The “Vex Crossroads” public event is located on Mercury and can be turned into a Heroic Event. It’s only accessible in the Curse of Osiris DLC (must be purchased first).
It’s meant for level 20-25 characters.
Heroic Vex Crossroads (Curse of Osiris DLC)
Step 1: Slay traveling Vex to draw out the Gatekeepers
Just kill Vex until a big enemy spawns (usually a Hydra or Minotaur). Then kill the big enemy and it will drop some balls of light that can be picked up (the “keys”).
Step 2: Seize the Keys from Gatekeepers to shut down the warp gates
As stated before, pick up the balls of light. Then you automatically see markers where to put them (on the two pedestrals close to where you killed the gatkeeper). Jump on there with a key (ball of light) in your hand and it will automatically ram it into the ground. Repeat for the other platforms. There are two platforms on either side of the area (4 platforms total, thus two gatekeepers to defeat).
Step 3: Travel to the island to shut down its warp gate
After placing the keys on all 4 pedestrals/warp gates, the jump pads will turn 180°. Use the pads to jump to the “islands”. Doesn’t matter which one you go to first.
Step 4: Seize the Keys from Gatekeepers to shut down the warp gates
Once on the island you get to fight another Hydra/Minotaur that drops the balls of light to be placed in a warp gate. Up until this point everything is part of the normal event. But now the step for the heroic event begins, so read on carefully.
Step 5: HEROIC EVENT ACTIVATION (on first island you jump to)
After defeating all enemies on the first “island”, stay on the island and check for a white stone floating in the air above the abyss, on the opposite side of where you came from (in other words: from where you landed, head straight ahead till the end of the “island”). DO NOT HEAD BACK THROUGH THE JUMP PAD YET!
You must shoot the white stone above the abyss. When it goes away new white stones spawn in the air + it spawns a platform for you to jump on. Now jump from platform to platform and always shoot the white stones quickly. This is a timed event, if you’re too slow the stones will disappear and you fall to your death. It’s best to do this part with 2 players, have each one shoot a different stone. At first there’s only one stone, then multiple ones spawn simultaneously. Once you reach the top you must stand in a circle to trigger the heroic event. You can now head back through the jump pad.
Note: The stone appears only on the first island that you jump to! So you only have one try per event. If you’re too slow or ignore the stone it will fail. On the second island no stone will spawn. However, it does not matter to which island you go first (you can go left or right, the stone always spawns where you land first).
Step 6: Defeat the Gate Lord
All that remains is the endboss. It’s almost the same as the normal event, just the boss has a shield. To disable his shield, kill the smaller enemies until they drop balls of light again. Then take a ball of light to the platform above the boss (middle of area up high). It disables the shield. Shoot the boss and repeat 2-3 times until he’s dead.
The heroic step takes a little bit of practice, especially solo, but with a 2nd player focusing on the floating stones it’s not too bad 
After completing the heroic event you earn two loot boxes with Mercury Tokens inside and potentially an exotic engram. Good luck traveler, this is the only heroic event in Curse of Osiris expansion and it takes around 10 minutes to respawn. You can camp at the landing zone and view the map until the marker shows up again.
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