Just for interest: LIFFE has a rule that when trading short-term interest rate futures precedence is given to the first 50 lots on the bid/offer. Above that some kind pro-rata basis works (I believe). The result was (not sure now) that lots of traders programmed their software to enter orders in multiples of 1 lot. Often you'd see the bids/offers increasing/decreasing by say 100 lots in steps of 1. The NYSE rule is probably for the same reason. Doesn't take many people to split up big orders into lots of <100 to really snarl up the technology.