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shotsky

07/15/21 10:53 AM

#41872 RE: Philosophical Trader #41868

If you buy/sell at a limit, MM's will fill what they can, based on their spread. They can CHANGE their spread at any time, but they must do all business within their posted spread.
I don't claim to know why they filled that way, but I can see them, and they are ALL identical - 99,000 each. My real point is that when looking at L2, you are seeing tranches, not full orders.