What is Imperative Execution?

Imperative Execution is a financial technology company that is the parent company of IntelligentCross.

What is IntelligentCross?

IntelligentCross is an SEC-registered US equities Alternative Trading System (“ATS”). IntelligentCross uses AI to optimize price discovery and matches orders near-continuously, within microseconds of arrival in ASPEN, and milliseconds in MIDPOINT, to achieve maximum price stability after trades. The IntelligentCross matching process enables better displayed prices and tighter spreads, making the market more efficient.

Who can be a member of IntelligentCross?

Any registered US broker-dealer can be a member of IntelligentCross, and IntelligentCross only permits registered broker-dealers to be subscribers. All firms also must be in good standing of an SRO to be eligible to become a subscriber. Subscribers also must satisfy certain other eligibility requirements.

What are the IntelligentCross matching models?

IntelligentCross operates two different matching models: (1) a Midpoint book that only accepts non-displayed midpoint orders and (2) ASPEN, a full limit order book with optional displayed capability (i.e., orders sent to the ASPEN book may be marked by subscribers as either displayed or non-displayed).

Do the IntelligentCross matching models - Midpoint and ASPEN - interact with one another?

While the two matching models operate under the same "Market Participant Identifier" (or "MPID") – INCR – the two books are distinct and do not interact with one another.

Within ASPEN, are there different books, and what are they?

The ASPEN book has three distinct books distinguished by different fee structures – ASPEN Fee/Fee, ASPEN Maker/Taker and ASPEN Taker/Maker. All three books act independent of each other, i.e., orders resting in one book do not rest on or interact with orders resting in another book.  

Order Types

What order types are accepted in the Midpoint book?

The Midpoint book only accepts midpoint peg orders, which are not accepted in any of the ASPEN books.

What order types are accepted in the ASPEN books?

ASPEN accepts market orders, limit orders, primary peg orders (with or without a limit price), and market peg orders (with or without a limit price). Any orders entered into IntelligentCross through an order type other than a midpoint peg order will default to the ASPEN Fee/Fee book. A subscriber who wishes to trade in the ASPEN Maker/Taker or Taker/Maker books must affirmatively identify those books when entering their order. 

What order types are eligible to be displayed in ASPEN?

Only limit orders and primary peg orders (with or without a limit price) are eligible to be displayed.

How are eligible orders on ASPEN displayed?

Displayed orders from all three ASPEN books are available in IntelligentCross’ free market data feed - IQX. Each of the ASPEN books have individualized data feeds; as such, subscribers to the IQX feed can choose to consume data from whichever books they choose through separate multicast addresses.

Matching Process

How does the IntelligentCross matching schedule operate?

IntelligentCross uses a matching mechanism which is near-continuous and that matches orders at scheduled times (“match events”). Matching schedules are calculated using an overnight optimization process that uses historical performance measurements from prior days’ matches.

Does each security have an individualized matching schedule?

Each security has an individualized matching schedule, computed daily to maximize price stability after trades.

What are the minimum/maximum match schedule time bands for each security?

Match schedules are defined by “minimum/maximum time bands” for each security. For example, for ASPEN these bands can have a minimum time of 150 microseconds and a maximum time of 900 microseconds (i.e., the maximum time for scheduling a match event is capped at 900 microseconds). The actual match event time is randomized within the match event band throughout the course of the trading day.

When are match events scheduled?

Match events are scheduled continuously while the book is in a “matchable state” (i.e., there is an order on each side eligible to match). An incoming order that will make the book potentially matchable will trigger a scheduling of a match event if one has not already been scheduled.

What orders can participate in a match event?

Any order for a security that arrives prior to a match event for that security (and that has not been cancelled, has become unmarketable, or has been repriced prior to the match event) will be eligible to participate in the next match event. For Midpoint, only orders that have rested on the order book for a minimum period of time are eligible to match; in no event will the minimum resting period exceed 200 milliseconds. There are no minimum resting periods for orders on ASPEN.

Is the IntelligentCross matching process symmetric?

The matching process is completely symmetric, i.e., the match times within IntelligentCross are not chosen to favor a particular side of the trade. No subscribers are given any type of priority through the matching process, and the matching process is blind to the identity of the subscriber. Both sides of the trade are on equal footing for the next scheduled match, while maintaining full control of their orders (i.e., both sides can cancel or update their orders at any time prior to the match).

