How does a order get filled inside the spread? If a limit order is used, then that would move up the bid/ask and close the spread. If a market order is used, it will hit the existing bid/ask. Looking at the Time and Sales, there are a LOT of orders filled between bid and ask. How does that happen? Are these hidden orders?, dark pools, discretionary orders? Brokers offering "price improvment" and jumping ahead of resting orders? Flash trades? A hidden order does not move the bid/ask, otherwise it would not be hidden, so it is only on the book of one exchange unless the inside bid/ask move and it becomes marketable. Is it better to issue hidden orders on multiple exhanges to get a better chance of fill?