An Exchange should never execute orders in a way that then makes them anything over and above their transaction fee's.
There are several Matching algorithms that exchanges usually use this site goes into them:
https://sites.google.com/site/rajeevranjansingh/order-matching-execution-sideOne of the key things about an exchange is that they should be completely transparent in how this is done. One of the core things missing from the bitcoin market place is a regulator to enforce these kinds of rules.