What is the matching priority regime for IntelligentCross?

The first step in determining match priority occurs prior to the IntelligentCross book entering into a matchable state. Prior to entering into a matchable state, IntelligentCross gathers orders in its system and such orders’ match priority will be based on price, display type (i.e., with respect to ASPEN, at each price level, displayed orders will have priority over non-displayed orders), and the time at which such orders are received relative to other orders.

The second step in determining match priority occurs after the IntelligentCross book enters into a matchable state. After the IntelligentCross book enters into a matchable state, the match priority for any orders that arrive between that time and before the match event will be based on the time of their receipt by the ATS, i.e., sequentially in order of arrival.  

In match events, when applicable, price improvement will always be provided to the taker (i.e., the remover).

Can orders entered into IntelligentCross be canceled or amended?

Open orders may be amended to the extent the amendment is received before a match event involving that order occurs. Order amendments are processed in the order in which they are received by the ATS. An open order also may be canceled to the extent the cancellation order is received before a match event involving that order occurs.

How does amending an order affect its match priority?

The match priority of an order will be preserved when amending the quantity of an order to a value less than the existing quantity of the order. The match priority of an order will be lost when amending the quantity of an order to a value greater than the existing quantity or when amending any other value in addition to the quantity of the order.

How does IntelligentCross determine the NBBO to price executions?

IntelligentCross uses a combination of SIP and proprietary direct feeds from national securities exchanges to determine the NBBO to price executions.

Does IntelligentCross execute outside the NBBO?

IntelligentCross executes all orders within the framework of the NBBO protected quote range.


Where are IntelligentCross’ primary matching engines located?

IntelligentCross’ primary matching engines are located in the Equinix NY4 data center in Secaucus, New Jersey.

How do I connect to IntelligentCross?

Subscribers wanting to connect directly to IntelligentCross' User Acceptance Testing ("UAT") and Production servers will need to have NY4 cross-connects with the servers of IntelligentCross' co-location and network provider, Pico Quantitative Trading (“Pico”) or connect through other network service providers that have a presence in NY4.  

How do IntelligentCross subscribers access/enter orders into IntelligentCross?

IntelligentCross subscribers access the ATS via a Financial Information Exchange ("FIX") connection. Such access is available to subscribers through an internet protocol address via communications that are compliant with the FIX API provided by IntelligentCross; the ATS currently supports FIX 4.2. IntelligentCross does not accept orders via any other forms of communication (e.g., telephone, email, instant message).

How do I route to the different ASPEN books?

Non-midpoint peg orders are routed to the ASPEN Fee/Fee book by default. A subscriber who wishes to trade in the ASPEN Maker/Taker or Taker/Maker books must affirmatively identify those books when entering their order via FIX tag ExDestination[100]. See the IntelligentCross FIX specifications for more details.

Does IntelligentCross provide co-location?

IntelligentCross does not offer the ability to co-locate directly with the IntelligentCross matching engine.

Does IntelligentCross route any orders outside of its system?

IntelligentCross does not route any order flow to a destination outside IntelligentCross.

What is the IntelligentCross “Market Participant Identifier” (or “MPID”) and MIC codes?

All IntelligentCross books operate under the same MPID – INCR. IntelligentCross utilizes four MICs to represent the different books:

  • Intelligent Midpoint - INCR
  • ASPEN Fee/Fee - ASPN
  • ASPEN Maker/Taker - ASMT
  • ASPEN Taker/Maker - ASPI
Does IntelligentCross support odd lots or mixed lots?

Mixed lot orders and odd lot orders are handled the same as round lot orders and are treated the same for priority purposes.

Does IntelligentCross accept orders with “Time-in-Force” Instructions (e.g., Day, IOC)?

IntelligentCross accepts orders with time-in-force instructions of Day or IOC. Day will be the default time-in-force instruction. Day orders will remain on IntelligentCross’ books from the time of receipt until the end of regular trading hours. IOC orders in ASPEN will remain in force until the completion of the next match event, and if unexecuted, will be canceled. IOC in combination with the midpoint peg instruction is processed as a midpoint peg order with time-in-force instruction. These IOCs may interact with the resting book for multiple match cycles and are cancelable anytime by the subscriber. IOC orders may be submitted with or without a limit price and will be non-displayed.

