Can someone explain why the SEC rules insist you must buy from the exchange with the lowest price first? It appears to me to be a rule just to keep the small exchanges alive.
And retail brokers already do what you suggest. All their marketable flow gets sold to off-exchange market makers, while their limit order flow gets routed to exchanges that pay the highest liquidity rebates, Reg NMS just mandates what price it can trade at: http://news.indiana.edu/releases/iu/2014/02/study-of-potenti...