ralphkaz....
You first mistake is to listen to board noise.
The way I understand gray trading is that a broker just calls around to find a matching trade.
"How do I know I am getting the best price for a stock I gave a buy or sell order for?
Most firms use automated systems to process the orders they receive. This automation, to a certain extent, means that each order will be processed as it is received. However, since a broker has to evaluate the best execution for each trade and examine which competing markets offer the most favorable terms of execution, he should try to take advantage of "price improvement", which is the opportunity, but not the guarantee that an order to be executed at a better price than the currently quoted price. In doing so, the broker also has to consider other factors such as the speed and the likelihood of execution."