The Smart Market for Institutional Investors

OneChronos is a U.S. equities ATS designed bottom-up to fundamentally address the growing gap between how trading venues match orders and how traders need to execute.

Combinatorial optimization

A fair, intelligent, and purpose built ATS.

OneChronos is a Smart Market – the technical term for markets that match counterparties using mathematical optimization. Smart Markets have a proven ability to outperform traditional markets on metrics such as price improvement, liquidity, trade size, and fairness.

Smart Markets enable Expressive Bidding – a tool that gives market participants the fidelity of voice trading and the advantages of an electronic venue. All market participants can benefit from the unique liquidity that Expressive Bidding generates.

Proven results.

Smart Markets have been increasingly adopted in sectors such as manufacturing, logistics, telecom, and advertising given their demonstrated ability to:

  • Identify mutually beneficial outcomes for buyers and sellers
  • Address agency issues and reduce incentives for gaming
  • Directly handle substitutes and complements, unlocking transactions that wouldn’t be possible otherwise
  • Mitigate information leakage and asymmetry

Operating a computationally intensive Smart Market at the speed, scale, and complexity of capital markets wasn’t possible until now. OneChronos is pioneering the artificial intelligence and technology that makes it possible.

Logistics and transportation

Standard workflow, game changing paradigm

  • Point-in-time auctions every ~100ms throughout the trading day

  • Match priority based on aggregate notional price improvement contributed

  • All matches are within or at the NBBO at a single clearing price per symbol

  • Customizable constraints to isolate specific execution objectives & avoid unintended risks including those spanning multiple orders or securities

  • Fully non-displayed. No data feeds. Firm orders only. Multilateral fills

  • Seamless fit in today’s algorithm & routing workflows. Standard order types supported, in addition to those unique to OneChronos. All orders via FIX 4.2

  • Single auction process spanning all orders & eligible NMS securities

  • Differentiated liquidity, customized fills, unique trading opportunities


Auction Mechanics, Match Procedure & Order Types

OneChronos matches orders using point-in-time auctions. All auctions are initiated by the venue at deliberately randomized start times; auctions are not user-initiated. OneChronos aims to conduct an average of 10 auctions per second throughout the trading day. Each auction considers all symbols and eligible orders.

OneChronos auctions use mathematical optimization to seek optimal matches across all orders, instead of matching orders one-by-one. The optimization's objective is to maximize Aggregate Price Improvement (see dedicated question for definition) across all orders and symbols. Each auction looks for the configuration of "winning" orders and per-security clearing prices that will result in the most price improvement dollars cleared, taking into account all orders' constraints.

The ATS accepts Limit Orders, Midpoint Peg Orders, and Expressive Orders: an order type specific to OneChronos that allows participants to introduce their business specific execution instructions to our optimizer, spanning one or more orders in one or more securities.

For an individual order, Price Improvement Dollars refers to the difference between the limit price on the order and the auction clearing price (i.e. the price at which the order is filled) for the given security, times the quantity filled. For an Expressive Order to buy and/or sell multiple securities simultaneously, price improvement refers to differences in limit prices and clearing prices for each respective security, summed across all securities times the quantities filled.

Aggregate Price Improvement represents the sum of Price Improvement Dollars across all eligible orders (across all securities) under consideration for a given auction.

A Smart Market is a periodic auction solved using a powerful operations research technique called mathematical optimization. As used in many areas of electronic trading and portfolio management, optimization allows for maximization (or minimization) of a specifically defined objective, while respecting a set of constraints. In the case of the OneChronos ATS, we're extending this robust application to the venue level where buyer's & seller's orders meet. The OneChronos optimization's primary objective is to identify, match and clear the configuration of buy and sell orders which would maximize Aggregate Price Improvement achievable by those orders in a given auction.

Smart Markets have been deployed commercially dating back to the 1990s by various large cap industries and government procurement auctions of physical commodities to achieve the benefits we describe above, and continue to grow in adoption given their proven success towards those goals.

Orders can match at any price within the spread, at or between the NBB and NBO. All in orders in each security match at a single price in each auction. Because of how prices are determined via optimization, orders can be filled at prices better than their limit price.

Yes. OneChronos supports time-in-force (TIF) instructions such as: Day, Immediate or Cancel (IOC), Fill or Kill, Good 'Til Date (with an expire time not to exceed the end of the current trading session). IOC orders effectively participate in a single auction occurrence. For a complete list of TIF instructions, see our FIX specification.

Please see Part 3 Item 11 our ATS-N filing under the heading "PRIORITY AND PRICE FORMATION EXAMPLE".

The primary goal of the OneChronos matching process is to find the configuration of orders that yield the most Aggregate Price Improvement as compared to their respective limit prices. As each auction results in a single clearing price for each security, eligible orders may receive fills at a price better than their limit price.

OneChronos is a Smart Market leveraging the power of optimization search techniques to match and clear buyer's and seller's orders efficiently and in a way that maximizes Aggregate Price Improvement achievable by those orders.

