior level GSET managers, who are based in GSI and are responsible for business planning, strategy and overall management of the GSET business globally, have access to delayed (at least T+1), daily statistical reports that contain aggregated Participant execution data and Sigma X2 aggregate market share information. While these senior managers have accountability for GSET operations globally, they are not involved in day-to-day operations of GSCO or Sigma X2. These senior GSET managers have access to such data in order to understand the scope and scale of Sigma X2 as one of GSET's execution service offerings, and in furtherance of their responsibilities to evaluate and make decisions regarding GSET's global business plan and strategy. 
GSCO AND GSI SYSTEMS
GSCO has systems, applications and databases that contain Participant confidential trading information. Specifically, with regard to systems, GSCO has order and execution management systems, algorithms, a SOR and a DMA System that have real-time order and execution information to support the transmission of orders, executions and related information to and from Sigma X2. 
Participant confidential trading information is maintained in GSCO central databases as well as the applications used to access those database, e.g., SMARTS and OceanView. These databases and applications contain real-time and delayed order and execution information. The information in these databases is used to comply with books and records requirements, regulatory reporting requirements, and for monitoring and surveillance. GSCO also derives information from these databases to satisfy Participants' requests for their individual activity in Sigma X2, as described in Part III, Item 13.d, as well as to provide Participants with aggregated and anonymized information about overall activity in Sigma X2, as described in Part III, Item 26. Finally, GSCO Execution Coverage may also receive information from these databases regarding the activity of the specific Participants for whom they provide coverage. 
GSI also has systems, applications and databases that contain Participant confidential trading information (real-time and delayed order and execution information); namely, the orders in NMS Stocks sent to, and executions received from, GSCO, which acts as agent for GSI in connection with Sigma X2 activity. GSI uses the information in a manner similar to GSCO, i.e., for the same above-described purposes. 
Both GSCO and GSI limit access to their systems, applications and databases to persons with a "need to know" such information to perform their specific duties and responsibilities as defined in Part II, Item 7.a. This policy, which is global, is enforced through entitlement access procedures.
OCEAN SYSTEMS
Ocean, in its role of hosting, operating and supporting the technology platform for Sigma X2, also maintains systems, applications and databases that contain Participant confidential trading information. For example, Ocean maintains the Sigma X2 order book, SMARTS, and OceanView, which include real-time and delayed order and execution information. Separately, Ocean also maintains applications and databases that contain real-time and delayed order and execution information to assist GSCO with other functions including regulatory reporting (e.g., OATS and trade reporting) and surveillance.
Like GSCO and GSI, Ocean has a "need to know" policy and entitlement access procedures.
    
    
      Investment Companies
      Retail Investors
      Issuers
      Brokers
      Asset Managers
      Principal Trading Firms
      Hedge Funds
      Market Makers
      Banks
      Dealers
      Other
      Other types of Participants include:
- Private Investors
- Pension Funds
- Insurance Companies
- Government Entities
      N
      
        GSCO, as a multi-service Broker-Dealer (and except with respect to its affiliated entities) requires all Participants (whether Direct or Indirect Subscribers) to execute various account documentation relating to sales and execution services provided by GSCO. Participants are subject to the GSCO onboarding process applicable to all GSCO clients. Once the general GSCO onboarding process is complete, GSCO clients have access to a variety of products and services offered by GSCO including, but not limited to, Sigma X2. During the GSCO onboarding process, a variety of criteria are taken into account for establishing new client relationships and providing clients with access. For example, Goldman Sachs has onboarding policies, procedures, and internal processes designed to prevent and detect money laundering. Other factors in assessing and onboarding clients include background checks and financial and credit standing. 
In addition, to route orders to Sigma X2 via a direct connection (i.e., become a Direct Subscriber), a Participant also must sign, as noted in Item 2.d. below, a subscriber agreement or a mutual access agreement (discussed in more detail in Part II, Item 4.a. above) governing and specifying the nature of the relationship between GSCO and the client. Pursuant to the terms of the agreements and/or account documentation entered into with GSCO, Participants have contractual obligations to abide by all applicable rules and regulations.
        Y
      
