Market depth is atm pretty much non existent unless you want insane slippage so spikes are a very natural part of this kind of situation.
+1
I didn't look carefully into it, but I feel that volume traded during spikes is significantly lower than what was available in the order book moments before, implying that many orders are automatically cancelled, and were there just for display.
Has anyone looked into this? "The wall observer" thread is too slow for this purpose.
I'm pretty sure that less than 10% of the orders are automatically canceled, because the volume traded has been matching the spikes pretty close. I have been watching closely these past few days.
