This is all hand-waving. Neither you or tptacek have altered the fundamental reality:<p>&gt;In the scenario presented, the wholesaler receives your order, then executes its own orders, then fills your order based on its own executions (which you are unaware of).<p>&gt;The way they make money is not by changing the market against your interests,<p>Oh, but they do. They <i>fabricate an order</i> in response to yours. If they did not act, your order would not have filled at $0.001 under your limit.<p>&gt;but instead booking the spread (and in fact the reason they like retail order flow is that it is naturally uncorrelated so the spread is more even).<p>You can call it whatever you want, the wholesaler is manipulating the market to their advantage. The wholesaler knows the price is likely to improve, so it arbitrarily truncates your order and infills its own account with the improvements.