Because the broker isn&#x27;t doing the front running. That&#x27;s why it isn&#x27;t the currently illegal kind of frontrunning. They sell the data to other participants who have faster internet connections than you.<p>Basically any time you send a &quot;smart&quot; routing order, it is actually the least smart thing to do (unless you REALLY need the liquidity). Your trade order gets sent to all the exchanges, and ah I don&#x27;t really feel like explaining it.<p>tl;dr Someone intercepts your data packet to one exchange, and alters the liquidity on the other exchanges, so you get a partial fill and then adjust your order at the slightly worse price.