I get that, but you only gather resources at the end of the month so doing it 30 separate times vs once on the 30th day should be the same. If it is not this is most likely a bug.
The market price updates instantly, that isn't the problem. e.g. buy 100, price goes from 0.8 to 0.82 or whatever. Buy 30x100 and it shoots up to 1.8 per unit or some other high value. (so it should cost the same if you buy 5x100 or 1x500, I haven't actually checked this though).
But, the market price also shifts back towards default values daily. e.g. after a trade it's at 0.82 on the 1st, 0.8 on the 2nd. If you trade huge volumes like the above it'd be 1.8 on the 1st, 1.78 on the 2nd etc... taking 1.00/0.02 = 50 days to return to normal. (I'm just using 0.02 here, I don't know the actual figures for increases in price or the nudges back down to default)
This means if your trade volume causes a shift in price equal to or below the amount it changes daily
(0.02 in this hypothetical example), then the market price never changes. The same thing would happen if you did the price changing monthly back towards default, you'd just spread the trades out to one/month... which is probably far more sensible and the intended behaviour... but then the market prices would be fixed in place during a month and you'd only see huge swings
at the end of each month, or absolutely no change in prices if you keep your monthly trades below the dampening effect on the market prices. (which would be x30 times as big as it currently is, if changes are moved from daily to monthly, 0.60/month change in the above example instead of 0.02/day, aka you could trade 30x as much, set up as a monthly trade and get the same effect as above trading 100 units a day if the dampening/day is turned to /month).
It's a bit like if you bought a tin of beans each day the price is £1.20 now and forever. (it increases by 1p per tin sold, decreases by 1p at the end of the day until the price hits the default £1.20 (or £1 with 20% market fee)
But if you buy a pack of 6 it's an average £1.225 per tin (1.20+1.21+1.22+1.23+1.24+1.25)/6 and it'll cost £1.26 if you want another single tin.
The day after it's £1.25 per tin (decreased by 1p), or £1.275 / tin if you buy another 6 pack and so on.
But if you bought those tins 1 a day over 12 days you'd only pay £1.20p per tin or £14.40 total
If you buy the same volume over 2 days, 6 per day it's £1.25 per tin or £15 total
You'd only be paying a tiny bit more <5% for small amounts if the price is changing by 0.01/day, but if you track the two options over months and years you'd have a significant divergence in prices and total spent. The divergence only gets bigger the greater the artificial dampening effect on the market.
To fix it you have to look at the way the market is returning to default values, how often it ticks (daily, monthly or x days after last transaction) and how big a swing it has towards the default values (0.02 takes ages for large swings, but completely smothers the effect of small regular transactions in the above example. 2% changes do the opposite, taking the same amount for small and absolutely huge changes making it nearly impossible to permanently change the price of any resource with large trades).
Another effect of the dampening is that it makes the market look dead if you aren't dumping thousands of resources onto it - every time you look it's stuck at the default values, it's supposed to be a representation of your civilian economy and if so it's an economy that's completely rigid and fixed in supply and demand but also able to absorb large fluctuations in military spending within a single day. Personally I'd add some noise that scales with your empire's economic power and have the noise merged with the dampening trend towards those nice, workable default value for each resource. Perhaps have trades reduce the nudge towards default values for a length of time proportional to the amount traded and economic power and have the nudges only tick at the end of each month so daily trades are the same as monthly ones.
Lastly, people want to see graphs tracking prices, personally I want to see those little stock market style... rate of change indicators? (The % change with little green or red arrows, preferably with a few momentum indicators so you can see the rate of change in price too). I think a new UI would show these sort of issues better and make it less of an annoyance trying to explain it clearly - the above examples would be a flat, horizontal line at 1.20 with tiny bumps at the end of each day (+1% then -1%) vs two straight lines shooting upwards (to +9.2% price) with a tiny dip down (-1%) in the day between the two purchases.