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What are all the small orders on the depth screen?

Long version of the question:

Just a question regarding buyers and sellers. Looking at market depth in particular, I ofter see on buyers and sellers volume, what appears to be the same investor making a number of bids on buy and sell as they appear very small amounts and are exactly the same. As an example looking at LYL on 27/3/12 on close of trade the first 5 buy bids were for 159 shares ranging from $7.36 to 7.32 on the sell side there were a similar number (5) of 159 shares ranging from $7.39 to $7.43. I was wondering would this be a co-incidence which I doubt, and whether this is a strategy used by investors and what their motives might be. I would appreciate any comments you would have on this.


This puzzled me for a while when it began happening 4 or 5 years ago. These orders are placed by high frequency traders who are trying to arbitrage or it is institutions who are trying to hide large orders in stocks which they cannot buy/sell in dark pools. The idea is to disguise the overal size of their order and maybe even whether they are a net buyer or seller. There has been a great deal written about this in the last two years in The Australian Financial Review and elsewhere in the media.