In many jurisdictions, equity market regulation requires traders to honour the best quotes on all marketplaces, often forcing brokers to split large client trades among multiple markets. We document that multi-market trades have almost double the price impact of single-market trades, even for orders that originate from retail traders and after controlling for order size. Markets reacts strongly to multi-market trades: 90% of such trades are followed by order cancellations at sub-human speeds, and 45% are followed by aggressive orders in the same direction as the trade, leading to clusters of activity that together account for 67% of dollar volume. Most of these follow-on trades are submitted by a small number of fast traders. Using a market organization change that exogenously curtailed the fast traders’ ability to react, we show that their actions increase the price impact.