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Most trades through a brokerage don't make it on an exchange. They're internalized by a wholesaler like Citadel Securities. Which is the reason for the question.


This is what CAT was built to address https://www.catnmsplan.com/

you send your order to your broker/dealer, they send it to their OMS, which sends it to Citadel, who sends it to their internalisation engine..

All of these messages, including order Identifiers to create the linkages are sent to FINRA.

So your broker sends order "123ABC" to Citadel, FINRA gets this and can trace your order back up and down the "stack" however they want.


Ah cool, are the internalized orders reported publicly anywhere or are they just sent to the SEC/FINRA?


They still have to report to tape. You can’t really hide exchange listed stock trades.


These types of orders are sent as "crosses" where "citadel" reports they are both the "buyer" and "seller".

As an example, according to the NYSE FIX Spec, this is 54 (Side) = 8 (Cross).

This is how they are able to "internalise", by crossing retail flow vs their house account.

CATNMS https://www.catnmsplan.com/ helps with this.


I haven’t touched compliance in a long time. I tho they have to report to tape, not as a cross. They always have to report due to Manning rules.

Also, the trades were done prior to CAT. I suspect it’s from Blue Sheets.


Well, prior to CAT they had OATS, which has been around for a very long time, but was only "top level" messages (not a deep trace into the stack).

If you combine crosses with OATS you can still get some of the data you are looking for, just not as cleanly as with CAT.




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