      Y
      
        Conditions for exclusion include: intent-based behavior that negatively affects execution quality or operational stability of Sigma X2 (e.g., surveilling for inappropriate trading activity); and any other conduct or developments (e.g., margin or credit risk issues) that would reasonably cause GSCO to end its relationship with a client (e.g., change in financial status and regulatory incidents). 
Please refer to Part III, Item 13.a. regarding the Counterparty Classification Framework and the Taker Token Feature because both can result in limitations on the activities of Participants on Sigma X2 (i.e., an inability to interact with some order flow).
Pursuant to the terms of the agreements and/or account documentation entered into with GSCO as noted in Part III, Item 2.b. above, Participants have contractual obligations to abide by all applicable securities rules and regulations. In addition, GSCO assesses incoming orders and blocks or filters out those orders that are missing required elements or otherwise fail the GSCO checks. GSCO also uses activity reports to monitor orders sent to Sigma X2 and to monitor Participant compliance with their agreements and ATS policies and procedures, including applicable securities rules and regulations. A Participant's failure to comply with the agreements or meet contractual obligations can result in termination as a client of GSCO and/or exclusion from Sigma X2.
        Y
      
      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.
      Y
      
        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.
        Y
      
      
        Indirect Subscribers access Sigma X2 via non-ATS GSCO offered products and services, which may include:
i. GSCO algorithms, which accept parent-level orders and can send portions of such orders (i.e., child orders) to GSCO's SOR. GSCO's SOR may route such orders to Sigma X2 or other market centers, as described below;
ii. The GSCO SOR (hosted in Carteret and NY4), which can route various orders to Sigma X2 or other market centers or may route directed orders to Sigma X2; and
iii. The GSCO DMA System, which GSCO clients may use to direct orders to Sigma X2 or other market centers using their own algorithms, i.e., non-GSCO algorithms. Orders routed via the GSCO DMA System do not pass through, and are not known by, GSCO's SOR.
Orders sent to Sigma X2 by Indirect Subscribers, GSI, and GSCO business units via GSCO algorithms and the GSCO SOR are sent directly to Sigma X2 once the routing decision is made by the GSCO SOR, and use a FIX connection and the same FIX protocol as described in the response to Part III, Item 5.a. above.
        Y
      
      N
      N
      N
      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.
      Y
      
        The minimum order size is 1 share. The current maximum is 999,999 shares, but GSCO also applies Rule 15c3-5 related size limitations.
        Y
      
