Market makers put lots of quotes (orders) out on the various exchanges hoping to buy low and sell high, collecting the spread between the two. These days spreads are very small so market makers have to rely on automated quoting in order to make a profit. A side effect of this is that when markets are moving quickly the algorithms tend to take a conservative approach so the firm doesn't end up extremely long or short in a position. So when someone comes in and tries to buy up all the open orders at once they'll cancel their orders on other exchanges that haven't been executed yet so they can reprice to reflect the increased demand. The phantom liquidity really isn't much of a mystery when you look at it this way.
Because you may no longer wish to sell at that price. Similar to the way that if you have a house on the market and someone makes an offer you don't have to accept it.
It's not reasonable to assume that a human changed their mind that quickly. The idea of putting out an offer with the intention of changing your mind and letting a computer handle that process cements the point that its not a change of mind here, more likely an intentional misrepresentation of buying pressure - otherwise what's the point?
This is not what changing someone's mind looks like.
The point is to sell your shares at the highest price possible. Computers help you do that by reacting quickly to market information.
If someone sends a buy order to the exchange that quote is listed on for the same amount of shares, it will fill the entire order. What is happening here is that there are multiple exchanges and when the algo sees an order come in on one exchange it cancels orders on other exchanges quickly disseminating price information as liquidity evaporates at the current price.
The point of price is to disseminate information about the supply and demand of a good. When demand goes up price increases. The buyer is buying because he thinks the price will be higher in the future.
Both are motivated by profit, at a certain point the buyer will no longer be interested in buying at that price. The buyer obviously has a piece of information the algo doesn't and is equally trying to capitalize on the algos lack of knowledge of that information.
In the case in point the order was ~60% filled. The price the order was submitted at reflects the 'current' demand, not the demand after the order is submitted. It's pretty good to get a 60% fill when you are buying 83% of the currently available stock.
> It's not reasonable to assume that a human changed their mind that quickly
Those orders were resting there for a long time, it was not flashing.
Like you selling two adjacent houses and see a buyer purchasing one and wanting to purchase another. You understand that he/she wants the house really badly and increase the price for the second house.
