Here is little thing you should know:
Let's start with the basics. Most investors, and in fact a lot of people in the financial markets believe that stocks trade on the ASX. The reality is far different from that fiction. Today there are over 20(i don't know the exact number) dark places or 20 different execution venues in the marketplace where trades can and do occur, and prices between those venues are changing very quickly.
What typically happens first when a client enters a trade is that ,within a manner of milliseconds, there are a whole lots of checks that go on. Then the routing technology that they utilize actually scans the entire marketplace in a matter of microseconds to help determine the best venue to send that security to, taking into consideration the amount of the order. you've got a bid price and you've got an offer price. The different between the two is called the spread. quite typically in today's markets, that spread is as little as a penny (otherwise you have arbitrage opportunity) So markets have tightened. But the consequence of that is that, many times. the size of an offer does not meet the needs of the entire order.
To illustrate you an example, say you want to buy 20,000 shares of BUB stock, and the ask price price is $0.295 cent per share. When you see that, you might be misled into thinking you can purchase your whole order at $0.295 cent per share. However, when you look at a real-time quotation, there are only 10,000 shares offered at that price. So circling back on their routing technology, they look at a lot of of the factors: if there are 10,000 shares on one exchange, are there 10,000 shares available on another exchange? Then you should look at market markers and orderly markets exist in their marketplace to see if they can offset some of the size considerations of that order. Once all that happens, the order execution comes back. Typically that process happens in well under a second. In fact,typically its about half a second for an order to be turned around today.
To mention the 1M order, There are a couple different quotes in the marketplace. Typically, when you see a quotation at a site like Yahoo finance or google, thats whats called last-sale information. it shows you only the last trade that occurred ( delayed by up to 20 minutes during market trading hours). In very liquid stocks (Likes BUB), you could have as many as 5,000 or 10,000 trades in a single second in today;s market, believe it or not.
The next step in quotes is what's called the level I quotation, and the Level I quotation shows the real-time bid price and offer price and shows the size. Typically, you now find a level I quote when you log into your commonwealth account and pull up a stock quotation. At level II quote gives you a little bit bigger of a picture into the marketplace, showing not only the best price available(level I), but also the second, third, fourth, and so on. best prices available at the different exchanges on the marketplace. I t gives you a better idea of how much liquidity is out there.
Now, keep in mind, 10,000 share order can have impact on moving prices of a stock. Considering Bub is a very liquid security, 10,000 shares bidding for (or 1M shares bidding for) are more likely a limit order or maybe even splitting the bid offer. If the guy want to buy 1M shares, he obviously just increased the overall size of the marketplace, and that signals there's almost more liquidity available. By doing so (adding and cancelling orders), his order itself could send the stock higher, because somebody sees a very big buyer in the market. On the other hand, those orders will create an illusion for trading systems (brokers' platform) that there are more buyers for BUB stock. Consequently, the system will increase the offer price (maybe a penny). Thats how it works. >_>!lol
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