      
        Odd lots are treated the same as round lots.
        Y
      
      
        Mixed lots are treated the same as round lots.
        Y
      
      N
      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.
      Y
      Orders accepted by Sigma X2 will remain in an accepted state at the start of regular trading and Sigma X2 will not execute any orders until the matching engine detects the opening print and 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.
      Y
      N
      Sigma X2 operates a non-displayed limit order book and provides anonymous matching of orders in all eligible NMS Stocks. Order entry by Direct Subscribers and Indirect Subscribers is effected utilizing the FIX protocol for order submission. Orders are validated upon submission to Sigma X2 and any order that does not pass all validation is rejected. Once an order is accepted, Sigma X2 follows price/broker/time matching priority and only matches buyers and sellers at prices within the NBBO consistent with the Counterparty Classification Framework described below in response to Part III, Items 13 and 14. Sigma X2 attempts to match orders upon the arrival of a new order or upon a price change (either a change to the NBBO or a Participant-initiated price change). Throughout the trading session, orders may be modified, replaced, cancelled, or executed. At the end of the trading session, all open orders are cancelled.
      Y
      Rules governing pricing and matching priority are described below.
MATCHING PRIORITY
Sigma X2's matching logic is based on price/broker/time priority and the Counterparty Classification Framework (See Part III, Item 13.a.). At a given price level, this logic prioritizes opposite side orders from the same or affiliated broker-dealer Direct Subscriber(s) for crossing as long as they are eligible to match within the Counterparty Classification Framework. 
By default, matching priority exists at the individual broker-dealer Direct Subscriber market participant identifier ("MPID") level. Alternatively, a broker-dealer Direct Subscriber can modify the default such that its "broker" status is instead based on all of its affiliated MPIDs. Under this approach, order flow routed from customers, businesses or desks of a broker-dealer Direct Subscriber under multiple affiliated MPIDs will have priority to execute with opposite side orders routed to Sigma X2 by the broker-dealer Direct Subscriber using any of the affiliated MPIDs. Direct Subscribers can opt-out of the "broker" priority element by selecting the self-match prevention condition, as further described in the "Other Order Parameters and Conditions" discussion in this section. 
GSCO broker status is inclusive of all of its affiliated MPIDs. Non-broker-dealer Direct Subscribers, as clients of GSCO, will receive matching priority with GSCO and its affiliated MPIDs. Specifically, all orders routed to Sigma X2 under a GS identifier ("GSID"), including GSCO client and/or principal orders, shall receive matching priority across all GSCO MPIDs. 
Orders in Sigma X2 are treated as liquidity-taking or liquidity-providing based on their time of order arrival. When Sigma X2 assesses two orders for a potential match, the liquidity-providing order is the order that was first-in-time, and the liquidity-taking order is the order that was second-in-time. Orders subject to the Post-Only condition (described below), which are always liquidity-providing orders, are only assessed for potential matching with orders that Sigma X2 received later-in-time. 
For example, a common execution (matching scenario) occurs in Sigma X2 when a resting Day order executes against an incoming IOC order and Sigma X2 classifies the resting Day order as liquidity-providing and the IOC order as liquidity-taking. Please refer to the attached Matching Scenarios grid for examples.
As noted above, price/broker/time matching priority can be impacted where Participants choose to impose certain conditions (e.g., self-match prevention) on their orders to limit interaction with orders in Sigma X2, as further described in the "Other Order Parameters and Conditions" discussion in this section. 
Any change to an order by a Participant will reset its time priority, with the exception of reduction in the size of an order or a short sale change (i.e., short sell order changed to long sell order or long sell order changed to a short sell order) as further discussed below. System updates to the Assigned Limit Price of an order will not change time priority (e.g., Pegged Orders). 
OTHER ORDER PARAMETERS AND CONDITIONS
The price/broker/time execution priority may change in instances where the Participants choose to impose certain conditions on their orders, including: 
- Minimum Executable Quantity ("MinQty") - allows Participants to specify a minimum quantity for execution against any single contra order. Participants can select this feature on an order-by-order basis.
Sigma X2 does not aggregate contra-side orders to meet the MinQty. The MinQty specified on an order can only be filled by a single contra-side order. To illustrate, if a Participant's order has a MinQty of 300 shares, that order can be filled only against a single contra-side order of at least 300 shares, not by multiple contra-side orders totaling 300 shares. 
