Let's take Citibank, the thickest and highest volume stock on the NYSE, and also (one of) the slowest. Citi is 4.89 x 4.90. They start paying the 4.90s and it takes out all but EDGX, NSDQ, and ARCA. Then, it's just NSDQ showing 2500 (250,000 shares), and then, the next instant, it it now 4.90...