Back around the small panic during mid April, I tried to sell a large qty of XBT to USD quickly on an exchange. I expected that I would get current USD/XBT quoted on that website times # of XBT in my account. I was very wrong.
Instead, the exchange broke my transaction into several smaller transactions of various sizes, sold some quickly while others took as long as 30 minutes to convert to USD, and none of these sub transactions were converted at the price quoted on the site.
As I understand, that's because every exchange has Buyers and Sellers whose Orders are like virtual post-it notes on a bulletin board announcing their desire to buy or sell A amount of currency at P price, and the exchange just tries to "find good matches".
Is that true? And is it true that every exchange has its own algorithm for doing so and there is no "standard" for how such an algorithm should operate? If so, what info do I have to go on if I want to have a good idea of how much USD I will get for my XBT when I place a Sell order at Exchange X?