Auto Execution Manipulation Summary Report

The Cross-Market Equities Supervision: Auto Execution Manipulation report is a tool designed to provide firms feedback on exceptions that were generated based on the firm’s order entry and trading activity in a given surveillance period. The report covers auto execution manipulation. This report is produced on a monthly basis.

Summary Report

The table below provides a reference description for all of the elements found for Auto Execution Manipulation exceptions identified during the month.

Term	Definition
Total Auto Execution Exceptions	The total number of alert-eligible Auto Execution exceptions for the focus firm during the Surveillance Review Period. NULL values indicate that the firm generated no Auto Execution alert(s) during the review period.
Auto Execution Exceptions – Relationship	The total number of alert-eligible Auto Execution – relationship exception records from the Manipulation Detail report for Auto Execution. NULL values indicate that the firm generated no Auto Execution alert(s) during the review period.
Auto Execution Exceptions – Non- Relationship	The total number of alert-eligible non-relationship Auto Execution exception records from the Manipulation Detail for Auto Execution. NULL values indicate that the firm generated no Auto Execution alert(s) during the review period.

Term

Definition

Total Auto Execution Exceptions

The total number of alert-eligible Auto Execution exceptions for the focus firm during the Surveillance Review Period.

NULL values indicate that the firm generated no Auto Execution alert(s) during the review period.

Auto Execution Exceptions – Relationship

The total number of alert-eligible Auto Execution – relationship exception records from the Manipulation Detail report for Auto Execution. NULL values indicate that the firm generated no Auto Execution alert(s) during the review period.

Auto Execution Exceptions – Non- Relationship

The total number of alert-eligible non-relationship Auto Execution exception records from the Manipulation Detail for Auto Execution. NULL values indicate that the firm generated no Auto Execution alert(s) during the review period.

Detail Data

The table below provides a reference description for all of the elements found for Auto Execution Manipulation exceptions identified during the month.

Term	Definition
Exception Type	"Auto Execution" detects potential market manipulation where a market participant places one or more orders on one side of the market to improve the National Best Bid or Offer (NBBO) of a security to a price that is beneficial to subsequent automatic executions of orders placed on the opposite side of the market. The orders placed on the opposite side of the market will be executed at a price than would not have otherwise been available absent the corresponding market moving orders. "Auto Execution – relationship" involves two separate market participants, with one participant moving the NBBO and the other participant receiving the beneficial execution. "Auto Execution – non-relationship" involves the same market participant moving the NBBO and receiving the beneficial execution.
Trade Date	The trade date associated with the exception.
Symbol	The symbol associated with the exception.
Participant Type Code	Market Participant Identifier Type codes: M = MPID (OATS or Nasdaq MPID) C = CRD N = Mnemonic E = ETPID
Participant Identifier	The market participant identifier of the firm.
CRD Number	The CRD Number of the market participant.
Side	The firm’s side of the exception.
NBBO First Change Time	The time of the first NBBO change associated with the exception formatted to milliseconds.
Execution Price	The execution price associated with the exception.
Latest Execution Time	The latest execution time associated with the exception formatted to milliseconds.
Activity Count	If the Activity Description for the firm is “Executing”, the number of executions associated with the exception. If the Activity Description for the firm is “Market Moving”, the number of market moving orders associated with the exception.
Activity Volume	If the Activity Description for the firm is “Executing”, the trade size associated with the exception. If the Activity Description for the firm is “Market Moving”, the total share quantity of market moving orders associated with the exception.
Market Center Code	Market Center value(s) associated with the exception: A = NYSE American B = Nasdaq BX C = NYSE National D = Alternative Display Facility and/or FINRA Trade Reporting Facility* J = Bats EDGA Exchange, Inc. (EDGA) K = Bats EDGX Exchange, Inc.(EDGX) M = NYSE Chicago N = NYSE P = NYSE Arca Q = Nasdaq T = Nasdaq V = Investor’s Exchange LLC X = Nasdaq PSX Y = Bats BYX Exchange Inc. (BYX) Z = Bats BZX Exchange Inc. (BZX) *D also includes Trade Reporting Facilities and ADF
Contra Firm	If this is a relationship exception, this field reflects the contra market participant associated with the exception. The value in this field is masked and reflects a randomly selected string of numbers up to 15 digits in length. The randomly selected string of numbers will be consistently generated for a market participant across review periods.
Activity Description	The activity description provides a frame of reference for the activity captured in the exception. The two possible values are ‘Executing’ and ‘Market Moving’. ‘Executing’ indicates that the firm was responsible for placing the order that was executed. ‘Market Moving’ indicates that the firm was responsible for the entry of NBBO moving orders. Where the surveillance reflects non-relationship activity, the same Market Participant may have both Market Moving and Executing record types within an exception.
Exception Count	A count that reflects the number of instances that a unique exception (as defined in the assumptions) occurs within the surveillance review period for the firm. Each exception record will contain a value greater than or equal to 1.