When multiple contra-side orders are matched in one matching cycle against an order with MinQty enabled, each individual contra-side order must satisfy the MinQty, but it is possible for a single execution to be less than the MinQty. To illustrate, if a Participant has an order for 500 shares and a MinQty of 300 shares and there are two contra-side orders of 300 shares each, the Participant's 500 share order will execute against each 300-share order--first for 300 shares and then for the remaining 200 shares--since both contra-side orders meet the Participant's MinQty.
Participants may utilize Tag 9500 (MinQtyInstruction) to specify the method by which the MinQty instructions are to be applied in the event of a leaves quantity that is less than the MinQty: A, which specifies that the order becomes All or None if the leaves quantity is less than the minimum executable quantity; or M, which specifies that the order is canceled back if the leaves quantity is less than the minimum executable quantity. Under the default setting, an order will become All or None if the leaves quantity is less than the minimum executable quantity. 
- Self-Match Prevention - allows Participants to block a match with themselves for regulatory reasons (e.g., prevents wash trades). Participants can select this feature at the Participant-level (i.e., at the MPID- or GSID-level, as applicable) or on an order-by-order basis.
- Affiliate-Match Prevention - allows Participants to block a match with an affiliated Participant. Sigma X2 applies this feature at the Participant-level. 
- Agency-Only Execution - allows Participants to block principal executions with GSCO (e.g., where required pursuant to Section 28(e) of the Exchange Act). Sigma X2 applies this feature at the Participant-level.
- Post-Only - allows Participants to submit orders that will only execute when they are first-in-time (i.e., liquidity-providing orders). Participants can select this feature on an order-by-order basis.
- Counterparty Classification - allows liquidity-providing Participants (described above) to designate the category or categories of liquidity-taking orders with which their liquidity-providing orders may interact (described in Part III, Item 13 a.). Participants can select this feature at the Participant-level or on an order-by-order basis.
In accordance with such instructions, Sigma X2 matching logic would bypass matching of orders as required by the above conditions. Participants can request the application of the above conditions through their Coverage teams. GSCO Coverage employees implement such requests, which become effective the following trading day. 
Additional non-discretionary rules and procedures of Sigma X2 include: 
PRICE IMPROVEMENT
Either the provider or taker of liquidity, or both, can receive price improvement. Price improvement is not necessarily split equally between a liquidity provider and a liquidity taker; instead, the execution price will be the price closest to the midpoint of the NBBO. Included as an attachment is a chart that illustrates price improvement in Sigma X2. 
PRICE PROTECTION MECHANISMS
All orders in Sigma X2 require a Limit Price and will be given an Assigned Limit Price as described in Part III, Item 7.a. No order will be given an execution that would violate the order's Limit Price. No executions will take place outside the NBBO. Sigma X2 will suspend matching in a symbol that is currently quoted in a LULD straddle state.
SHORT SALES AND REGULATION SHO  
Participants may enter short sale orders in compliance with Regulation SHO. This rule applies to short sale orders from U.S. registered broker-dealer subscribers and, as discussed below, each short sale order must specify that a locate has been obtained in accordance with Regulation SHO Rule 203(b)(1). Sigma X2 will rely on the locate exemption provided in Rule 203(b)(2)(i) when accepting short sale orders from its U.S. registered broker-dealer Direct Subscribers that are obligated to comply with Rule 203(b)(1). For non-broker-dealer Direct Subscribers, Sigma X2 will reject any short sale order that does not identify the broker who provided the locate. 
For short sale orders subject to Rule 201 under Regulation SHO that are not permissibly priced for execution (i.e., not priced above the Constructed NBB or SIP NBB (as defined in response to Part III, Item 23), as the case may be), the Assigned Limit Price will be the lowest permissible price in compliance with Rule 201 (including in sub-penny increments for orders that may be priced in sub-pennies pursuant to Rule 612 under Regulation NMS). Such orders are executed at the Assigned Limit Price if there is an available contra-side order or, if not, they are held for execution at the new Assigned Limit Price or better. As quoted prices change, the Assigned Limit Price is updated to the lowest permissible price for execution under Rule 201 down to an order's original limit price. An order that is re-priced in this manner under Rule 201 does not have its original priority changed. Instead, the priority of such an order is established based on its original Assigned Limit Price. 
LOCKED/CROSSED MARKETS
Sigma X2 will not execute orders during a locked or crossed market.
TIME-STAMPING OF ORDERS AND EXECUTIONS 
Orders are timestamped in microseconds at the time they are accepted by Sigma X2. Executions are timestamped in microseconds at the time that orders are matched. 
ERRORS
GSCO handles errors involving Sigma X2 in accordance with the Firm's error policy. Bona fide errors are booked to the Sigma X2 error account. To remedy an error, using the Sigma X2 error account, GSCO will buy or sell shares, as needed, including through the use of GSCO algorithms and SOR, which may result in executions at various exchanges and market centers, including Sigma X2.
      Y
      N
      
