UT (Tax & Chancery) UT-2022-000134 UT-2022-000135 UT-2022-000137 - [2025] UKUT 00214 (TCC)

Mr Kasapis disagreed with Mr Creaturo’s opinion that market participants would pay regard to any volume skew on the stack. Mr Kasapis’s evidence was that whilst other market participants would know that the visible orders did not represent all the liquidity at any point in time (because of iceberging of orders), they would nevertheless be able to identify that the Large Orders were not part of an even larger iceberged order (as someone willing to show size of, say, 250 lots, would be considered to be unlikely to be hiding more).

When challenged as to how market participants would know that the visible 250 lots were part of a single order (as, in contrast to the way the Replay graph was presented by the Authority for the purposes of these references, the Bloomberg Escalator showed the number of lots available at each price point without separating that information into orders), Mr Kasapis said that market participants would see the increase in volumes when the Large Order was placed and that the number of orders had increased only by one. Whilst the Tribunal finds that the total number of orders live on the stack at any particular point of time was shown on the Escalator, we do not accept that human market participants would be able to unpick this in real time, and we had no evidence that, in a fast-moving market, algorithmic traders were set up to unpick the activity by millisecond to identify that a particular number of lots was part of a single order.

The Tribunal finds that other market participants would expect that there was more liquidity than was shown on the stack, but whilst they may have made informed guesses based on their own experience as to the amount of invisible liquidity, they would generally assume that the shape of the stack reflected the level of supply and demand.