I think this is a common tactic of HFT algo's from hedge funds and institutions where the bots put a large block on either the bid or ask in order to guage the buying or selling sentiment at the time and immediately cancel the order.  They have "faster" access to the exchange networks or something like that and can see orders coming down the pipeline before it gets executed.  And such fake orders, although not always of such size, are done numerous times throughout a trading day.


That is why there should be a rule where any order placed cannot be cancelled until 10 or 15 seconds later in order to eliminate these numerous HFT algo fake orders.