Nobody knows about a large order being filled cross multiple exchanges, at most they see a price level get filled at one exchange and take from that what they w

Nobody knows about a large order being filled cross multiple exchanges, at most they see a price level get filled at one exchange and take from that what they want. The majority of large cross-exchange orders are done via ISO orders which bypass routing mechanisms and exist for the sole purpose of executing large cross-exchange orders. Even if one doesn't want to lift the price, people trying to fill a large order generally route multiple orders to different exchanges. An HFT might see one price level go away before another even with the ISO mechanism, but it's far too late to act on that information by the time it's visible on the lit markets.