Then suddenly, around 10:30 AM on Friday, the algorithm stopped entirely.
Nanex has the animation that helped them zoom in to the mysterious algorithm posted here.
So why would someone put out fake orders like this?
A trader explained to us that this is a high frequency trading firm's way of baiting buyers interested in purchasing a specific stock and forcing them to reveal their positions. Once the potential buyer has put out their bid, the HFT cancels the order and the buyer is left out in the open. Usually, its a set-up for another trading strategy the HFT is about to execute.