For internal use by Barclays clients only. Please do not forward.

Equities




Equities Electronic Order
Handling


As of June 2014













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Contents

Electronic Trading Practices ................................................................................................................................. 2

1. Electronic trading anonymity
2. Advertisement of executed volume
3. Accessible venues
4. Execution and venue transparency
The Barclays ATS LX

......................................................................................................................................... 4
5. Makeup of LX dark pool
6. Execution priority
7. Barclays principal trading interaction with LX
8. LX data feeds
9. Monitoring LX market data accuracy
10. Access fees
11. LX surveillance
12. Restricting counterparties
13. Order types
14. Conditional orders
15. Price improvement
16. Locked markets
17. Co-Location
18. Reporting to the tape
Smart Order Routing .............................................................................................................................................. 8
19. Smart order router overview
20. Sweep logic
21. Posting logic
22. Customization options
23. Dynamic SOR interaction with Barclays LX
24. Order types and features
25. SOR market data
26. Use of IOIs by the SOR
Algorithms .............................................................................................................................................................. 10
27. Algorithms and routing logic
28. Performance evaluation of algorithms
29. Information leakage prevention and anti-gaming protection
30. Internal algorithm use
31. Conditional orders support
32. Dark Liquidity Accessor (DLA)
33. DLA customization options



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Electronic Trading Practices
1. Electronic trading anonymity
Only designated employees of the Electronic Trading business unit are able to monitor client electronic
trading flow on a need-to-know basis.
High-touch traders have no ability to view client electronic trading flow.
The ability to monitor client electronic trading flow is administered through permission-based systems, with
permissions managed by Supervisors.
High-touch sales traders have no ability to view client electronic trading flow, unless a client specifically
requests to have a single point of contact for both high-touch and electronic coverage. On a post-execution
basis, high-touch sales traders and research salespeople are able to view client electronic trading revenue,
but no trade details.
Compliance staff can also view order information on a T+1 basis for surveillance and monitoring purposes,
and can ask to see real-time order information, if needed.
Certain equities senior management employees may be permitted to view order information in accordance
with the firms internal controls and approval processes.
Execution-related information may be provided to Barclays Equities employees for the purpose of conducting
execution quality analysis for clients as well as for fulfilling the firms best execution obligation.
2. Advertisement of executed volume
We advertise our electronic volumes in near real time via Bloomberg IOIA and RANKA screens. Only symbol and
aggregated volume are displayed for Bloomberg users utilizing this function. Advertising is delayed by 10
minutes and does not include the executed volume of clients who have opted out. By clicking on a BARC
advertisement, users can separately view volumes executed through the high-touch cash desk (indicated by
BCAP) versus through Barclays Electronic Trading (indicated by BCET).
3. Accessible venues
For Reg NMS securities, the following venues are accessible through Barclays Electronic Trading.
Aqua Instinet CBX
Barclays LX ITG Posit
BATS Y Knight Link
BATS Z Knight Match
BIDS LavaFlow ECN
Bloomberg Tradebook LeveL
BNY Millennium MS Pool
BNY Vortex NASDAQ
Chicago Stock Exchange NASDAQ BX
Citadel Apogee NASDAQ PSX
Citadel Connect NYSE
Citi Cross NYSE Arca
CS CrossFinder NYSE MKT
DB Super-X PDQ ATS
Direct Edge A PULSE Blockcross
Direct Edge X UBS ATS
Fidelity CrossStream Wells Fargo WELX
IEX ATS


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4. Execution and venue transparency
To provide order transparency, Barclays offers clients several tools:
Live Trade Monitoring (through our Portfolio WebBench

analytics toolkit) offers clients the ability to track

where their executions are taking place in real time.
Detailed reporting of both routing and LX results, including venue and LX execution analysis.
Various FIX tags, e.g., trade destination, executing broker, add/take details.

Please contact your Barclays Sales representative for any additional information.