Can Immediate Or Cancel (IOC) orders be canceled?

Yes. IOC orders on IntelligentCross are regular orders with a specific Time In Force (TIF).  In ASPEN the TIF is such that the order can participate in exactly one match event.  In Midpoint the TIF is such that the order can participate in at least one match event.

Does IntelligentCross support MinQty and MaxQty?

Orders in IntelligentCross may be submitted with a minimum quantity ("MinQty") for execution. Each fill will be of a quantity greater than or equal to the MinQty specified on the order. Subscribers may optionally set MinQty to permit the aggregation of contra-side interest to meet the minimum quantity requirements. Subscribers also may submit orders with a MaxQty for execution; MaxQty is for midpoint peg orders only.

Does IntelligentCross have a self-cross prevention, or “anti-internalization,” feature?

IntelligentCross provides an “anti-internalization” setting to its subscribers. This setting can be enabled upon client request and will prevent the self-matching of two orders from the same subscriber on IntelligentCross’ order books. This setting will be enforced by the Client ID (Broker MPID) setting.

How are orders handled in a locked or crossed market?

IntelligentCross will not match if the NBBO as determined by the SIP and/or SRO proprietary data feeds for a stock is crossed (where the NBB price exceeds the NBO price) or locked (where the NBB price equals the NBO price).  


How is IntelligentCross’ fee schedule structured?

The IntelligentCross fee schedule is transparent, formulaic and applies to all subscribers evenly.  

Is there a different fee schedule for Midpoint and ASPEN?

The ASPEN Fee/Fee and Midpoint order books will follow the same fee schedule. Shares traded will aggregate for volume pricing tiers and open orders will be combined across both order books for the marketable open order pricing incentive. The ASPEN Maker/Taker and Taker/Maker orders books are charged independently.

What are the rates charged in IntelligentCross?

The base rate charged in ASPEN Fee/Fee and Midpoint is $0.0008 per share for each side of a transaction. Subscribers can pay lower fees through (1) a “Total Composite Volume Incentive” based on the total market volume in all NMS Stocks reported to the consolidated tape and (2) an “Active Order Incentive” which is based on a per symbol basis and the percent that is marketable. The fee schedule for subscribers is published in the IntelligentCross Form ATS-N.

Does IntelligentCross charge for market data?

IntelligentCross itself does not charge for market data through its market data feed, IQX.


What securities are eligible to trade in IntelligentCross?

IntelligentCross trades only NMS securities.

Who is IntelligentCross’ clearing agent?

IntelligentCross has a clearing agreement with Instinet, LLC to provide for clearance and settlement of transactions executed on the ATS.

Does IntelligentCross operate as an open, fair access market?

IntelligentCross operates as an open, fair access market, i.e., it does not tier or discriminate among subscribers.  

Where does IntelligentCross print its trades?

Once an execution occurs, IntelligentCross will send electronic messages containing execution reports to the originators of the order as well as the Nasdaq Trade Reporting Facility (“TRF”). The NYSE Trade Reporting Facility is used as a back-up. 

What are IntelligentCross’ hours of operation?

IntelligentCross is open for the transaction of business on all business days during which the New York Stock Exchange ("NYSE") is open for business and observes the holiday schedule of the NYSE. IntelligentCross will be operational during regular US market hours, generally 9:30am to 4:00pm Eastern Time. It will execute trades only during regular trading hours but will begin to accept orders beginning thirty minutes prior to the open of trading beginning at 9:00am ("Pre-Market Order Acceptance Period"). Earlier subscriber connectivity is available upon request. 

Where are IntelligentCross' Form ATS-N filings posted?

IntelligentCross has an effective Form ATS-N under Rule 304 of Regulation ATS, which requires ATSs that trade NMS stocks to publicly file with the SEC an initial Form ATS-N (and amendments thereto) containing disclosures about the manner of operations of the ATS and the ATS-related activities of the broker-dealer operator and its affiliates, among other things. The most current IntelligentCross ATS-N filing can be found on the SEC’s website.