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I can almost guarantee you that the sponsor shaves. This may not be why you're losing the sale but more than likely what did happen was the shaving feature had an error in it and didn't shave the sale in the way it was intended to.
In theory with shaving when the sale is made it should not show up in your stats area but it will show up in the admin stats area for the program owner. What it sounds like is happening is either you were seeing the owners stats or there was just an all out glitch in timing on removing the sale from your stats area. It was a known bug in one of the affiliate management programs a few months ago but i'm not sure what precisely happened after that.
I can almost assure you though it would be tough for another affiliate to steal the sale after it was already credited to your account. The only way would be for them to hack into the sponsor program and get into the owners area of the admin. If this is the case then I would be concerned about using that particular program anyway because of it's security vulnerability.
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