The sweep can lock down the market and hit successive levels. I've been in a stock with a lot of liquidity for 30 cents and in one print it's ALL gone.... and it all gets printed, Arca, ISLD, NYS, Bats, etc. then, afterwards, a few offer will come back to fill it in. I only trade the NYSE so I don't know if this is how it works on NASDAQ. I do see those successive levels pulling and reacting to the prior levels getting hit, but intermarket sweep orders should let you hit many levels simultaneously. I'm a piker and I never have more than 2k shares, so I've never had to sweep more than 3-5 price levels down, but I see people sweep massive amounts of liquidity all the time. Are those people on the exchange floors or right near the ECNs? Possibly, but I don't think so. I'll do some experiments and camtasia my results to see if I can conclude that some liquidity simply cannot be hit by a daytrader on a T-3 connection.