Strat,You are sort of correct. A broker is only allowed to cross...

Strat,

You are sort of correct. A broker is only allowed to cross shares to himself at the market price determined by the buy and sell prices. So they enter a dummy bid or ask of only 1 share so as to bring the buy and sell prices as close together as possible, thus fulfilling the requirement of the rules. Then they cross the shares and then remove the dummy bid.

The one share bid also theoretically sends a signal to other brokers to hold off fo a few seconds while the transfer occurs, so that they don't muck the transfer pricing up. But in an actively traded share, you will sometimes get normal sales taking out the one share bid, and thus the broker will end up reversing it soon after.

Equally, when dealing with an active share it is often not necessary to put the single-share bids on, because the market gap between buy and sell is usually minimal. Thus the broker can simply perform the crossing within the allowable rules.