Banter and General Comments, page-7906

@clivemax a bunch of tiny trades in the middle of the day are indicative that someone is trading over the day using a vwap or twap algorithm and that the full order size is not very big. Volume in the middle of the day really thins out and begins to ramp up after 3pm. If I had to guess, the small algo order is from the selling side, crossing the spread to sell 1 at a time at the bid, probably from a market maker/HFT supplying the very limited amount of liquidity demanded. You'll notice that as volume picks up in the afternoon, the size of those little crossings will increase and likely become a mixture of crossing the spread and not. It's a pretty thin day, so not too much to read into.