        As described below, on either an order-by-order or Participant-level basis (by MPID or assigned GSID, as applicable), through a framework called Counterparty Classification, Sigma X2 offers Participants the ability to restrict the interaction of their liquidity-providing orders with specified categories of liquidity-taking orders. These categories are referred to as Taker Categories "a," "b," or "c."  Liquidity-taking order flow is mapped into these Taker Categories based upon the results of an objective post-trade mark-out analysis (the "Mark-out Analysis"). GSCO performs the Mark-out Analysis for all liquidity-taking orders on approximately a monthly basis (and for new order flow, on an ad-hoc basis). Depending upon whether a Participant is a Direct or Indirect Subscriber, and other relevant characteristics and facts described below, the Mark-out Analysis may be performed for the entirety of a Participant's liquidity-taking order flow or with respect to identified subsets (i.e., segments) of such flow.
MARK-OUT ANALYSIS:
GSCO maps all Direct Subscriber liquidity-taking order flow in Sigma X2 into three Taker Categories (i.e., "a," "b," or "c") based on the Mark-out Analysis. To wit, this analysis and mapping is performed for all liquidity-taking orders in Sigma X2 - - i.e., all Direct Subscriber client orders (broker-dealer and non-broker-dealer Direct Subscribers) and all orders entering Sigma X2 under GSCO's MPID as a Direct Subscriber (GSCO principal orders and, separately, all Indirect Subscribers' orders). The GSCO Mark-out Analysis is a standardized assessment, across all securities, of the short-term price movement in a security that is associated with liquidity-taking executions. Specifically, the Mark-out Analysis evaluates short-term price movement in a security (i.e., impact on the security's mid-quote) that is measured on a percentage basis within a particular time horizon surrounding an execution. GSCO uses the results of the Mark-out Analysis to determine whether the executions were: (i) least likely to be unfavorable for the liquidity provider (Taker Category "a"); (ii) more likely to be unfavorable for the liquidity provider (Taker Category "b"); or (iii) most likely to be unfavorable for the liquidity provider (Taker Category "c"). GSCO uniformly applies the Mark-out Analysis to all liquidity-taking order flow--whether at the MPID-level, GSID-level, for individual Taker Tokens, or on an aggregated Taker Token basis (as described below). See "Taker Category Assessment - - Use of MPIDS, GSIDs, and Taker Tokens" and "Taker Tokens and 'Individual' vs. 'Aggregate' Execution Thresholds." 
On approximately a monthly-basis, GSCO refreshes the Mark-out Analysis for all Direct Subscribers and, accordingly, a Direct Subscriber's assigned Taker Category may change, without notice, following each such analysis. After GSCO performs a Mark-out Analysis, any new or changed Taker Category(ies) will become effective the following trading day. In addition, GSCO will perform an ad-hoc Mark-out Analysis to determine and assign a Taker Category for a new Direct Subscriber's order flow as well as in response to an existing Direct Subscriber's identification of new order flow. Please see "Taker Category Assessment: Use of MPIDs, GSIDs and Taker Tokens."  Following GSCO's performance of such ad-hoc Mark-out Analysis and determination of any new or changed Taker Category assignments, the new or changed Taker Category(ies) will become effective within seven business days. 
To maintain the integrity of the Counterparty Classification Framework, GSCO may periodically, as needed, reassess and modify the metrics used to determine the three Taker Categories.  
COUNTERPARTY CLASSIFICATION AND ORDER INTERACTION: 
As noted above, on either an order-by-order or Participant-level basis, Sigma X2 offers Participants the ability to restrict the interaction of their liquidity-providing orders with a specified category (or categories) of liquidity-taking orders (i.e., Taker Categories "a," "b," or "c") through the designation of a "Contra Category."  A Participant's Contra Category selection ("a," "b," or "c") for a liquidity-providing order determines the Taker Category (or Taker Categories) with which the liquidity-providing order may interact. 
The impact of selecting Contra Category "a," "b," or "c", is as follows.  When a Participant sending a liquidity-providing order selects Contra Category "a," the Participant's order will only interact with Taker Category "a" orders. If a Participant sending a liquidity-providing order selects Contra Category "b," the Participant's order may potentially interact with Taker Category "a" or "b" orders. If a Participant sending a liquidity-providing order selects Contra Category "c," the Participant's order may potentially interact with Taker Category "a," "b," or "c" orders. Included as an attachment is a chart illustrating the Counterparty Classification Framework and the interaction of liquidity-providing and liquidity-taking orders within this framework. 
