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> How do you deal with best execution obligations for the "legs" of your trades?

Excellent question. Each leg of the trade comes in as an individual limit order with a price/quantity bound on it. This makes it easy for brokers to satisfy their 15c3-5 requirements since Expressive Bidding can only further restrict these limits. We clear the auction with a constraint that bounds the clearing region to the NBBO, snapshotted at the start of each auction. Rule 611 affords up to 1s if the market moves while we're optimizing, and away market movement has no average effect on execution quality, as auction start times are random and orders are firm.

In the future, we'll do ISO sweeps, but their usefulness is somewhat limited since getting fills from a sweep can change what's feasible for the auction. As we gather data on how folks use us, we'll hone on other regulatory options.

> What market data do you publish about your order book?

We report fills to the TRF to satisfy regulatory reporting requirements, but we're entirely dark otherwise.

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Thanks for the info!