Nanex ~ 8-Feb-2013 ~ Beware of Midpoint Match Orders
Some algos will fill your price based on the midpoint of the NBBO (National Best Bid/Offer).
Sometimes figuring out the NBBO is difficult, as in the stock of CBNJ on February 8, 2013. Those thick lines of color are hundreds of thousands of changes to the Best Ask
price in this stock: which ranges from $8.96 to $9.05 from 5 different exchanges. About
25 times a second, all day long: 350,000 quotes and 6 trades over the entire trading day.
If all stocks did this, there would be almost 3 billion quotes each day.