[JumpCrisscross]

> there had been sequences of trades with batches of 100 shares sold at continuously smaller values with very little difference between one batch and the next and the difference was in 3rd and 4th decimals

This sounds like the interaction between run-of-the-mill execution algorithms.

Bidding algo is likely a market maker putting out small quotes (100 shares is a standard lot) and adjusting down (up) the price each time the bid (offer) is hit (lifted). Selling algo trying to liquidate a larger block without moving the market. It is hitting the top bid from time to time. If those two are the only market participants talking for a few milliseconds, they'll walk down the price in 100-share increments. Given how volatile GameStop was, I suspect the predatory algorithms, who sniff out this sort of stuff, were offline.

[PartiallyTyped]

Thank you for elaborating. Do you have any links that further elaborate or perhaps suggestions for papers/books in algo trading?

[JumpCrisscross]

> Do you have any links that further elaborate or perhaps suggestions for papers/books in algo trading?

One of the things I'm realizing from all this is there aren't many good, succinct sources on market microstructure. It's complicated. But it's not that complicated. (It's just usually boring.)

The best I can recommend is how I learned it. Start with a respected paper [1]. Trace through the references until you find something you understand. Then work your way forward.

[1] https://www.smallake.kr/wp-content/uploads/2016/03/optliq.pd...