Because people who trade stock prefer it that way. You're free to setup a market that works in this way, and if consumers prefer it you'll make millions. I'd

Because people who trade stock prefer it that way. You're free to setup a market that works in this way, and if consumers prefer it you'll make millions. I'd hazard a guess because the point of markets is to disseminate information and the point of diplomacy is to keep information secret. Seriously, look at it like this, this buyer is a big smart human with a big brain that talks to other humans and likely knows 'secret' information about the company, lets say it's Wal-Mart and he's ordered satelite photos, etc to gauge traffic and knows they are doing well. He has all that information and all the algo knows is 'BUY 20000 @ $4.53' the algo disseminates that information to all the other traders by cancelling its quotes. The buyer pays a premium to gain 83% of the available stock on the market. It's like Mark Cuban and his Yahoo stock, if he dumped it all the day he got it the market would tank because there's more supply than anyone wants, so he wisely instructed his broker to sell over a longer period of time. The buyer could have chose to do this, or he could attempt to buy 83% of the available stock all at once in hopes no one noticed.