There is no way to send an 'exploratory' order as you describe and is is, as you suspect, impossible to cancel an order that has already been executed. The onl

There is no way to send an 'exploratory' order as you describe and is is, as you suspect, impossible to cancel an order that has already been executed. The only way the example in the article would be if there were no other available sellers at a price below 26.41 (in which case I'm curious why an algo would bother sounding starting at the low end instead of the high end. The only ways to get such a wide market would be for all the other sellers to have disappeared (in which case the buyer is not disadvantaged by the HF algo because he is getting his order done rather than not) or for the HT algo to have made a guess that other people would be willing to pay a higher price in the future for BRCM and bought all of the shares available up to and above 26.40 which is the definition of a short-term trading strategy and, I should also add, full of risk that the price that you just pushed .30 will fall back down without you having a chance to get out hence making it a losing trade.