It makes sense all things being equal, but that isn’t the case. Even in the old consolidated system you had differentiation between the exchanges in the form o

It makes sense all things being equal, but that isn’t the case. Even in the old consolidated system you had differentiation between the exchanges in the form of exchange rules which led to Nasdaq specializing in different listings than NYSE. If you look at the commodities exchanges they were even more specialized and splintered until legal interventions made those specializations less valuable. It was governmental intervention that made liquidity the only factor in exchange choice.