It keeps them from using your shares to short. If it's just sitting in your account they can use them, which an agreement to pay them back later, to short the stock. However, if you have a sell order in, then the shares become unavailable. Maybe I'm simplifying it too much, but it keeps the MM from being able to SS which is always nice when you want the price to go up!
There is a belief that if you have a SELL order in on shares owned that they can't be used and or played with since the must be available if your order executes.
itlogic, from what i heard if you have the price set high, they cannot short your shares or trade your shares between mms, because of the high ask price you have on them.
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