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Re:Michael Lewis: shilling for the buyside? by minimax on Friday April 04, 2014 @02:02PM (#7533170)
There are a number of possibilities depending on whether you send in a routable order (it's a flag you can set -- route or don't route, and there can be fees associated with routing). What a sophisticated trader would do is send two orders simultaneously taking out the small 100 lot at 30.01 and the 10,000 at 30. The exchange with the larger but worse price order will accept your order if you set the ISO flag, indicating you have sent orders to clear out better priced orders at any market centers displaying a better protected quote.

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