Quote from Dogfish:
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Here is an example of how Liffe's order-matching system can work: An algorithmic trading model places an order to buy 20,000 contracts of a short-term interest-rate contract at a set price on Euronext.Liffe. That order represents the bulk of the orders at that price. A local also wants to buy 100 contracts at that price but neither of these orders was the first to be entered in the market at that price.
When a third trader offers to sell 100 contracts at that price, the exchange usually automatically allocates most of that order against the 20,000-contract order, even if the local's order was placed before the larger trade. The big buyer's trading program then quickly pulls the balance of the order.
The trading strategy doesn't violate Liffe's rules, or those of Deutsche Börse, because the algorithmic systems could, theoretically, be hit on their entire order. Because Liffe's own matching system is so complex, smaller traders aren't always disadvantaged because of the size of their orders.
The strategy makes it difficult for locals to get their trades completed. It also can leave them with partially filled orders, which in turn makes it difficult for them to trade on the relationship between contracts with different expiry dates, known as spread trades, as many locals do.
I've said it before will say it again "Strict Price Time priority"
This is just gaming the exchange rules.
When they have driven all the locals out the market who do they trade with each other, then watch volumes tank.
