99921.....hope this helps:

google and download the pdf file from this site....

http://www.mccombs.utexas.edu/~/media/Files/MSB/Departments/Finance/Speaker%20Series%20Papers/OHara.ashx

I'll attach page 2 for starters...54 pages in all. When I was monitoring ECU trades back when,

as the share price was falling a vast amount....most... of the trades were 100 lots ;/

Algorithm trading seems to be the culprit IMHO...good luck...bg

Odd-lots are trades for less than 100 shares of stock. In the market, such trades were generally viewed as irrelevant: odd lot trades and volumes were small, and they were thought to originate from small retail traders and so would have little information content with respect to future price movements. On the NYSE, odd lots even had their own trading system. The convention followed by all market centers was (and still is) that only round-lot trades of 100 shares and mixed-lot trades of greater than 100 shares are reported to the consolidated tape. 1

Times have changed. The median trade size on the NASDAQ in 2008 and 2009 is 100 shares, dictating that now a large fraction of trades are odd-lots. Algorithmic trading routinely slices and dices orders into smaller pieces, creating a new clientele of odd-lot traders. Allocation protocols for crossing networks can result in odd-lot fills, as can clearing rules associated with particular order types (such as market-at-close orders). And the fact that odd lots are not reported to the tape provides incentives for informed traders to transact via odd-lots rather than use more visible trade sizes. Indeed, the emergence of high-priced stocks such as Google, where trading a round-lot requires an investment of $50,000 or more, has resulted in odd-lots constituting a significant fraction of trade for a subset of important stocks in the market.

Yet, none of this is apparent to researchers using TAQ data because TAQ do not include odd-lot trades.2 In this paper, we investigate the systematic bias that arises from the exclusion of trades for less than 100 shares from TAQ data. That the main source of transaction data for researchers is truncated for trades below 100 shares raises a variety of important issues both for current researchers using TAQ data and for the interpretation of results from papers using past