If a Direct Subscriber sends liquidity-providing orders without selecting a Contra Category, such liquidity-providing orders will be defaulted to Contra Category "c."
For Indirect Subscribers' orders that access Sigma X2 through the Indirect Subscribers' use of GSCO's algorithms or SOR, the relevant GSCO algorithm or SOR logic will determine the Contra Category for liquidity-providing orders. For example, liquidity seeking algorithmic and/or SOR strategies may be willing to provide liquidity to all liquidity-taking Taker Categories, while more passive strategies may limit the set of liquidity-taking Taker Categories with which they interact. 
Indirect Subscribers that access Sigma X2 through GSCO's DMA System may select a Contra Category to be applied to all of their liquidity providing orders. If they do not select a Contra Category, their liquidity providing orders will be defaulted to Contra Category "c."  
TAKER CATEGORY ASSESSMENT--USE OF MPIDS, GSIDS, AND TAKER TOKENS:
For purposes of GSCO's performance of its Mark-out Analysis on liquidity-taking orders, unless a Direct Subscriber chooses to further segment its order flow through the use of Taker Tokens (as described below), GSCO will analyze broker-dealer Direct Subscriber orders by assigned MPID and non-broker-dealer Direct Subscriber orders by assigned GSID. When conducting its Mark-out Analysis, GSCO will not aggregate trading activity across multiple MPIDs or GSIDs utilized by a particular Direct Subscriber. Instead, GSCO will conduct its Mark-out Analysis for each individual MPID or GSID. Accordingly, broker-dealer Direct Subscribers sending liquidity-taking orders can segment their orders by utilizing multiple MPIDs, and non-broker-dealer Direct Subscribers sending liquidity-taking orders can segment their orders by utilizing multiple GSIDs. 
In addition to using multiple MPIDs or GSIDs for purposes of GSCO's Mark-out Analysis and Taker Category assignment, a Direct Subscriber (whether broker-dealer or non-broker-dealer) sending liquidity-taking orders can further segment its order flow by using one or more Taker Tokens. A Taker Token is an indicator a Direct Subscriber can attach to an order. As described below, GSCO will conduct its Mark-out Analysis on orders with the same Taker Token attached to them (i.e., orders with the same Taker Token attached to them are analyzed as a group and, accordingly, will be mapped to the same Taker Category). A Direct Subscriber can utilize multiple Taker Tokens. Specifically, through the use of Taker Tokens, a Direct Subscriber can further segment its orders associated with a particular MPID or GSID in various manners such as to segment business units, particular underlying customers, or child orders associated with particular trading strategies. 
For example, a broker-dealer Direct Subscriber could route orders to Sigma X2 under one MPID and have three Taker Tokens associated with that one MPID--one for its market making desk, one for its wealth management desk, and one for the remainder of its order flow.
GSCO, as a Direct Subscriber, can elect to segment its order flow by attaching a Taker Token to each order it routes to Sigma X2. Like other Direct Subscribers, GSCO can apply these Taker Tokens in various manners including to segment particular Indirect Subscribers or child orders associated with GSCO's or Indirect Subscribers' use of particular GSCO algorithmic or SOR routing strategies. With respect to child orders associated with GSCO algorithmic or SOR routing strategies, each liquidity-taking order will be associated with a Taker Token that is mapped to a Taker Category in accordance with the results of the Mark-out Analysis. 
TAKER TOKENS AND "INDIVIDUAL" VS. "AGGREGATE" EXECUTION THRESHOLDS:
As described below, where a Direct Subscriber utilizes Taker Tokens to further segment its order flow, GSCO will conduct a Mark-out Analysis of the Direct Subscriber's Taker Token liquidity-taking executions (where it has sufficient data), on an individual Taker Token basis, or, on an aggregated basis, to determine the appropriate Taker Category for the Taker Token orders. 
Any new Taker Token used by a Direct Subscriber after GSCO performs its most recent Mark-out Analysis will be defaulted to a Taker Category, as described below, until the individual Taker Token is associated with a sufficient number of executions for GSCO to perform a Mark-out Analysis for the individual Taker Token. 
