Potential Manipulation Report

The Cross-Market Equities Supervision 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 two distinct analyses; layering and Cross-Market Quote Spoofing. This report is produced on a monthly basis.

Overview Video

Summary Report

The table below provides a reference description for all of the data found in the Equities Supervision Manipulation Summary Report.

Term	Definition
Total Exceptions	The total number of alert-eligible exception records for the report, based on pattern exception totals across all detail reports.
Total Layering Exceptions	The total number of alert-eligible Layering exceptions for the focus firm during the Surveillance Review Period.
Layer Exceptions - Relationship	The total number of alert-eligible Layering – relationship exception records from the Manipulation Detail report for Layering.
Layer Exceptions - Non-Relationship	The total number of alert-eligible non-relationship Layering exception records from the Manipulation Detail for Layering.
Total Quote Spoofing Exceptions	The total number of alert-eligible Quote Spoofing exceptions for the focus firm during the Surveillance Review Period.
Quote Spoofing Exceptions - Relationship	The total number of alert-eligible Quote Spoofing – relationship exception records from the Manipulation Detail report for Spoofing.
Quote Spoofing Exceptions - Non Relationship	The total number of alert-eligible non-relationship Quote Spoofing exception records from the Manipulation Detail for Quote Spoofing.

Layering Detail Data

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

Term	Definition
Exception Type	"Layering" is a form of market manipulation in which multiple, baiting limit orders are entered on one side of the market at various price levels in order to create the appearance of a change in the levels of supply or demand, thereby artificially impacting the displayed interest. An order is then executed on the opposite side of the market, and the baiting orders are immediately cancelled. Layering detection does not require the facts to necessarily occur in this specific order. "Layering -- relationship" involves two separate market participants with one participant conducting the baiting activity and the other participant receiving the beneficial execution. Subsequent to the execution of focus (money) order(s), the layering Market Participant immediately cancels their original sell (buy) baiting orders. Further, such pattern often repeats on alternating sides of the market. "Layering -- non-relationship" involves the same market participant conducting the baiting activity 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 focus firm.
CRD Number	The CRD number of the focus market participant.
Side	The side of the exception.
Earliest Order Received Time	The earliest time stamp associated with the receipt of an order associated with the exception.
Earliest PBBO Bid Price	The Protected Best Bid Price prevailing at the time of the earliest order received that is associated with the exception.
Earliest PBBO Ask Price	The Protected Best Offer Price prevailing at the time of the earliest order received that is associated with the exception.
Latest Order Received Time	The latest time stamp associated with the receipt of an order associated with the exception.
Latest PBBO Bid Price	The Protected Best Offer Price prevailing at the time of the latest order received that is associated with the exception.
Latest PBBO Ask Price	The Protected Best Offer Price prevailing at the time of the latest order received that is associated with the exception.
Latest PBBO Ask Price	The total number of orders associated with the exception.
Total Orders Quantity	The total number of shares across all 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 J = Cboe EDGA Exchange Inc. K = Cboe EDGX Exchange Inc. D = Alternative Display Facility and/or FINRA Trade Reporting Facility M = NYSE Chicago N = NYSE Euronext P = NYSE Arca X = Nasdaq PSX Q = Nasdaq T = Nasdaq V = IEX Y = Cboe BYX Exchange Inc. Z = Cboe BZX Exchange Inc. *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, persistently generated by MPID across review periods, string of numbers.
Activity Description	The activity description provides a frame of reference for the activity captured in the exception. The two possible values are "Executing" and "Layering". "Executing" indicates that the firm was responsible for placing the order that was executed. ‘Layering’ indicates that the firm was responsible for the entry of the layered orders. Where the surveillance reflects non-relationship activity, the same Market Participant may have both Layering 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 focus firm. Each exception record will contain a value greater than or equal to 1.

Spoofing Detail Data

The table below provides a reference description for all of the elements found for Cross-Market Quote Spoofing exceptions identified during the month.

Term	Definition
Exception Type	"Spoofing" is a form of market manipulation in which orders are entered with the intent to create the appearance of build-up of a selling (buying) pressure, to narrow the quote spread. Orders are entered to entice other Market Participants into following the direction of the interest pressure, resulting in the creation of legitimate order(s) to join the fabricated interest at the national best offer (bid), or establishing a better offer (bid) than the current. After the fabricated interest is cancelled, leaving the joining Participant at the inside, the Manipulating participant sends an order on the opposite side of the market to execute against the joining Participant’s legitimate order. Quote Spoofing detection does not require the facts to necessarily occur in this specific order. "Spoofing -- Relationship" involves two separate market participants, with one participant narrowing the quote spread and the other participant receiving the beneficial execution. "Spoofing -- Non-relationship" involves the same market participant narrowing the quote spread and receiving the beneficial execution.
Trade Date	The trade date associated with the exception.
Symbol	The symbol associated with the exception.
Participant Type Code	The market participant identifier of the focus firm.
Participant Identifier	The market participant identifier of the focus firm.
CRD Number	The CRD number of the focus market participant.
Side	The side of the exception.
Earliest Order Received Time	The earliest time stamp associated with the receipt of an order associated with the exception.
Earliest PBBO Bid Price	The Protected Best Bid Price prevailing at the time of the earliest order received that is associated with the exception.
Earliest PBBO Ask Price	The Protected Best Offer Price prevailing at the time of the earliest order received that is associated with the exception.
Latest Order Received Time	The latest time stamp associated with the receipt of an order associated with the exception.
Latest PBBO Bid Price	The Protected Best Bid Price prevailing at the time of the latest order received that is associated with the exception.
Latest PBBO Ask Price	The Protected Best Offer Price prevailing at the time of the latest order received that is associated with the exception.
Order Count	The total number of orders associated with the exception.
Total Orders Quantity	The total number of shares across all 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 = Cboe EDGA Exchange Inc. K = Cboe EDGX Exchange Inc. M = NYSE Chicago N = NYSE Euronext P = NYSE Arca Q = Nasdaq T = Nasdaq V = IEX X = Nasdaq PSX Y = Cboe BYX Exchange Inc. Z = Cboe BZX Exchange Inc. *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, persistently generated by MPID across review periods, string of numbers.
Activity Description	The activity description provides a frame of reference for the activity captured in the exception. The two possible values are "Executing" and "Spoofing". "Executing" indicates that the firm was responsible for placing the order that was executed. "Spoofing" indicates that the firm was responsible for the entry of the spoofing orders. Where the surveillance reflects non-relationship activity, the same Market Participant may have both Spoofing 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 focus firm. Each exception record will contain a value greater than or equal to 1.