For stocks in the ASX 200 index, you will find sometimes the smaller parcels are the black box program trading or index arbitrage trading from bigger insto's. For example, today in NCM the last hour of trading, you would have seen the stock price move rapidly up and down. These were the machines looking for an equilibrium price to sell down to, but no buyers were available until below 39.00 and then the machines stopped generating sell orders. In other stocks you will see orders jumping ahead your best bid/offer within a milli second of you placing your order. The information this provides, is a reference to where the program traders are willing to buy(underpriced)/sell(overpriced) a stock relative to the SPI 200 futures.