&gt;(as well as your first paragraphs) demonstrate that this &quot;liquidity&quot; isn&#x27;t real in the first place, and gets withdrawn if anyone tries to trade on it.<p>Where?  I have explained that it is real.  The confusion stems from thinking you can sum up the orders at each exchange.  It would be like seeing the same house on three different real estate websites and then thinking you can buy three houses.  They are the same house. Listed three times.  The liquidity listed at the 13 different US equity exchanges is listed by the same market makers, so you can&#x27;t sum it.  Do you understand?<p>&gt;But in an order book, orders are supposed to be firm and executable. If they aren&#x27;t, the market is rigged. As it very clearly is.<p>How aren&#x27;t they executable?  No one can see your order coming.  If you send a single order to NASDAQ or any other exchange it will execute. They are all executable and firm at the exchange level.  Nanex seems to think you should be able to execute everything visible at all exchanges at once.  You can&#x27;t.