> they claim that you'll "buy and sell at the best possible price"; I'm not sure how they are able to make this claim [...] My guess: they already advertise th

> they claim that you'll "buy and sell at the best possible price"; I'm not sure how they are able to make this claim [...] My guess: they already advertise that they are constantly getting market prices from multiple sources - so they simply run a Best Price Execution algorithm for every trade and use the current state of their (locally cached) total market state. So a trade may get matched up against multiple bids, where a single bid may not be enough to satisfy the full order amount. So they apply BPE (think of it as a greedy algorithm) and find the next best available price to complete the trade. Iterate until the entire trade is matched and that's it. Disclosure: I work for a betting exchange. We do BPE.