Form ATS-N: reconstruct matching eligibility and priority
The first order to arrive is not necessarily the first order eligible to execute. An ATS can disclose subscriber categories, conditional-interest procedures, size requirements and priority rules that must be read together. Reconstructing the sequence requires an eligibility filter before a ranking.
This guide concerns U.S. NMS-stock ATS disclosures. It uses the SEC’s blank Form ATS-N, read on October 26, 2026, as a map of required questions. No particular venue’s completed filing or actual order log is being analyzed. The fictional matching rules below are expressly invented for teaching; the form does not prescribe them for every ATS.
Separate the form, a filing and an operating version
The Form ATS-N cover and Part I distinguish initial filings, different amendment types, cessation and withdrawal, and identify the broker-dealer operator and ATS. The cover also states that the SEC has not passed on the merits or accuracy of the filing’s disclosures.
A blank form establishes which fields to investigate. It does not establish that a named venue offers a particular order type, accepts a customer category or uses a specific priority scheme. A form’s administrative date is not an operating change’s effective date.
For an actual venue, obtain the completed filing and relevant amendments, identify the operator and ATS, and record filing, effective and retrieval dates separately. Preserve the preceding version when analyzing an earlier trading period. An amendment submitted later cannot simply be treated as rules already operative during an old execution.
Create a version register before building a simulator. If the operative date or a referenced exhibit is unavailable, mark that dependency unresolved. A plausible reconstruction is still conditional until the necessary rules are supported.
Build the eligibility tree from connected fields
Part III Items 1–3, 7–9 and 11–13 ask about subscribers, access, order attributes, sizes, conditional interest, interaction rules, liquidity-provider arrangements and segmentation. Reading only Item 11’s priority narrative can miss restrictions documented elsewhere.
Use this sequence: identify the participant and allowed service; validate security, session and order attributes; decide whether the interest is firm and executable; apply size and interaction restrictions; then rank the eligible set and allocate the available quantity.
“Accepted,” “invited to firm up,” “firm,” “eligible” and “executed” are separate states. A conditional indication can be present in a system without being a firm executable order. An eligible order can remain unfilled if compatible opposite-side quantity is insufficient.
Record the timestamp that the stated rules actually use. Initial message arrival, firm-up response, replacement and executable-price changes can have different effects. Do not automatically preserve the earliest time for every later event.
Work three same-price orders under explicit rules
Assume a fictional ATS with two seller classes: agency customers and liquidity providers. Invent these rules: only firm orders can execute; eligible agency-customer orders rank ahead of liquidity-provider orders at the same price; within a class, the applicable timestamp determines priority; firm-up receives a new timestamp; partial fills are allowed and there are no minimum sizes or other exclusions.
Assume the reference quote permits all stated firm orders to execute at 10. The quote is stable and all participants are admitted. Three sell interests are present when a firm buy order for 1,000 shares arrives at time .004:
| Interest | Class | Arrival within the same second | Shares | State at .004 |
|---|---|---|---|---|
| A | Liquidity provider | .001 | 600 | Firm |
| B | Agency customer | .002 | 400 | Firm |
| C | Agency customer | .000 | 700 | Conditional, not firm |
Filter out C because it has not firmed up. Rank B ahead of A because of the invented class rule, despite A’s earlier arrival. B executes 400 and A executes 600, satisfying the buy order’s 1,000. C executes zero.
The earliest initial message belongs to C, but its state excludes it from the executable set. The example does not show that real ATSs all prioritize agency customers or that liquidity providers are necessarily disadvantaged. Those are local assumptions, not regulatory conclusions.
Change firm-up and isolate the mechanism
Now change only one fact: C firms up at .003 before the buy arrives. Under the stated timestamp-reset rule, C becomes a firm agency order with applicable time .003. B remains ahead within that class at .002.
B executes 400, then C executes 600; C retains 100 unfilled and A retains 600. The buy still fills 1,000. The allocation changes because a previously ineligible order entered the higher-priority class, not because the buy quantity or price changed.
If C instead firms up at .005, after the earlier buy has fully executed, it cannot retroactively take those fills in this invented event sequence. A later file showing C as firm does not establish that it was firm at .004. State histories must be evaluated at the matching event.
Under a different hypothetical rule preserving the initial conditional timestamp, C could rank ahead of B after firm-up. Do not import that alternative into the first calculation. The completed venue filing must support which rule applies, including any replacement or repricing effects.
Use a size restriction as a different boundary
Return to the original case with C still conditional. Add a different invented restriction: each sell interest must have at least 500 shares available to participate in this match. B’s 400 no longer qualifies even though it has the favored class.
A can execute 600. With C non-firm and B excluded, the remaining 400 of the buy has no eligible sell interest under these assumptions. Class priority does not override a failed eligibility condition. An allocation model that sorts first and never filters would incorrectly force a full fill.
This size example is separate from the firm-up example. It does not assert that the form requires such a minimum or that every venue measures a minimum in this way. Extract the actual size condition and residual-quantity treatment before applying it to real orders.
Execute a rule-to-event worksheet
| Check | Evidence field | Unresolved consequence |
|---|---|---|
| Version | Operator, ATS, amendment and operative date | Wrong rules may be applied |
| Access | Subscriber class, services and exclusions | Participant eligibility unknown |
| State | Conditional message, invitation and firm response | Presence mistaken for executable liquidity |
| Attributes | Size, price, session and interaction restrictions | Ineligible interest ranked |
| Priority | Class, price and applicable timestamp | Arrival time assumed universally decisive |
| Allocation | Quantity and partial-fill treatment | Fill amount unsupported |
| Observation | Event log and execution evidence, if available | Rule possibility mistaken for actual behavior |
For an actual analysis, place each rule beside the completed filing’s precise item and version, then list the event fields needed to apply it. A public filing often supplies rules without the complete private event log. It can support a conditional event tree without proving that a specific order was handled as modeled.
If a subscriber brochure conflicts with the filed description, compare dates, participant class, service and exhibits. Do not silently combine the most favorable clause from each document. A missing answer or unavailable exhibit remains an input gap, not a default assumption of strict price-time priority.
Change the conclusion when an operative amendment, supported participant classification, firm-up record or corrected event timestamp changes the eligible set or ordering. Keep both the old and new allocation and name the changed input. An execution-quality average or venue-volume total cannot supply the missing per-order event sequence.
The deliverable should distinguish disclosed rules, invented teaching assumptions and observed executions. That separation makes the reconstruction useful even when no actual fills can be independently reproduced from public information.
Keep price eligibility ahead of time priority
The worked match assumes that all stated firm interests can trade at 10. If a reference-price condition makes A non-executable at the buy’s arrival, its earlier timestamp does not repair that failure. Record the quote event and the applicable rule, then rerun eligibility before ranking. A price change and a participant-class change are separate mechanisms and should be tested separately rather than bundled into an unexplained new allocation.
FAQ
Does the earliest conditional indication automatically execute first?
No. It must satisfy the applicable firm-up and eligibility rules, and the priority timestamp may change.
Does an ATS-N filing prove every actual execution followed its description?
No. A filing supplies disclosed operating information; actual compliance requires additional evidence.