If you had ever stood in an interest rate futures pit of consequence (5s, 10s, 30s, GE) you'd know that some floor broker stepping out and buying a 5 lot from some local standing near the bottom of the pit would never have registered. Zero fucks given. Most of those brokers are bidding and offering for 500 lots, 1,000 lots, frequently many more. It is loud, it is chaotic, and the entire top tier of the pit is ringed with locals and brokers shouting out bids and offers for SIZE. They have a couple clerks standing behind them holding their decks in timestamped order arranged by price. One of the clerks will have on a headset talking to the clerk working the floor booth outside the pit for that broker (where incoming orders are taken via phone). So, a floor broker bidding "eighteen and a half for 800" is likely trying to fill multiple orders. If he gets hit on 600 - the earliest time stamped orders get filled first and so on. Lots of partial fills for the later time stamped orders. Many orders get flashed in from the booth to the broker's clerk during the course of the trading session.