A Direct Subscriber must have sufficient transaction history associated with an individual Taker Token for GSCO to perform a Mark-out Analysis of orders associated with that Taker Token. Specifically, to perform the Mark-out Analysis on a particular Taker Token, the number of executions effected by a Subscriber under that Taker Token must equal or exceed an amount determined by GSCO. When the number of executions for the specific Taker Token reach the threshold established by GSCO ("Individual Execution Threshold"), GSCO will conduct a Mark-out Analysis of that Taker Token and will assign orders associated with that Taker Token to the corresponding Taker Category (i.e., "a," "b," or "c"). GSCO will perform the Mark-out Analysis on the individual Taker Token as soon as the Individual Execution Threshold is satisfied - - i.e., there is no minimum or maximum number of days over which the Individual Execution Threshold must be satisfied.
If an individual Taker Token does not reach the Individual Execution Threshold and, therefore, GSCO cannot conduct a Mark-out Analysis of that Taker Token ("Insufficient Taker Token"), GSCO will calculate the Direct Subscriber's aggregate number of executions. If the aggregate executions, inclusive of all Taker Tokens associated with the corresponding MPID or GSID reach the threshold number of executions established by GSCO ("Aggregate Execution Threshold"), GSCO will perform the Mark-out Analysis for the aggregate executions and will default the Insufficient Taker Token orders to the appropriate Taker Category based on the aggregate analysis. GSCO will perform the Mark-out Analysis in this circumstance as long as the Aggregate Execution Threshold is satisfied -- there is no minimum or maximum number of days over which the Aggregate Execution Threshold must be satisfied.
Note, if and when the executions associated with an Insufficient Taker Token reach or exceed the Individual Execution Threshold, GSCO will then, at that time, analyze and map the individual Taker Token to a Taker Category. Finally, if the Direct Subscriber's trading activity for the individual Taker Token does not satisfy the Individual Execution Threshold and the Direct Subscriber does not satisfy the Aggregate Execution Threshold either, GSCO will assign Taker Category "b" to the Insufficient Taker Token orders as a default. 
The Taker Token execution thresholds necessary for a Mark-out Analysis to be performed, whether on an individual Taker Token or on an aggregated basis, are uniformly applicable to all Direct Subscribers. Both the Individual Execution Threshold and the Aggregate Execution Threshold are subject to GSCO's discretion and may change from time-to-time. 
The following are examples of the mark-out assessments discussed above. For the purposes of the examples, assume an Individual Execution Threshold of 200 executions and an Aggregate Execution Threshold of 600 executions. 
Example A:
- Direct Subscriber XYZ utilizes one Taker Token associated with 550 executions. The Direct Subscriber's executions exceed the Individual Execution Threshold.
- Therefore, GSCO will conduct a Mark-out Analysis and map the Taker Token orders to the appropriate Taker Category.
Example B:
- Direct Subscriber XYZ utilizes one Taker Token associated with 30 executions. The Direct Subscriber's executions fall below the Individual Execution Threshold (i.e., the Taker Token is an Insufficient Taker Token).
- If the Direct Subscriber does not have any additional executions that can be aggregated, GSCO will default the Taker Token orders to Taker Category "b."
Example C:
- Direct Subscriber XYZ utilizes two Taker Tokens. Taker Token 1 is associated with 550 executions, which exceed the Individual Execution Threshold. GSCO will conduct a Mark-out Analysis and map Taker Token 1 orders to the appropriate Taker Category.
 - The Direct Subscriber's Taker Token 2 is associated with 30 executions, which fall below the Individual Execution Threshold (i.e., Taker Token 2 is an Insufficient Taker Token). GSCO will aggregate Taker Token 2 executions with the Direct Subscriber's other Taker Token executions (in this example, with Taker Token 1 executions). Subscriber's total executions fall below the Aggregate Execution Threshold (550 + 30 = 580). Therefore, GSCO will default Taker Token 2 orders to Taker Category "b."
Example D:
- Direct Subscriber XYZ utilizes two Taker Tokens. Taker Token 1 is associated with 550 executions, which exceed the Individual Execution Threshold. GSCO will conduct a Mark-out Analysis and map Taker Token 1 to the appropriate Taker Category.
- The Direct Subscriber's Taker Token 2 is associated with 130 executions, which fall below the Individual Execution Threshold (i.e., Taker Token 2 is an Insufficient Taker Token). GSCO will aggregate Taker Token 2 executions with the Direct Subscriber's other Taker Token executions (in this example, with Taker Token 1 executions). Subscriber's total executions exceed the Aggregate Execution Threshold (550 + 130 = 680). GSCO will conduct a Mark-out Analysis and map Taker Token 2 orders to the appropriate Taker Category based upon the aggregate analysis.
        Y
        
