The appearance of effective security making—demonstrated through surveillance, visibility, and ongoing performance—is significant to contemporary sovereign authority in urban spaces characterized by quotidian violence and crime. This article examines La Cancha, Cochabamba, Bolivia’s enormous outdoor market, which is policed not by the state but by private security firms that operate as nonstate sovereign actors in the space of the market. The article provides an ethnographic account of one of these firms (the Men in Black), and documents the work of both municipal and national police—all of them distinguished by differently colored uniforms—in the management of crime, administration of justice, and establishment of public order in the market. Sovereignty here is derived through public performance, both violent and nonviolent, through which the Men in Black demonstrate and maintain their sovereign power.