Looking at today's transactions on Mt Gox shows 17,159 BTC traded over 22 trades at the same time. That's about $5K USD ... presumably in a single transaction. The spread between the lowest and highest paid is 2.5% though most of the trade executed at the upper end, $0.2890. http://bitcoincharts.com/markets/mtgoxUSD.html
Is there anything that this transaction tells us?
I was wondering how much a buy of this size would affect the price. This one transaction represents 0.3% of all bitcoin in existence today. This one transaction was over half of all today's volume. Does this say that today there is a fairly efficient market?
You can fairly easily compute how much a large purchase or dump will move the market by reading the order book and doing a little math. There was even a site that had a calculator like this, but it is down now. A big order done slowly might get a better price if new offers come in, but you can roughly tell. But yeah, the market is much deeper and tighter than it used to be. $5k USD would have completely blown out all the bids or asks just 2 months ago iirc.