[JumpCrisscross]

Most trades will execute at something near but worse than the instantaneous NBBO.

Let's say the market is 147.05 at 148.30 (I, as the market maker, am willing to buy at 147.05 and sell at 148.30). That's the NBBO. If someone IMs me and says they're willing to buy at 147.10, that moved the market and thus the NBBO. I am required, by law, to report that trade to the consolidated tape.

But if someone IMs me and says they're willing to buy at 147, that's worse than the NBBO. I would then consider lifting at 147 and selling at 147.05. Why would someone buy at worse than the market? Maybe the market was 147 when they put in the order and their computers were slow to catch up. Or maybe they're George Soros placing a multi-billion dollar bet and know that if they put an order into the NYSE it's going to execute at much worse than 147. Either way, I functioned as a market maker by taking their problem and making it mine.

[foobarqux]

Did you mean to say that the person in the second example is a seller? (147 is cheaper for a buyer than 147.05, the NBBO. You "lift" an ask not a bid).