Obviously in this kind of pure arbitrage situation, the world would be a better place If seller A and buyer B are matched up directly. But rarely would this ki

Obviously in this kind of pure arbitrage situation, the world would be a better place If seller A and buyer B are matched up directly. But rarely would this kind of situation come up. There was this nytimes article a while back that describe something similar to the above scenario in context of a 'flash order', and I think everyone thinks this is what HFT is. For a normal retail order this should not happen. But for the flash order described in the nytimes article, the truth is a little more complicated. The buyers and sellers were not immediately matched up in that case. Why? The buyer was trying to hide the fact that they were trying to buy, by using a flash order. The gamble is they could find another pocket of liquidity before sending it to the open market. But in this case the gamble failed-- they would've been better off sending it directly. There are many controversies about flash trading and how it skirts Reg NMS. If you read the flash trading page in wikipedia there's some good info by the BATS people in the Forbes link.