          Whether orally or in a written performance summary, upon request, GSCO will inform a Participant of its designated segmentation classification(s) (i.e., Taker Category(ies)) for its order flow to Sigma X2. A Participant cannot contest its designated Taker Category. Written performance summaries provided to requesting Participants include, among other things, the Participant's (i) total executed shares in Sigma X2; (ii) percentage of liquidity-taking vs. liquidity-providing executions; (iii) order type breakdown information; (iv) execution distribution by Contra Category/Taker Category for orders providing liquidity; and (v) execution distribution by Taker Category for orders taking liquidity. GSCO does not provide counterparty information by Taker Category on an order-by-order basis. 
Separately, certain GSCO employees, including Segmentation Governance Working Group employees, whose responsibilities may include execution quality and mark-out profile analysis for Sigma X2, have access to segmentation categorization (i.e., Taker Category assignments) for all Participants.
          Y
        
      
      Y
      
        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.).
        Y
      
      N
      
        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.).
        Y
      
      N
      N
      Y
      N
      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 $.03 per share. In determining the commission rate, GSCO considers the Direct Subscriber's overall relationship with GSCO including the range of GSCO products and services the Direct Subscriber utilizes. Note, some GSCO clients are both Direct Subscribers and Indirect Subscribers (i.e., they access Sigma X2 both directly and indirectly) and may pay commissions specific to each type of access to Sigma X2. 
There are no subscription or connectivity fees for accessing Sigma X2.
      Indirect Subscribers pay commissions based on the range of services they elect to receive (e.g., bundled services, which include, among other things, execution, research, market color, corporate access or execution-only services). Commission rates ($ per shares executed) for all executions in Sigma X2 are negotiated on a client-by-client basis, and the commission rate is consistent across security and order types. The commission rate applied to clients receiving bundled services is: (i) not specific to executions in Sigma X2, (ii) based on the individual client's overall relationship with GSCO, and (iii) is subject to change at any time.
      There are no rebates or discounts offered to Participants.
      GSCO has implemented systematic controls to suspend or stop trading in a specific NMS Stock or the entire ATS for regulatory compliance reasons or due to technology-related circumstances. In the initial, daily setup of the system, for example, a Restricted Trading List ("RTL") is submitted which does not allow specific NMS Stocks to be traded. Intraday changes to the RTL are propagated into Sigma X2. Additionally, Sigma X2 has system controls designed to ensure that the ATS does not trigger the volume threshold for Regulation SCI or the Regulation ATS fair access volume threshold--Sigma X2 will halt and/or shut down trading in the relevant symbol(s) prior to triggering the threshold(s).
Sigma X2 will suspend matching functionality in specific symbols under the following conditions: a symbol is subject to a regulatory trading halt or trading pause; a symbol is currently quoted in a LULD straddle state; or when Sigma X2's market data is believed to be delayed or incorrect.
In addition, market data performance (including latency, staleness, and connectivity issues) is monitored in real-time. This process includes monitoring of the time interval between the time stamps on market data transmitted from the respective feeds and the time of receipt by the Sigma X2 matching engine. If this process identifies a latency greater than a defined threshold, trading in the relevant security will be suspended. 
If any issues are identified, such issues are escalated and addressed by GSCO in real-time, and actions taken could be to halt or pause the system. During a pause, open orders remain on the book and Participants may amend or cancel such orders, but Sigma X2 will not act on, i.e., match or execute, the orders. Similarly, during a pause, Sigma X2 will accept new orders, but will not act on, i.e., match or execute, the orders. During a halt, open orders will be cancelled and new orders will be rejected.
      Y
      The primary trade reporting facility used by Sigma X2 is the Nasdaq TRF. Trades are submitted using the ACT Specifications. The back-up trade reporting facility is the NYSE TRF. If the primary TRF is not available, Sigma X2 would submit trades to the back-up TRF using the NYSE TRF Specifications. Trades are reported using Sigma X2 as an intermediary. When a trade occurs between a Buyer and a Seller on Sigma X2, a Buyer vs ATS trade and a Seller vs ATS trade will be reported for media and non-media purposes. The only exception is when a Principal GSCO order trades on Sigma X2. One half of the trade will not be reported to the TRF because GSCO is the owner of Sigma X2. Therefore, Principal GSCO vs ATS will not be reported.
      Y
      GSCO is a self-clearing broker-dealer and a member of the National Securities Clearing Corporation ("NSCC") and the Depository Trust Company ("DTC"). Accordingly, GSCO submits its side of all trades for clearing at NSCC and settlement at DTC. 
Sigma X2 executions are cleared and settled in the same manner as any other over-the-counter transaction executed by GSCO. Sigma X2 does not have any unique procedures or material arrangements to facilitate the clearance and settlement of transactions. GSCO becomes a counterparty to all Sigma X2 transactions by sending executions occurring within Sigma X2 to GSCO's order management and trade processing systems, inserting GSCO's broker code for Sigma X2 (SGMT) into FIX Tag 30, and submitting to NSCC. 
For broker-dealer Subscribers, GSCO submits its side of the trades to NSCC on a trade-for-trade basis. For non-broker-dealer Subscribers, GSCO submits trades in aggregate pursuant to customer instructions using the DTC ID process.
Broker-dealer Subscribers may clear their transactions through a Qualified Service Representative ("QSR") agreement. 
For non-broker-dealer Subscribers, GSCO utilizes the DTC ID process for delivery versus payment settlement as instructed.
      Y
      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.
      Y
      N
      N
      
        true
        true
      
    
  

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