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&#x27;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&#x27;ll cancel their orders on other exchanges that haven&#x27;t been executed yet so they can reprice to reflect the increased demand. The phantom liquidity really isn&#x27;t much of a mystery when you look at it this way.