I see this question all over the HC forums and have so far...

I see this question all over the HC forums and have so far restrained myself from replying, but for the SOR threads I'll make an exception as generally we have purged the crazies from here for now (they will be back and I'll go relatively silent with the popcorn again). When you see the low order volumes they are not individual orders. What is happening is algo execution. So someone is placing a larger order but asking the broker's algorithm to execute it over time, for example VWAP, TWAP, spike or any other custom selection. For this, the customer only pays brokerage once, despite there being many resulting trades. If they are with a broker that allows for algo orders you will also be dissappointed to discover that their brokerage fee is likely lower than what you are paying for your non algo orders. For SOR this style of execution doesn't really make sense unless its moving on news or if the price is below the 0.1 where the order book thins out as the tick size falls. Generally for most of the trades I would do I would execute using the algos, I feel I generally get better prices and it also hides my full size I'm going after from the market and so doesn't chase it away from me. So there is no games being played or conspiracies as you will read all over HC. However if you do see these sorts of threads you can now also have a bit of a chuckle at how crazy they get.