There is a rule against PM trading under illegal trades:
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No trades via PM. (It's harder to prove a scam via PM than from a trade thread, so always negotiate and deal through a trade thread, not PM).
However since the PM inbox is unmoderated due to privacy, nobody would ever know whether those claiming they had PM bids actually did receive a PM bid or were bluffing just to raise the bid.
As a trader you are in control and you can refrain from BM trading behaviour such as PM trade sniping and fake bid claims, you can also refuse to trade with those who you believe engage in these sorts of behaviour.
As a seller if you receive a “PM bid” you can always redirect them to post that bid in your topic, since people do that just to avoid potentially being outbid and it’s
always a bad idea to acknowledge bids in private since you could be getting more in public.