[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.