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Yes, it is a regular occurance to buy or sell in the middle of the spread
from customers, both institutional and retail. This occurs freqeuntly on
securities that are exempt from dislpay rules.(securities in which you are
working a block order, for example) In some situations it is positively true
that customers sometimes buy on the bid and sell on the ask. If price
improving is a violation of the rules (according to your theory) maybe you
should brush up a bit on price discovery, price improvement, and order
handling. Again, I reiterate, it is possible for customers, regardless of
their size to be eligilbe for price improvement. There is no bias from one
customer to another - it is my job as a market maker to find the best price
(sometimes it may be on Instinet and not displayed because it's an
institutional order) and fill that customer at the better price, hence, which
is in the middle of the spread. If you would like to discuss this further,
please e-mail me at rdzig@xxxxxxx and we can further discuss this without
hostility, like gentleman - like the RT forum is supposed to be.
Regards
Rich Z.
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