[andrew1]

Well, here's a situation where it can't happen:

    Exchange A: Price you can BUY  ACME Co. = $34.50       
    Exchange B: Price you can BUY  ACME Co. = $34.45    
    Exchange B: Price you can SELL ACME Co. = $34.40    
    Exchange A: Price you can SELL ACME Co. = $34.35

[tastybites]

Sure, but what would the people paying more be getting? Less volatility? More assurance that their price is closer to long term averages? How is that possible?

Is this possible because the market maker ensures some kind of buffer from the HFT shops in exchange for a bigger spread?

I'm not in this field so I ask from ignorance.

[yummyfajitas]

You can't pay more - it's illegal (see RegNMS). You must buy on exchange B before buying on exchange A.

[andrew1]

There are markets outside of the US though, where it would be possible to buy on the more expensive exchange.

[andrew1]

I think you're generally right that people would normally choose the better prices. A few hypothetical reasons why someone might not could be: once fees/commissions are included the exchange with the worse price could actually be cheaper; an exchange might offer a rebate based on volume so trading on the more expensive exchange could help someone gain a larger rebate; if you wanted to trade a large quantity immediately in one order, and your quantity was greater than the quantity available at the best price, then you'd need to eat into the order book, and the resulting average price might be cheaper on the more expensive exchange; you might be banned from the cheaper exchange and so would have to trade on the more expensive one.