Under Reg NMS, only the top of book is protected. The ECNs aren't obligated to route out after your market order takes liquidity at the best price level. This has nothing to do with dark books, late trade reporting, etc. Talking about this subject with reference only to size at a price, but not what venues are posting, is pointless. It's very common, and completely legal/expected to trade through. It's up to you to know how best to route your order in order to avoid it.
Thanks Trom, now we're getting somewhere and I'm learning something. I'm aware of the anachronism that is the trade-through rule and the arguments for and against it. Personally I think these days it's a case of buyer beware and if you aren't diligent enough to look at the book before placing an order to see what sort of fill you are likely to get then you deserve everything you get. It had its value back in the day, but now it just inhibits speed of execution. Could you please expand on your thoughts, or if you're not inclined point me in the right direction for some recommended reading on the web? In particular I'm interested in how you determine the best routing for your orders.
As a general example: You send a market order to buy 1000 shares on NSDQ. The offer looks like this: 100 NSDQ at 10.01 200 ARCA at 10.01 100 EDGX at 10.01 500 ARCA at 10.02 5000 EDGX at 10.02 200 NSDQ at 10.02 1000 NSDQ at 10.05 200 ARCA at 10.05 When you route to NSDQ they will first fill from their own book. They are then are obligated to ping the other VISIBLE quotes at the best price level in order try to fill the rest. In this case, you would get 500 shares from all the ECNs at 10.01. In this example, assume ARCA has 1000 more in undisplayed reserve size. After the first price level, NSDQ isn't obligated to route out. In this example, you would fill 200 more shares on NSDQ at 10.02, then the remaining 300 on NSDQ at 10.05. The 10.02 and 10.05 would appear as through prints, since ARCA would still be offering 10.01 from reserve. It doesn't always work exactly like this, since the various ECNs have different routing options, links to dark books, etc. It's constantly changing. I'd suggest www.advancedtrading.com and www.nasdaqtrader.com -> News Alerts -> Trading Products -> Equity Trader Alerts to stay on top of this kind of stuff.