I've been thinking a lot about the Agent of Nine. I searched everywhere in the Grimore to find a little hint about his identity, but this is well-kept secret in the Destiny Lore. However, I came up with a theory, that is not only pretty plausible, but also it would explain lots of known facts about Xûr, his behavior and some other mysteries of the Lore. Here it is.
Well, let's start drone the Battle of the Twilight Gap. The commander of the Vanguard'army was, as we all know, Saint-14. He actually ended the battle, killing the Kell of the House of Devils. However, after that battle, he decided to to come back to the City, but to go after Osiris, the exiled warlock. At that time Osiris was still a major threat, because of his experiments with the vex, so the titan, despite the Speaker's ammonitions, goes to Mercury to face Osiris. They probably fight each other. Saint-14 is strong, but Osiris has the forbidden knowledge of the Darkness on his side. Osiris, defeats the Titan, leaving him barely alive. Saint-14 is not able to come back to the City, so he's destined to perish there on Mercury, or wherever their battle had taken place. But someone saves him, giving him a new life: the Nine. In exchange for his live, Saint-14 becomes Xûr, and will serve his masters. He will be able to go to the Tower, selling rare items to the Guardians, using the knowledge of his past as one of them. He also complete dangerous missions (freeing Skolas, for instance) that the Nice could not to by themselves.
Well, this is a short story of Xûr. I didn't found any "plot holes" in my theory yet, so if found any, I will be very happy to listen to you opinion!
Be brave, Guardians
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https://www.bungie.net/en/Forum/Post/208129399/0/0