I noticed an interesting thing when studying ARCA book depth for IWM offers. I plotted the best price vs. the marginal price paid by consuming all shares up to and including the price 0.25% away from the best price. Times are CST. At 10AM CST a large number of offers to buy showed up between the best and 0.25% away from the best, increasing the average price difference from 10 cents to 40 cents. At 1PM the market moved up and either all the orders were filled or canceled and the relative spread decreased from 40 cents back to 10 cents. Coincidence? Do large players really tip their hand by letting their orders test on the books, or do they cancel as the market moves towards them.