Citadel Securities LLC
From the start of its Consolidated Audit Trail (CAT) reporting obligation on June 22, 2020, through August 28, 2024, Citadel Securities failed to timely and/or accurately report data for tens of billions of equity and option order events to the CAT Central Repository in violation of FINRA Rules 6830, 6893, and 2010.
As a large industry member, Citadel Securities was required to begin reporting its order event data to the CAT Central Repository on June 22, 2020. To prepare to report to CAT, Citadel Securities developed a proprietary order and trade reporting system, a testing process, and related supervisory procedures designed to comply with the firm’s CAT reporting obligations.
From the start of its CAT reporting obligation on June 22, 2020, through July 31, 2022, Citadel Securities inaccurately reported certain data fields for approximately 42.2 billion equity and option order events to CAT, spanning 33 unique CAT reporting error types.
Three types of errors accounted for 41.8 billion inaccurately reported events. With respect to those issues, the firm:
Did not report “0” in the “leaves quantity” field for certain fully canceled orders, impacting 31.2 billion canceled order events between June 22, 2020, and December 31, 2020.
Applied the “representative eligible” indicator4 instead of the “representative” indicator to 6.3 billion new order events between June 22, 2020, and April 9, 2021.
Did not populate the Immediate or Cancel (IOC) Time-in-Force code for 4.3 billion IOC order events between June 22, 2020, and February 16, 2022.
As a result of the remaining 30 reporting error types, Citadel Securities reported over 400 million inaccurate order events to CAT between June 22, 2020, and January 22, 2022.
In addition, from June 22, 2020, through July 31, 2022, Citadel Securities did not timely report approximately 580 million equity and option order events to CAT.
By September 22, 2022, Citadel Securities had remediated the 33 error types the firm experienced up to July 31, 2022, some of which had persisted from a few weeks to nearly two years. Citadel Securities reported the 580 million equity and options order events and submitted corrections for the 42.2 billion inaccurate orders events between one and 17 months after each reporting issue was corrected.
After remediating the 33 error types, Citadel Securities identified four additional issues that caused the firm to fail to timely and/or accurately report certain data fields for approximately 3.2 billion equity order events to CAT from December 13, 2021, through June 30, 2024. The firm remediated these issues by June 30, 2024, and submitted corrections for the approximately 3.2 billion events by August 28, 2024.
Citadel Securities’ reporting violations were caused by various coding and system issues, issues with data received from third parties, and the firm’s interpretation of certain reporting scenarios. Citadel Securities identified many of the reporting errors through its supervisory reviews.
