This is how the Taiwan exchange used to do matching, and I still think it's the best system I've seen.
I don't think the reason has anything to do with price discovery, it's just because exchanges want to maximise their trading fees. Continuous order book trading leads to more trades and hence more profit for the exchange.
They also charge differently (extortionately, some might say) for different speeds of data feed, although I'm not sure if they have tiers just for HFTs.
I don't think the reason has anything to do with price discovery, it's just because exchanges want to maximise their trading fees. Continuous order book trading leads to more trades and hence more profit for the exchange.