I am wondering about the whole notion of high frequency trading. Don't get me wrong, I find the challenge of high frequency trading interesting, at least mildly so from the programming point of view. But is it fair? There is clearly an asymmetry in the way that market participants get prices and quotes. Is the current bid/ask the best way to have markets? What if instead, you had no quotes whatsoever displayed, but only trades that took place. The role of the matching engine would be to match buyers and sellers, and expunge crossed and lock quotes. So if the hidden quote book were like this (I am assuming all size is 100 shares): Bids (in time preference) 4.99 5.00 5.01 5.10 4.99 Asks (in time preference) 5.00 5.00 4.99 5.05 5.03 The matching engine would look like this, and print out a trade: 4.99 5.01 4.99 5.03 5.05 Print trade at 5.00 The idea is that quotes would no longer be disseminated, only trades, and the role of the matching engine is to match two people that agree on a price at a given moment and maintain a hidden quote book. The matching would take place on aggregation of orders every five seconds. Hence reducing any speed advantages.