Here's my evidence that Rule 611 is more about protecting resting limit orders than marketable orders:
1. It's called the "Order Protection Rule".
2. It defines "protected quotations" and makes it illegal to trade through them.
3. It doesn't just apply to agency trading (where you could argue that it's meant to protect the client); it's also applicable to principal trades.
4. There's no allowance for trading off fees or latency or probability of getting a fill against price. For example, you can't choose buy immediately at $10.01 on Nasdaq instead of waiting for a 30ms round trip from Chicago at $10.00, because it's the quote on Chicago that's being protected, not you.
5. If you send an ISO order to an exchange (which basically says "don't route this elsewhere even if you see a better quote"), and it turns out that you traded through a quote somewhere, the SEC will fine you, because they're protecting that other quote, not your marketable order.
6. This quote from the SEC: "Many commenters on
the proposals ... strongly supported the need for enhanced protection of limit orders against trade-throughs. They emphasized that limit orders are the building blocks of public price discovery and efficient markets. ... by enhancing protection of displayed prices, would encourage greater use of
limit orders and contribute to increased market liquidity and depth. The Commission agrees that
strengthened protection of displayed limit orders would help reward market participants for
displaying their trading interest and thereby promote fairer and more vigorous competition
among orders seeking to supply liquidity." [1]
[1] https://www.sec.gov/rules/final/34-51808.pdf
