Pretty much everyone doing "real" trades will look at things like VWAP (volume weighted average price) rather than just the pure bid/ask quotes because everyone

Pretty much everyone doing "real" trades will look at things like VWAP (volume weighted average price) rather than just the pure bid/ask quotes because everyone knows bid/ask might not reflect the true market value. Indeed in many circumstances you may well be required to benchmark your trades against something like the VWAP to prove you're acting in the best interests of your client (getting good deals rather than pushing deals to your favourite brokers who give you the largest kickbacks). Some exchanges do in-fact prohibit such actions by having fill ratio requirements (a certain percentage of your quotes have to convert into done deals) or minimum quote times (your quote has to be dealable for at least x milliseconds before you cancel it) and just kick off anyone who breaches them.