IntelligentCross ATS Announces Plans to Offer IntelligentCross ASPEN^3 to Significantly Reduce the Cost of Liquidity for Investors at Every Stage of their Trade

Imperative Execution – the financial technology company that created the first AI-powered Alternative Trading System (ATS) built to minimize the largest trading costs for investors, market impact and adverse selection – today announced plans to expand its IntelligentCross ASPEN (Adverse Selection Protection Engine) Bid/Offer trading book and make it available later this month in two additional fee schedules: Maker/Taker, and Taker/Maker. IntelligentCross launched ASPEN with a Fee/Fee model in May 2019. The three books will be known as ASPEN3 (cubed) and enable IntelligentCross to apply its AI-based adverse selection-reducing technology to improve liquidity for investors at every stage of their trade.

Roman Ginis, Founder and CEO of Imperative Execution, said: “Liquidity, the core feature of an efficient market, is about managing risk while trading. Adverse selection is the risk of trading against a more informed counterparty. Our early results with IntelligentCross ASPEN matching technology show a drop in adverse selection by as much as 2.2 basis points compared to Maker/Taker exchange average. This is a huge improvement that could significantly grow liquidity in the equities market and save investors tens of billions of dollars per year. Lowering the cost of providing liquidity would lead to more liquid and stable markets.   New capital that was previously too expensive to deploy would enter public markets and create greater efficiencies. The market is only a zero-sum game when nothing changes. Structural innovation changes the game.”

The US equities market has three cost structures that have a significant effect on the price discovery process and liquidity at each venue. Venues offer Maker/Taker, Taker/Maker and Fee/Fee price schedules, which affect where investors post and take liquidity.  The differences in fees effectively determine the urgency of the orders venues attract and the adverse selection experienced by their participants when posting liquidity.  As a result, the Maker/Taker venues have about 50% of the market volume, Taker/Maker 10% and Fee/Fee about 20% (including ATSs and Fee/Fee exchanges).

Differences in venue pricing create a market for liquidity where investors can place bids and offers at more granular prices than possible with limits in ticks. This is crucial for price discovery and liquidity in securities where the tick size is too expensive relative to the price. For example, shares of SIRI, which trades at about $6/share, can be bought at $6.0019, $6.0009, $6.0002, $5.9980 at BYX (Taker/Maker), IEX (Fee/Fee), NYSE American (Fee/Fee), NASDAQ (Maker/Taker) respectively, when venue fees are taken into account. In the US equities market, securities above $1 have a tick size of $0.01, which for SIRI is 16.6 basis points. Without the price levels enabled by these fee structures, SIRI would be far less liquid than it is today.

“IntelligentCross can improve liquidity at every price level for many securities by offering its ASPEN matching technology in all three fee structures,” said Patrick Dote, Director of Market Structure at IntelligentCross. “The attached chart shows ASPEN outperforming Maker/Taker by a factor of 4x (0.72 basis points vs 2.99 basis points), Fee/Fee by 2.4x (0.72 vs 1.74 basis points) and Taker/Maker by 30% (0.72 vs 1.01 basis points). This is not an accident – our technology actively minimizes adverse selection at match time to reduce the cost of providing liquidity, crucial to all investors. Firms that post liquidity with market making strategies and with institutional algorithms, such as VWAP and POV, would benefit most,” he added.

Nataliya Bershova, Ph.D., Head of Execution Research at Bernstein, said: “Bernstein has been promoting a data-driven approach to execution research; using structural experiments to evaluate different market microstructure designs. We welcome the IntelligentCross ASPEN3 fee-structure initiative, as it will allow Bernstein to evaluate the effect of fee structure on execution quality in controlled experiments and improve our understanding of liquidity fragmentation. Our recent analysis has suggested that the implementation of AI solutions for order matching results in improved execution outcomes.”

About Imperative Execution    

Imperative Execution is a financial technology company that builds trading venues that solve for efficient market objectives. It is a pioneer in using AI for matching to achieve optimal market design. Founded by former traders and trading technology experts, Imperative Execution is the parent company behind IntelligentCross, the industry’s first smart venue to use AI to optimize order matching to help investors significantly reduce costs while maximizing liquidity. To learn more, visit

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