Allow me.
Here's one simple example - a 1000 share at-market buy order is placed for $10. 500 shares exist on the offer at $9.99 and a seller has an automated 1000 share sell order set at a price of $9.99. Shares on the offer at $10 don't get hit and there's an imperceptible change in the market depth.
This can happen at any price point.
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Allow me.Here's one simple example - a 1000 share at-market buy...
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