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I think you're simplifying too much. The example being repeated in relation to the book and IEX is you have a 100,000 order, 25,000 displayed at the same price, say $10, on each of 4 exchanges.

You might think you can fill 100,000 @ $10 and allegedly many people did. In fact if the exchanges were consolidated into one you would be filled.

It seems to me a displayed order should be able to be traded and not behave in a seemingly prescient way by disappearing when the order is made.

In an ideal world would the latency between exchanges serve any beneficial purpose?



Think about CAP theory, and the markets as a distributed system. How is the ideal you're looking for achievable?


It's not achievable (although maybe periodic batch auctions would help), it's a thought experiment as to why this particular scenario isn't quite the same as reacting to a large order in principal. Specifically you cannot decide to remove orders during the initial transaction of a big buyer or seller.




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