Algorithm on closing rotation

I am normally the first to question many of the conspiracy theories around trading on Hot Copper (you know the types where rogue traders allegedly sell down millions of stock only to buy it cheaper!), but I have watched the OCC closing rotation nearly every day this week. There is definitely an algorithm at work to keep it closing on the low-side.

I pay for live data so get a live market depth. Many days prior and practically every day this week I have watched an algorithm make sure the stock closed on the low-side. The market was $0.48/485 at 4pm and I was surprised as some heavier volume started coming through 48.5 and 49 bid. The net 48.5 volume moved up and down in the final few minutes, but no matter what, the net 48 offer volume was always 1 lot higher than the 485 bid volume. It literally fluctuates in tandem - a dance before the close that the sell side always just 1 lot more....the final net bid at $0.485 = 66,957 lots, the offer at $0.480 = 66,958 - that 1 lot extra tipped it to close at $0.48 instead of $0.485.

Is it illegal? Probably. This is the problem with ASIC, it is subjective. There is clearly a real-time algorithm reading the match out volume and adding sell volume to keep it on the low-side. It is clearly manipulating the closing rotation, but short of getting the program ASIC could never prove it, so wouldn't bother trying. For me its reassuring. There are professional players in OCC trying to keep this stock lower than the closing price that would naturally prevail. This stock would have closed at $48.5 today if it were not for the algorithm. Given short-sale volumes have not increased, this is probably a long stock holder looking to keep this stock lower, possibly with the ambition of disrupting the SPP to then buy back in at lower prices thereafter - I can't believe I have joined the conspiracy speculators!

If the stock is lower I might set up a bunch of small buy orders on tomorrows close and release at 4.09:30pm onwards and see if the sell-side increases accordingly. It might be an expensive test and I myself could be accused of market manipulation. This post will act as my self defence!