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The Barclays ATS LX

5. Makeup of LX dark pool
The following types of clients have access to our internal dark pool, LX: institutional clients, third-party broker-
dealers and internal trading desks, including our affiliates trading desks.
6. Execution priority
Barclays LX employs a price-tier-time priority. When providing liquidity, all trading participants are assigned to
one of four tiers:
Tier 1 is agency order flow from clients (includes broker-dealer agency flow routed to LX through Barclays
algorithms)
Tier 2 is agency order flow received from third-party broker-dealers
Tier 3 is Barclays principal order flow (including Barclays affiliates order flow)
Tier 4 is principal order flow from third-party broker-dealers

Among tiers, Tier 1 has the highest priority, followed by Tiers 2, 3 and 4, respectively. As a result, Barclays
agency client orders are executed ahead of orders from all other tiers at the same price regardless of time
priority. For more information see: http://www.barclays.com/disclosures/important-ats-disclosures.
7. Barclays principal trading interaction with LX
Barclays internal trading desks that facilitate client orders have the ability to send agency and principal orders for
execution in LX. Barclays proprietary desks also have the ability to trade in LX. These proprietary desks combined
comprise less than 1.5% of LX volume. These internal desks do not receive any special treatment or information
regarding orders or executions within LX. Additionally, Barclays principal trading orders fall into Tier 3 (behind all
LX agency orders) as described above. Clients can also choose to opt out of interacting with all Barclays principal
flow.
8. LX data feeds
LX determines the current NBBO using a combination of direct exchange feeds for major exchanges and the SIP
for smaller market venues.
9. Monitoring LX market data accuracy
In order to ensure that LX is calculating the NBBO in a timely and accurate fashion, Barclays employs numerous
checks to ensure market data accuracy. These include, but are not limited to, the use of proprietary programs
and tools which produce both real-time surveillance and T+1 measures of LXs NBBO accuracy versus multiple
outside data sources.
10. Access fees
Users are charged a per-share fee based on their negotiated commission rate. Barclays does not offer rebates.



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11. LX surveillance
Barclays employs a framework called Liquidity Profiling for monitoring and categorizing activity within our ATS.
For the purposes of monitoring, various factors are measured including, but not limited to, the following:
Take-to-provide ratio
Order-to-trade ratio
Order duration
Order placement logic
Order type usage (e.g., mid-point IOC versus limit day orders)
Market movement, or alpha, measured over various horizons (e.g., midpoint-to-midpoint movement over
five minutes)

In addition to these metrics, the ATS team will investigate one-off incidents and behaviors exhibited by individual
subscribers.

The Liquidity Profiling framework is also utilized for the purposes of categorizing all LX direct subscribers into
different segments, based on two measures:
One-second take alpha midpoint-to-midpoint market movement over a one-second horizon
Normalized order size order size relative to the average execution size in the market for a given symbol

Based on these two factors, participants are placed into segments as follows:


For more information see: http://www.barclays.com/disclosures/important-ats-disclosures.



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12. Restricting counterparties
To assist in achieving their execution objectives, subscribers have the ability to customize their interaction in LX
by blocking the removal of their liquidity by one or more Liquidity Profiling segments as described in the chart
above (e.g., block all counterparties from segments 0 and 1).

In addition to the Liquidity Profiling framework, which is used by a majority of subscribers that choose to block
counterparties, subscribers may request to suppress interaction with certain subscriber types (e.g., institutional,
broker-dealer, ELP, internal desks; see Section 5 regarding Makeup of LX dark pool) or with specific
counterparties on a one-off basis.
Note: This functionality may result in reduced execution rates, either because an individual client may have
chosen to suppress certain segments of flow or because that client is within a segment of flow that has been
suppressed by other participants. For more information on this feature please contact your Barclays Sales
Representative.
13. Order types
LX accepts limit, pegged, and conditional orders. For broker-dealers, ISOs are supported. Only Day and IOC TIFs
are accepted. Additionally, ATS users have the option to set execution parameters based on their trading
objectives on an order-by-order basis. These optional parameters include: prevention of crossing when LX
detects a locked NBBO, minimum execution size, add (provide) liquidity only, and NBBO price shift protection for
pegged orders.
14. Conditional orders
LX provides a process for negotiating trades based on conditional parameters, known as a conditional order
negotiation (or conditional order). See more at: http://www.barclays.com/disclosures/important-ats-
disclosures.
15. Price improvement
When there is spread overlap, price improvement opportunities are divided between the provider and taker of
liquidity 80/20, respectively.

