I just take the rough with the smoothe. Sometimes I don't get the price I want, but I tell you what, just as often I'm able to get through more volume than is on the bid or the offer without a requote.
If I don't like the price then I don't take it, there's plenty of other things I can trade. It's all about having discipline.
Besides, as much as requotes can be annoying, on the plus side I know my price before I've committed to the trade. I would be much more annoyed if they didn't tell me the new price until after the trade was done as can happen on the stock market. So it really doesn't bother me if I miss out once in a while.
As for the closing auction, I agree that it's useful, but I wouldn't dream of basing my whole trading strategy on a 10 minute bunfight at the end of the day.