The optimization problem these auctions pose is "computationally intractable", because the flexible "expressive bidding" that the ATS allows for creates an astronomical number of possible matches to search through. Traditionally, these optimizations are solved using a technique called integer programming and would run for hours or days at a time.

To operate at the speed of equities markets and to scale effectively, OneChronos uses AI in an effort to guide our optimizer toward areas of that search space containing higher quality matches, and ultimately better satisfy the objective of maximizing Aggregate Price Improvement.

In October 2020, the Nobel Prize in Economic Science was awarded to two Stanford academics, Robert Wilson and Paul Migrom, for their improvements to auction theory and inventions of new auction formats. Their research in game theory and auction theory and their advancements in practical auction formats underpin the Smart Market.

We at OneChronos are elated at both their deserving receipt of the prize and the validation of their inventions' contributions to marketplaces of all kinds.

You can learn more about the 2020 Nobel Prize in Economics here, and greater detail on Wilson and Milgrom's research and auction formats here.

Trading at OneChronos

Yes, orders with residual ("leaves") quantity can persist for the duration of the trading day for successive auctions. Time in force instructions and default values are described, per our FIX specification, found here.

While only broker-dealers may be direct subscribers, the OneChronos participant base is anticipated to consist primarily of institutional customers of broker-dealers, and broker-dealers themselves including franchise risk management teams, equity and options market makers and specialists. As it pertains to their agency offering, broker-dealers may offer OneChronos as a complement to their single stock or multi-asset algorithm and smart-routing products, and as a DMA destination. Please speak with your broker for further info on how OneChronos is incorporated in their execution services offerings.

The ATS system chooses auction cutoff times at random within a pre-set range. Any orders that have a timestamp prior to the auction cutoff are eligible. Orders timestamped after the auction cutoff time are eligible to participate in the subsequent auction.

Each auction consists of buffer time for inbound market data and order data, followed by the optimization sequence, then outbound execution and order data. Continuous order management is available throughout this full life-cycle. However, any order not canceled prior to the initiation of the optimization sequence will take effect in the subsequent auction. The optimization runs for approximately 30ms.

All OneChronos subscribers must be SEC registered Broker Dealers and members of at least one SRO. All orders received by the ATS are received from Subscribers (including those originated from their customers).

Institutions that are not SEC broker dealers can access OneChronos through their broker. Institutions can, however, directly convey "expressive" constraints to complement orders they may send to their broker for execution at OneChronos in effort to achieve a customized fill experience. See our FAQ section on Expressive Bidding for further information.

Yes. Please speak with your broker regarding their DMA offering and OneChronos as a destination. Directing DMA orders for execution at OneChronos allows for Institutions or Brokers to tailor execution constraints specific to their risk management and execution objectives. See FAQ section on Expressive Bidding for further detail.

OneChronos does not use tiering or segmentation.

All orders sent to OneChronos are firm orders.

OneChronos does not send out indications of interest or indications of contra-liquidity. Auctions happen throughout the trading day as determined by the matching engine. See section Auction Mechanics, Match Procedure & Order Types for further information.

OneChronos auctions do not have a notion of adding or removing liquidity, and do not categorize participants as liquidity providers or liquidity takers. See our FAQ section on Auction Mechanics, Match Procedure & Order Types to better understand the OneChronos auction process.

OneChronos does not accept odd-lot or mixed-lot orders. The minimum order size is 100 shares, and order quantities must be expressed in 100 share increments.

Yes, available on orders for more than 100 shares.

The order will be cancelled in the manner configured by the user through FIX port settings.

Yes. See the FIX specification for order handling details.

OneChronos supports NMS securities, including single stocks, ETFs and ADRs.

Orders with a duration of less than 100ms may experience a lower likelihood of being filled at OneChronos.

Note, however, that continuous order management is available throughout the full auction life-cycle, and without any "queue" penalty, as orders at OneChronos are not matched on the basis of time priority.

An order not timestamped prior to the auction cutoff time or canceled prior to the initiation of the optimization sequence will take effect in the subsequent auction. The optimization runs for approximately 30ms.

Orders may be tagged to participate in only one auction ("IOC"), or persist for subsequent auctions for any specified period up to the end of the day's trading session.

Trade Reporting, Visibility & Transparency

ATS executions are printed to the FINRA NYSE TRF.

OneChronos publicly (through TRF) disseminates the execution price and total volume matched for each security in each auction. Individual participants also receive execution reports with their individual fill quantity within that total.

The OneChronos Form ATS-N filed with the SEC can be found at this link.

The MPID for OneChronos is: CGXS

Data Center, Market Data & Routing

The OneChronos matching engine is located at Equinix NY5.

OneChronos does not route orders externally.

The NBBO prices used in OneChronos auctions are the SIP derived prices most recent to but not after the Auction Initialization Time. As an illustrative example of this procedure:

  1. Auction Initialization results in an auction cutoff time;
  2. Auction Network Buffering allows data to propagate from exchanges, to the SIP, and ultimately to the OneChronos ATS;
  3. After buffering the ATS computes NBBO for each tradable symbol by processing all messages from the SIP with Exchange Timestamps less than or equal to the cutoff time for the auction.

