Quote from t1ck3r:
Regulation NMS is changing our world.
http://www.sec.gov/rules/final/34-51808.pdf
Exchanges & ATS's mandated to share top and depth of book.
At present most only share top so based on this rule they ship orders to fullfill obligation of quoted outside markets then conduct a sweep or auction to finish up the order local.
When depth is included, this opportunity to get filled beyond a public bid and ask will be mostly a thing of the past.
But there is always the Dark Pools.
Happy Trading,
Greg