In particular I like the way the day closing prices are fixed in some market: everyone has five minutes to put all their buy and sell orders in the book (with no execution), then the price is set to the level that maximise volume and all relevant trades are done at this level. Doing that something like four times a day would be largely enough. If there's a news too close to the five minute, the exchange can delay by 30 minutes or one hour and that's it.