OneChronos allows Subscribers to connect directly to the ATS via cross-connect or extranet.

Note: we are starting with a single PoP, however the system is developed to support expansion to multiple PoPs across the country.

OneChronos constructs a view of NBBO from data provided by the SIP (NYSE CTA feeds & Nasdaq UTP). Each SIP message contains a timestamp provided by the reporting exchange representing when that exchange processed the given message. OneChronos market data and matching systems use these Exchange Timestamps in conjunction with the buffering period prior to each auction in an effort to construct a consistent time-aligned view of the market. The ATS does not subscribe to direct feeds from the national exchanges.

OneChronos does not provide any data feeds (for example, to its Subscribers).


Subscribers access OneChronos via a standard FIX (4.2) connection. Customers of Subscribers access OneChronos indirectly via their Broker's execution products and services, which may include: single stock or multi-asset algorithms, where portions of that order may be routed to OneChronos for execution from the Broker's router; a Broker's Direct-to-SOR offering which may route orders to OneChronos for execution; or a Broker's Direct Market Access ("DMA") offering, where a Broker's clients may direct orders to OneChronos or other destinations using their own algorithms and or routing.

No. Orders sent to OneChronos ATS for execution are transmitted using standard FIX protocol. See our FIX specification here for further information.

Standard Market Hours (US Eastern time):

  1. 8:00am: begin accepting FIX connections / sessions;
  2. 9:15am: begin accepting orders;
  3. 9:30am: begin executing orders (i.e. first call auction will take place at or after 9:30am);
  4. 4:00pm: stop executing orders (i.e. final call auction will take place at or before 4:00pm);
  5. 5:00pm: all FIX sessions disconnected.
Expressive Bidding

Expressive bidding allows users to input specific execution instructions at the matching engine level that are precisely tailored to their execution or investment strategy objectives.

For example, a pairs trader could effect instructions to buy asset ABC (subject to the price & quantity in her ABC limit order) only if she can also sell asset DEF (subject to the price & quantity in her DEF limit order) at a defined spread or greater, in the same auction.

A single stock trader, as another example, may have indifference between specific prices and order quantities, and therefore effect instructions to BUY 100 shares asset XYZ at mid OR BUY 300 shares Asset XYZ at 60% of the spread.

Example use-cases to complement benchmark, liquidity seeking and multi-asset algorithms, as well as parameter specific strategies like dollar-neutrality or correlation will be available soon on a dedicated Expressive Bidding page.

Expressive Bidding is communicated to the OneChronos matching engine using a general purpose programming language (Reason ML or OCaml). Users (Institutional clients of Brokers or Brokers themselves) can construct and tailor execution instructions relevant to them or their clients. OneChronos will soon make expressive bidding templates and instructions available on this site.

Expressive bidding is not required to trade at OneChronos. It is an optional and powerful feature available to Subscribers and their customers. It allows users to integrate their specific execution or investment constraints directly into our matching engine.

There are myriad creative implementations Brokers may use to complement and strengthen their single stock and multi-asset execution offerings and their related customizations. Please speak with your Broker to learn how OneChronos is incorporated in their execution services offerings.

No. The economics of your Limit Order or Limit Orders serve as an upper or lower bound (as relevant) for any order, including those using expressive bidding to create conditionality across multiple limit orders.

Expressive bidding is not required to achieve the benefits or differentiation that OneChronos represents. The OneChronos matching engine and mechanism is designed to find price improvement opportunities, mitigate information leakage, and create unique interaction opportunities for any order type.

Expressive Bidding allows further execution customization with powerful application to users who are trading substitutable or complementary assets or orders or portions of larger orders.

Yes, there is potential benefit for a variety of reasons such as but not limited to potential further price improvement achievable, larger fill size, a customized fill experience, reduced impact, unique liquidity interaction points, and unlocking mutually beneficial trades that would likely otherwise not occur, as in this example:

Trader A wants to de-risk her healthcare sector exposure. Traditionally, she enters individual parent SELL orders in one or more healthcare stocks through a trading algorithm or to market center. Alternatively, Trader A sends limit orders to OneChronos across 10 healthcare names, with expressive bidding instructions to trade any combination of those names up to $20mm (subject to the limit prices and quantities in her limit orders). Trader B sends a standard BUY limit order to OneChronos for a specific healthcare stock. Both Trader A and Trader B have a higher likelihood of a fill given Trader A's expressed substitutability across related assets.

Yes, OneChronos provides recorded and live support for bid construction. A great place to begin is with the templates we are creating for users that will soon be available to consider as a starting point. Please stay tuned for more info on this and related tutorial content.


OneChronos ® Markets LLC is a wholly-owned broker-dealer subsidiary of OCX Group Inc. We’re an independent, venture backed company using cutting edge technological paradigms to enable the next generation of electronic trading. Contact us at

Member FINRA/SIPC: Check the background of OneChronos Markets LLC on FINRA’s BrokerCheck.

A copy of OneChronos Markets LLC’s ATS-N is available here.