Example
The market for XYZ is 152.05/152.06. Client A provides liquidity with an order to buy at the offer price (buy at
152.06). An order comes in from Client B to sell at the bid (sell at 152.05).

Client A is posted to buy .01 above the bid, creating a spread overlap of .01
80% of the spread will go to Client A, who is providing liquidity: 80% .01 = .008
20% of the spread will go to Client B, who is taking liquidity: 20% .01 = .002
The trade will execute at 152.052
Therefore, Client A buys at 152.052 instead of 152.06 resulting in 80 mils of price improvement. Client B sells
at 152.052 instead of 152.05, resulting in 20 mils of price improvement.

Note: Clients may get sub-penny executions in LX due to price improvement logic.
16. Locked markets
During a locked market, midpoint peg orders will not execute; however, other peg and limit orders can. Clients
also have the ability to opt out of any locked market crossing on a trade-by-trade or default basis (see #12).



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17. Co-Location
LX is co-located in the Savvis NJ2 Data Center in Weehawken, New Jersey. All clients are welcome to cross
connect to LX in this facility.
18. Reporting to the tape
All executions are reported to the Nasdaq TRF in real time.


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Smart Order Routing
19. Smart order router overview
Barclays Dynamic Router is the firms smart order router (SOR) and primary vehicle by which Barclays electronic
orders are placed in the market for execution. When an order is marketable, the SOR will sweep and source
liquidity across displayed and non-displayed venues with the objective of maximizing fill rates and minimizing
information leakage. When an order is not marketable, the SOR will post the order on displayed venues to
maximize spread capture. The SOR can also be used to route directed orders to specific venues (e.g., primary
opening and closing auctions, IPOs).
20. Sweep logic
When sweeping, Barclays Dynamic Router routes child orders to both displayed and non-displayed venues in
parallel to avoid the consequences of sequential routing. The goal of this approach is to maximize fill rates while
minimizing information leakage. Inter-market sweep orders are utilized whenever possible to improve execution
performance.

The primary factors considered when making venue selection decisions include real-time market data and real-
time venue fill rates. Price improvement and venue execution access fees may be taken into account when two
or more destinations rank equally on the primary factors.
21. Posting logic
When posting, Barclays Dynamic Router routes orders to displayed venues based on probability of fill, taking into
account real-time trade rates and queue depths on each venue. Depending on order characteristics and market
conditions, the router will post the order to the one or two venues most likely to complete the order and will
utilize reserve order types, based on current order book dynamics. Venue execution access fees are not taken
into consideration.
22. Customization options
The same routing logic is applied to both client and internal orders within the Dynamic Router. Additionally, the
Dynamic Router has various settings that can be customized to achieve different trading objectives which
include, but are not limited to, the following:

A. Sweeping
1. Disabling interaction with specific non-displayed venues, including Barclays ATS
2. Routing to specific non-displayed venues prior to routing to displayed liquidity
3. Preferencing net-cost destinations (venue fees and estimated venue price improvement)

B. Posting
1. Specifying the amount of shares to display when posting to displayed venues (e.g., show 500 shares
posting on exchange XYZ)
2. Limiting the venues to which the Dynamic Router will post (e.g., Exclude posting to exchange ABC)
3. Ability to use Non-routable and Post Only order types

For a full list of customization options, please contact your Barclays Sales representative.



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23. Dynamic SOR interaction with Barclays LX
To aid Barclays in meeting its best execution obligations, LX provides posted order information to the Dynamic
Router in real time. When sweeping, the Dynamic Router uses this information solely to determine whether to
route an order to LX, and only at the time a routing decision is made. This information is not shared with any
other Barclays system or desk. The feed contains aggregate buy and sell interest per symbol within the current
NBBO. No client information is present. Clients can opt out of having their LX order information included in the
aggregated information provided to the Dynamic Router.
24. Order types and features
Currently, Barclays may utilize the following order types when routing to displayed and non-displayed venues:
Order type Venue type
Day/IOC Displayed, Non-displayed
Limit Displayed, Non-displayed
ISO Displayed
Non-routable/Do-not-ship Displayed
Price Sliding Displayed
Reserve Displayed
Post Only Displayed
Pegged (MinQty optional) Displayed, Non-displayed
Conditional Orders Select non-displayed

Please contact your Barclays Sales representative for any additional information.
25. SOR market data
Barclays Dynamic Router uses a combination of direct depth of book and SIP market data feeds when making
sweeping and posting decisions. Direct feeds are used for all major exchanges and SIP feeds for smaller
exchanges.
26. Use of IOIs by the SOR
The Barclays Dynamic Router receives IOIs from several non-displayed liquidity venues. When sweeping, IOI
quantity is used as an input for the non-displayed venue in the dynamic venue ranking logic, analogous to how a
market data feed is used for a displayed venue. Clients can opt out of interacting with any of these venues. The
Dynamic Router itself does not disseminate IOIs.



