Thanks! I didn't realize that exchanges need to route orders to any other exchange with a better published price. That's a great rule. I assume that most ATS's are located within a short distance of each other.
> "I assume that most ATS's are located within a short distance of each other."
... if only. Reg NMS is a massive headache. This sort of price convergence would be better left to the arbitrageurs. Let the market deal with the light speed issues instead of trying to regulate physics.
Really helpful post. Thanks for the information.