[Lazare]

You would be peeved. Doubly so, because in the context of finance, that's actually illegal.

But the key word in your example is "simultaneously", and it's the thing that did not happen in this example. This is more like "I bought all the apples at the first cart, and by the time I got to the second card, half the carts had raised their prices, and most of the apples at the remaining parts had been bought by enterprising traders who decided there must be something special about apples all of a sudden".

It's hard to see the problem. Or the solution.

[nhaehnle]

There are two possible solutions.

The first solution is to forbid multiple marketplaces for a single virtual asset. Honestly, the service provided by these marketplaces is very simple, and could be provided by a non-profit organization that is bound by law to ensure low barriers to entry. This would be a win for everybody, really.

The second solution is to enforce that markets operate on a synchronized heartbeat with sealed bid changes. It would work somewhat like this:

T=0: Bids from the last heartbeat are published; market starts accepting bids for the next heartbeat, but those bids remain sealed T=1: Market stops accepting bids T=2: Trading engine matches bids, executes orders, and publishes all bids; market starts accepting bids for the next heartbeat, but those bids remain sealed (that is, the market is now in the same state as it was at T=0)

Have one time unit be something like a minute, and force markets trading the same asset to be sufficiently synchronized.

[Lazare]

Well, yes, those are potential solutions. But are they solutions to the problem we actually have? Indeed, what problem do we have?

Do we, in point of fact, even have a problem that needs solving? The core complaint is some unnamed institutional trader really wanted to buy a very large number of shares in one go at a very low price, while other institutional traders wanted to sell the shares at a higher price. Why are we meant to care who wins that fight?

[TheOtherHobbes]

Yes. We have the problem that the 'financial industry' is running some kind of insane MMORPG which excludes and abuses most of the population to make a fast buck.

What markets should do to be efficient is invest in clever, talented people doing clever, talented things.

Every step back from that is economically inefficient, because it makes it harder to create a population with deep reserves of wealth and opportunity.

Games like this one are the equivalent of having someone cut in front of you on the freeway in a semi.

It's not efficient, it's just banal abuse of a system that is supposed to reward good ideas and filter out bad ones.

[mmaldacker]

Your second solution already exists and is called an auction. Most exchange have an auction before market open and one after market close. Some even have auctions during the day.

[prof_hobart]

I think part of the problem is a disconnect between what the customer conceptually thinks is going on (a single buy request, as far as I can tell) and what is going on behind the scenes - a bunch of individual purchases being made by the broker.

If it wasn't possible for people not directly involved in those individual purchases to listen in and react to them quicker than the broker can fulfil the remaining purchases, it wouldn't be a problem. What is going on may well not actually be illegal, but as an individual trader it's not something you'd expect to be able to happen so it's definitely worth knowing about.