"This is a data structure problem at its core - the fact that someone entered one billion BUY orders at $15.51 should not prevent me from seeing that there's an outstanding order at $15.52. The stock market employs the queue only for legacy reasons."
(1) I'm not sure I understand what you're saying about price information. You seem to be saying that level 2 quotes don't exist. I assure you that for the major exchanges, level 2 quotes do exist, but they're more expensive than what most discout brokerages/Yahoo/Google give you.
(2) I'm not sure what you mean about queuing at price levels being a legacy artifact. There needs to be some objective rule for deciding who trades with whom when there are multiple participants at a given price level. In most markets, it's first-come-first-serve (a queue). I read that MS POOL was going to try prioritizing based on size, but I haven't heard anything since. So, if it's not first-come-first-serve, and there are two offers at $5.43 and a trader comes in and lifts one of the offers (not enough size to lift both), which of the two offers should get lifted?
(1) I'm not sure I understand what you're saying about price information. You seem to be saying that level 2 quotes don't exist. I assure you that for the major exchanges, level 2 quotes do exist, but they're more expensive than what most discout brokerages/Yahoo/Google give you.
(2) I'm not sure what you mean about queuing at price levels being a legacy artifact. There needs to be some objective rule for deciding who trades with whom when there are multiple participants at a given price level. In most markets, it's first-come-first-serve (a queue). I read that MS POOL was going to try prioritizing based on size, but I haven't heard anything since. So, if it's not first-come-first-serve, and there are two offers at $5.43 and a trader comes in and lifts one of the offers (not enough size to lift both), which of the two offers should get lifted?