Tuaca, I have tried that as well and it works some of the time only. Today I had a 100 contracts (long) and wished to close them. Doing a 100 in one lot was always attracting requotes, so I split them into lots of 20 and still had to place each lot atleast 2 or 3 times before could get the price. Each time there was a requote even though the market and displayed price was stable.
Have had the same problem before as well.
With direct shares it is not such a big problem as you can see the underlying depth
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