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Time and sales shows trades, not orders. You are most likely seeing off exchange block trades being matched in dark pools and other block crossing venues and reported to FINRAs TRF.


Three possible explanations, 1) From a recent PhD thesis, this could be part of an aggressive HFT strategy that tests how the market reacts to such large orders. See Adam Clark-Joseph's exploratory trading paper. 2) If the order is in a Large Cap Stock or liquid ETFs, it could be a large fund filling a block trade. Think about it if your a fund manager, if ...


It depends on the smart order router that you've chosen. Generally no. However in your example it appears that you are referring to passive execution on both ends, and there are smart order routers that preference the highest rebate, in which case you might find high correlation - note this doesn't mean that the venue where the entry leg is executed causes ...

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