I was wanting to daytrade some DRL and to hold some longer term. The bid was 16.00 w/ 100 size; the ask was about 16.13 with shorts showing 1300 shares. I entered my order one cent below the ask, and the shorts matched me. When I saw that happening, I kept reentering my order one cent below the shorts who kept matching me. Along the way I sold a couple hundred shares at higher prices, but eventually bought was able to also pick up the 1,300 shares from the shorts at a reduced price of $15.98!
Those bots are great until they pull. you found a post-uptick rule "stepping short" equivalent algorithm. Congrats. You can't penny those MMs indefinitely. Three winning trades in a row you'll have, then when you see the most size, stepping down most aggressively, and you have a chance to take 2k shares, and you do, it pulls, and bids will chase up, and you are forced to hit out at the worst price.
Not sure what you mean at the end about taking the 2k shares regarding the impact on the bid price. I perhaps should add, of course I'm referring to a situation where you anyway are interested in the stock at around the price, that they gave it away even cheaper.
Pretty funny, Three Card Monte works similarly!! They get a sucker and tell him everybody is winning, they let him win a couple times then they talk him into betting bigger and he loses until he quits.