medium · Market Microstructure lob
An institutional trader submits an order for 50,000 shares of a stock. The broker uses an 'iceberg' order displaying only 500 shares at a time. A parasitic trader detects this.
Which of the following observations most likely tipped them off?
- Repeated replenishment of the same size at the same price level after trades occur.
- The variance ratio drifting downward from about 1.2 toward 0.8 over the session.
- A single massive trade print followed immediately by a sharp widening of the quote.
- A sudden spike in the bid-ask spread that occurs with no accompanying change in volume.
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