<i>My guess is that the algorithm doesn&#x27;t expect to make money out of that particular order, but rather guesses this is a bigger order that is being split (laddered if you will) into multiple small orders at different acceptable limits.</i><p>If the order is coming from a retail brokerage that&#x27;s a terrible guess - how often do you think someone goes into ETrade and tries to move $20M of GOOG?<p>Big orders come from institutional investors. Those are explicitly the orders that market makers are trying NOT to trade against, and that&#x27;s why they try to buy order flow. Order flow is known to come from players who <i>aren&#x27;t</i> making big orders.