You're describing a shallow order book. This happens quite frequently in less-liquid markets. The transaction signature of a shallow order book is large orders prompting a pause in trading, as the order book is drained and refilled.

Contrast that to a hyper-liquid market like that for on-the-run Treasuries. You'll have a mix of price and time preferences, with some people wanting immediacy and others willing to provide it for a discount/premium.

The presence of continuous, non-volatile trading--particularly on the downticks, given a pegged asset--is very unusual. Enough so that I've never seen anything like it before in a properly-functioning market. Which is suspicious.