Thank you for the detailed information. Every time I came here to reply I got sidetracked reading about something you mentioned.

Your description of price discovery was illuminating and reminded me of the Law of One Price. It sounds very official when they call it a law.

I had not heard of "lit" markets, but found a source that says "a market is lit if its orders and quotes are viewable by the general public and dark if they are not." Simple enough.

it's interesting that you mentioned stock price proximity to multiples of ten because that is something I wouldn't expect someone outside the industry to even know about. Are you a shark trying to extract info?

Of course you will understand that the Shark Code prevents me from answering in the affirmative.

I learned my lesson on the stock market riding the early downward slope of the dot com bust. Watching my brighter friends try their hand at investing has mostly reinforced my feeling that it is something best left to the professionals. I bought my first "For Dummies" book on the advice of a friend and have since then parked my 401(k) in an index fund.

The multiples-of-ten idea comes into play as soon as you apply a little game theory (what do I know that they know that I know...) to bidding on eBay. I have also noticed peculiar discontinuities around the round numbers of the Bitcoin market depth charts.

There are big jumps at round numbers like $1000 and $980, and also little parasitic clusters a few cents away from those numbers.

Thanks for the links on transaction prices. I am still a bit in the dark about the market maker's role compared to that of the individual investor, but still found your overview a fascinating look at how HFT works, especially the parts about algorithms anticipating and competing with one another.