my understanding is that these are computerised trading programs working on weighted averages within parameters set by the operator. If a person was paying brokerage on these trades quite clearly it would be ridiculous so I wonder if these are mainly just trading programs run for their own account by a broker?
I believe that Deutsche Bank were using them a while back.
Happens in lots of stocks but stocks like CST with very low liquidity and thus wide shareprice spreads seem particularly attractive for these bots.
Paperwork would be pretty horrific, you'd think that the costs involved and the tiny number of shares traded in each trade would eat up any profit involved.
This is not a bad explanation of a bot:-
http://tradingsharesonline.com/articles.php?article=181
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