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Comment Re:Truth or dare... (Score 1) 617

Eve places a bid at $24.99 for Alice's share, the exchange accepts, and then Eve immediately cancels the bid order. Eve has just learned that Alice is will to sell for less than the sell order posted. Eve then continues placing bids on Alice's stock, $24.98, $24.97, $24.96, etc., each time immediately canceling the buy when the exchange accepts the bid. Eve gets down to $23.89, at which point the exchange does not accept the bid for Alice's stock. Eve has just learned that Alice is willing to sell for as little as $23.90 and all of this has happened within 10s of milliseconds.

You have no idea what you're talking about. The exchange does not issue Accepts based on other orders in the market. Furthermore, when a quote crosses an existing order the Accept and Fill are generated at the same time - it is not possible to cancel the order between those two messages.

"We learn from history that we learn nothing from history." -- George Bernard Shaw

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