i&#x27;m clearly talking to a real expert here.  sure, i&#x27;ll pretend it&#x27;s 1996 again, and I haven&#x27;t spend the last 19 years making a living trading equities.<p>1.  send limit order
2.  broker sells said order to timberhill (ib)
3.  timberhill places limit order on exchange -- let&#x27;s call it the nonsense exchange since that&#x27;s exactly what it is. 
4.  timberhill bids the same price or say 1&#x2F;100th ahead of my order (leans on me) on real exchanges.
5.  timerbhill takes the next trade at my price while leaving me unfilled (my order still hasn&#x27;t executed even though it should have).
6.  timberhill offers the shares i should have bought at price inside the current best offer.<p>it&#x27;s funny;  i checked your blog posts about hft, and your solutions are the opposite of what&#x27;s required to end the bullshit.  the market would be much better served as a real marketplace if it enforced the penny increment rule (brokers currently sub penny the fuck out of every order on the market in the name of phony &quot;price improvement&quot;), and it consolidated venues (most trading venues today are holding places for customer order flow to be ripped off in the manner i&#x27;ve already explained).