On April 22nd we witnessed large orders appear then quickly disappear on the Facebook NBBO. This behavior seems to be in line with what Nanex describes in this post re: Facebook Liquidity.
The depth of the order book is used by humans and machines alike to gauge sentiment and determine how well a market can absorb a large buy or sell order, however when quotes like this are ‘flashed’ often enough, markets can be distorted.
Note that the Market Maker in this case is DirectEdge, whose CEO is a proponent of High Frequency Trading.
All three snapshots of the NBBO were taken within the same 30 second period…