Why not just make the feed the end all? Don't let delegates publish feeds, let them decide which exchanges should be used to discover the median price. Then the median price feed from all third party exchanges along with their prices in real time should be displayed in the GUI. It should update as close to real time as possible. Then you just don't allow any order away from the median feed at that given moment to execute. It will always be true to the outside value of BTSX. Not sure if it's possible but sounds good.
It sounds horrible. You'd be giving an immense amount of control to utterly un-accountable third-party exchanges.
Currently there's a delegate in the loop to decide which exchanges are reliable, what data to use, how to pull or combine data from multiple exchanges, etc. That delegate is accountable to BTSX shareholders because they can always be removed.
And this proposal is also basically technically impossible. Because everybody has to agree on what the exchange says -- which we can't do unless the exchange publishes signed timestamped price notifications. Of course we could have a "gateway" that takes raw data from the exchange and publishes a signed feed, but you're adding another un-accountable middleman with that approach -- we can only check what gateway said the price feed was. But, you say, we could have multiple gateways, all publishing their own feeds and cross-checking each other. But then you have a bunch of message spam for tiny price movements, so you have to impose transaction costs on the gateways so they don't publish trivial updates too often. And it would be nice to have a method to remove gateways if they're misbehaving.
So if you take your idea to its logical conclusion, taking into account real-world engineering constraints, what you end up building is...exactly the system that's already in place, where the "gateways" in the above description are the delegates.
Oh, and btw, having everyone's client continuously contact a single third-party site is problematic because it imposes a lot of bandwidth costs on that site without compensation, inviting them to ban us or even driving them out of business. Plus there's privacy implication -- if the site notices transactions to/from a certain address tend to appear on the blockchain when a BitShares client from a certain IP address is active, they've effectively de-anonymized someone.