aggregation unit

I now believe there are at least two purposes, not necessarily reflected in any systems I worked on.

  • Purpose: FINRA regulatory reporting on aggregate short positions on a given stock like AAPL. Probably under Regulation SHO
  • Purpose: Self trades (also wash trades) that create a false impression of activity. I believe trading volume for AAPL would be artificially inflated by these trades. “Bona fide” trade reporting is expected. To deal with self-trades, a firm need to exclude them in trade reporting. But what if a self-trade involves two trading accounts or two algorithms? Are the two systems completely unrelated (therefore not self-trade) or both come under a single umbrella (therefore self-trade)? That’s why we assign an “aggregation unit” to each account. If the two accounts share an AggUnit then yes self-trade.

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