> When in fact, the guy who put a $50m buy order at $98 will cancel it as soon as the price drops from $100 to $99. He never intends to let that order execute.

> When in fact, the guy who put a $50m buy order at $98 will cancel it as soon as the price drops from $100 to $99. He never intends to let that order execute. It's 'fake demand'. He's got some of the product and he's hoping that his $50m buy order is the gesture that fuels more demand, raising the price to say $105, at which point he sells his product, cancels his order, watches the price drop and buys some more product at cheaper rates. You can't reliably do that without a crystal ball. Let's say there is a total of $1m of buy at $99. Then Alice sends a $50m buy order at $98. Bob sends a $51m sell market order. It will immediately match $1m at $99 and $50m at $98. Alice cannot cancel her order. (if the market in question doesn't support market order, the example still works for a limit order at x<=98). If you change the example so that there's more depth above Alice's order, e.g. there's $500m at $99 and $500m is relatively large for the average daily volume, then maybe we can assume Alice will have time to cancel her order before it's executed. However, in that case you cannot claim that Alice's order will significantly affect the price. You can't have it both ways: if Alice's order affects the price then Alice faces the risk of having her order executed; if Alice has very high probability of being to cancel her order, then it means it's far from the best bid/ask, and it won't affect the market much.