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Algorithms
27. Algorithms and routing logic
Barclays algorithms utilize the Dynamic Router and the Dark Liquidity Accessor (DLA) to route orders for
execution. The Dynamic Router (also available as a stand-alone strategy) is utilized by the algorithms when
posting passively on displayed venues or when sweeping from displayed and non-displayed venues. The DLA is a
component of the algorithm that places hidden orders across both displayed and non-displayed venues.
28. Performance evaluation of algorithms
Performance evaluation of our algorithms is a continuous process. The performance of our algorithms is
evaluated against several benchmarks which include, but are not limited to, average slippage from the relevant
benchmark (e.g., VWAP, arrival price); effective participation rate; and price movement before, during and after
the trade. Performance is also evaluated across various market capitalizations, spreads, durations, and order
sizes. Outlier trades are analyzed to identify potential improvements.
29. Information leakage prevention and anti-gaming protection
Barclays algorithms employ various techniques to minimize information leakage and to detect gaming activity.
These techniques include, but are not limited to, the following:
A. Symbol-specific analytics
1. Volume profiles
2. Average spreads and quote depth
3. Volatility estimates
B. Dynamic scheduling and volume forecasting
1. Intraday real-time volume adjustments to react to deviation from typical volume profile
C. Chase protection
1. Symbol-specific block exclusion logic for all participation tracking
2. Symbol-specific volatility bands prevent algorithms from immediately chasing new price levels
D. Price impact detection
1. Real-time tracking and prevention of excessive market impact created by our order
E. Randomization of Time/Size in child order placement
1. Release time of passive and aggressive child orders is randomized
2. Child order sizes are randomized and set to match order book dynamics
F. Dynamic Limit Pricing for Hidden Non-Displayed Orders
1. When routing pegged hidden orders, a local fair price limit is applied to prevent unfavorable executions
due to short-term market movements
30. Internal algorithm use
Barclays Equities sales and trading personnel who facilitate customer orders utilize the same suite of algorithms
as those made available to clients.



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31. Conditional orders support
Barclays algorithms utilize conditional orders and conditional-eligible firm orders with LX. Additionally, Barclays
algorithms support conditional orders to select external non-displayed venues. Firm-up rates are monitored
across all conditional-supported venues, including Barclays LX.

Clients have the ability to opt out of LX or any external conditional-supported venue upon request. Opting out of
LX conditionals will also opt out of conditional-eligible firm orders. See more regarding LX conditionals at:
http://www.barclays.com/disclosures/important-ats-disclosures.
32. Dark Liquidity Accessor (DLA)
The Dark Liquidity Accessor is a component of the algorithmic platform that places hidden orders across both
displayed and non-displayed venues. Upon an algorithms first allocation to the DLA, the full quantity will initially
be posted to LX for a short interval to allow for potential crossing and prevent order fragmentation. If the order
is not filled, the DLA will then place orders across multiple venues. When posting to multiple venues, the DLA
takes symbol-specific, historical and real-time executions into consideration to determine the quantity to
allocate to each venue. Intraday and historical executions are assigned progressively less importance in the
allocation decision as time lapses.
33. DLA customization options
For algorithms that utilize the DLA, various settings can be customized to achieve different trading objectives
which include, but are not limited to, the following:
A. Limiting non-displayed venues from hidden posting decision (e.g., Exclude posting to ATS XYZ)
B. Disabling initial posting to LX
C. Specifying a minimum execution quantity for a non-displayed venue (e.g., Do not execute for less than 500
shares at dark pool Y)

For a full list of customization options or more details on Barclays algorithms, please contact your Barclays Sales
representative.




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