A detailed exposé on how the market is rigged from a data-centric approach

I'm glad you brought this up, because this kind of thing happens precisely never on a financial exchange.

If you go to a store, the store owner sees you take your apples up to the counter, and so he can theoretically change his price before you get there (although in practice, if he ever did that he would soon be out of business).

On a financial exchange, the market maker doesn't even find out that you wanted to buy until the trade has already happened. It is literally impossible for the market maker to change his price, because he doesn't find out about your order until it's already occurred.

What is possible is that the market maker is also quoting on another, totally separate exchange, and he decides to change his prices there, in reaction to seeing a big order on the first exchange.

It's like an apple seller who owns two carts in different parts of town. When you come to his first cart and buy all his apples for $2, he guesses that maybe you are going to go over to his second cart and buy all the apples there as well, so he calls his business partner who's running that cart, and tells him to raise his prices to $2.50 - which makes perfect sense as a business strategy, because demand has gone up.

Note that he only raised his prices because you bought all the apples at his first cart. If you just bought one apple out of the hundreds he has (because you're a small investor, not a giant investment bank) then he wouldn't bother to raise his prices.

As a non-trader, my question is:

Were the 24k shares being offered by one seller/broker, as in "I have 24k shares to sell at 17" or was the 24k just an aggregation of the availability all the smaller offers?

If the former, it seem to me that the seller is cheating, if it is the latter then I can see how the HFT systems would raise the price in response to a sale, but I also see how frustrating that is to the buyer.

I wonder why these trades are not being performed in parallel across the various exchanges, partially preventing this kind of arbitrage?

> This is a standard market dynamic and one that makes the markets work.

I don't believe this is necessary to make markets work.

Please don't be so rude, it doesn't add anything to the conversation.

There are many markets where you list a product for a price, and are legally bound to sell them at that price.

Those markets function, proving that withdrawing quotes is not necessary to make markets work.

> Were the 24k shares being offered by one seller/broker, as in "I have 24k shares to sell at 17" or was the 24k just an aggregation of the availability all the smaller offers?

The shares were being quoted on different exchanges, at the same ask price. 24k was the cumulative volume that the buyer wanted, but that couldn't be fulfilled by a single exchange (the quote was for a smaller volume at that price). Therefore, to buy 24k shares, the buyer needs to trade twice, once at each exchange.

> I wonder why these trades are not being performed in parallel across the various exchanges, partially preventing this kind of arbitrage?

As has been pointed out, this is what a good broker will do - they will compensate for latency to make sure that bids arrive at differing venues at the same time to prevent the market shifting underneath them. A naïve broker will simply send out the bids at the same, and latency means that they arrive at different exchanges at different times. This lets the sellers at the more distant exchange move the market in response to the information of the trade being executed at the closer exchange.