What are the incentives for an exchange or a bank to become a gateway ?
The primary one is transfer fees. Every time an asset they issue changes hands inside the Ripple network, the gateway can charge a fee. Bitstamp, for example, charges 20 basis points ($2 per $1000). The net effect is that a gateway's outstanding obligations shrink without them having to do anything. This applies to any transaction made possible by the liquidity the gateway provides, such as cross-currency payments.
Does this fee for cross-currency payments only apply when you are sending money to a recipient through the rippling system, or also when you explicitly place an order in the order book?