Sorry I can't edit, I reformatted the bullets below: - Buyer wants to buy 100,000 shares at $100, but no single stock exchange (there are 13 in the US I believ

Sorry I can't edit, I reformatted the bullets below: - Buyer wants to buy 100,000 shares at $100, but no single stock exchange (there are 13 in the US I believe, soon to be 14) has that many shares available at that price. - But there are 50,000 shares each available at NYSE and NASDAQ each, so they send orders to each. - Their NYSE order arrives first, and the trade happens at $100 for all 50,000 shares - The HFT notices, and seeing that demand is high for the stock, increases their price on NASDAQ to $100.01 for those remaining 50,000 shares. - The buyer's order on NASDAQ does not trade, because the $100 is no longer available