cevat The following may partially answer your question. Each day...

cevat
The following may partially answer your question.

Each day there are about 1000 - 2000 individual CCP trades and the average trade size is about 50 shares. Sometimes parcels of only 1 or 2 shares are traded. Generally, the only time when large trades are made is during the final auction. My interpretation of these trading patterns is that during regular hours CCP trading is dominated by bot trading. (Bots may also be a factor during the final auction!) I used to think that this was only the work of high-frequency traders, but I now believe that even regular institutional investors use bot trading to increase / decrease their CCP holdings.

One of the reasons bot-trading is used is because the buy and sell queues are too thin to allow regular/ traditional trading of significant parcels of shares. For example if someone put in an 'at market' sell/buy order for 10,000 shares, if only the shares waiting in the queue were used to fill this order, it would trade over a range of about 30 cents (about 2%). But that scenarios is unlikely to happen - it would be worse than that. Bot-bids are 'hyper-hyper-quick'. Before all to the 10,000 order had been filled, many of the bot-bids in the relevant queue would automatically be cancelled and 'disappear'. Consequently, some of the sub-trades could therefore, theoretically, trade at up to 5% above/ below what was the market price. And then of course after the 10,00 trade had been swallowed up, the bot-market would close back up again. The 'bot-owners' would make an instant profit.

I am sure CCP is not the only share where bots are used in this way. If you trade a small parcel of shares, none of the above is relevant, but if you want to buy/sell a large parcel, it is something you need to work around.

Please note that the above is not a qualified opinion, only a subjective view.

K