One thing to take into account is that volume should be the last factor to understand the liquidity in an instrument or an exchange. Perfectly matched orders, which have the same price, volume and submission time according to the summarized features, guarantee the execution but are obviously easy to be suspected as market abuse trade by the speculators. Therefore, to avoid being easily detected, smart manipulators design the wash trade orders to be mostly matched.
There are few ways to detect wash trading across an orderbook:
- Tight submission intervals between the matched buy and sell orders (to minimize the risk of the orders being unintentionally picked up by other traders).
- Executable prices (to make the orders an immediate execution).
- Mostly matched volumes (to minimize the risk of loss from the unmatched volumes executed with other traders).
Since wash trading is not a legitimate trading activity, each participated trader tend to maintain their own positions unchanged in order to minimize the potential financial loss.