[throwaway283719]

I'm glad you brought this up, because this kind of thing happens precisely never on a financial exchange.

If you go to a store, the store owner sees you take your apples up to the counter, and so he can theoretically change his price before you get there (although in practice, if he ever did that he would soon be out of business).

On a financial exchange, the market maker doesn't even find out that you wanted to buy until the trade has already happened. It is literally impossible for the market maker to change his price, because he doesn't find out about your order until it's already occurred.

What is possible is that the market maker is also quoting on another, totally separate exchange, and he decides to change his prices there, in reaction to seeing a big order on the first exchange.

It's like an apple seller who owns two carts in different parts of town. When you come to his first cart and buy all his apples for $2, he guesses that maybe you are going to go over to his second cart and buy all the apples there as well, so he calls his business partner who's running that cart, and tells him to raise his prices to $2.50 - which makes perfect sense as a business strategy, because demand has gone up.

Note that he only raised his prices because you bought all the apples at his first cart. If you just bought one apple out of the hundreds he has (because you're a small investor, not a giant investment bank) then he wouldn't bother to raise his prices.

[noxn]

I accept that your explanation makes sense, but the fact that this can happen automagically in an intransparent way when someone just wants to buy a number of shares at a quoted price just feels wrong. And reading a few other articles on Nanex also give me weird image of what happens in stocks in general.

Then again, I have no idea about these things and should probably shut up.

[throwaway283719]

Just remember that when you say

  "someone wants to buy a number of shares at a quoted price"

what you really mean is

  "a giant investment bank or hedge fund with some privileged
   information about a stock wants to buy so many shares that
   they actually need to go to multiple exchanges to satisfy 
   their demand"

and you'll be all set ;)