Coming from a perspective of competitive multiplayer game networking, that seems insane. You can't trust the client. An ideal stock exchange, I'd think, would include the same sort of logic as a payment processor: blocking any orders that seem to be "not the sort of order this client would make", to prevent e.g. orders being executed by people who have illegitimately gained access to the account.

Of course, these type of algorithms typically take far more than microseconds to run—but that's fine, as long as they take the same time for everyone.