The old-established Praetorian Guard was based at the Castra Praetoria in Rome, and had frequently proved disloyal, making and deposing emperors and even on one occasion in 193 putting the Imperial throne up for auction to the highest bidder (cf: Didius Julianus).
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Thus Diocletian, who ruled from Nicomedia, promoted two faithful legions from the Illyricum (Legio V Iovia and VI Herculia), the area he was also descended from, to be the personal protectors of the Roman Emperors.