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as in the picture.Before I placed an order.The best ask was 0.35 and did not move at all.This option's volume was very low.

And then I placed a 0.30 sell order, size was 73. Suddenly the best ask size grow to 2k.Someone is following my order.

I repeat updating my order lower the price to 0.15. And so it goes to 0.15.It will always follow me.

I'm using IBKR and have real time price data they even tell you the bid and ask came from which exchange.So I guess the price data should be authentic.

This behaviour could also be found at high volume options like AMD and NVDA's stock and option trade, but in a much shorter time period.

My question is who is doing this and how can they make money by doing this? The market maker's auto trading programs?

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When a security is illiquid, there is an absence of buy and sell orders and therefore the B/A spread tends to be much wider.

If an order comes in with price improvement, the market maker or any trader may wish to remain the best bid or best asked. To do so, they utilize a pegged order which allows their limit order to self adjust, subject to a limit price. I suspect that is what is happening here. Read my answer here for an explanation.

Interactive Brokers offers a long list of algos and order types.

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  • clear answer. thanks. I used to adjust manually. never learned how these types of order works.
    – oyss
    Commented Nov 19, 2021 at 20:29
  • I'm familiar with many of these orders from paper trading with them many years ago but I have never used them IRL because when you have a lot of open orders, I find it to be a headache remembering which ones have how much leeway. So I set price alerts and adjust orders as needed. Commented Nov 19, 2021 at 20:58

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