Curioser and curioser.... now I feel I have to go check them out further
EDIT - here goes, based on a survey of 6 assorted stations.
Sell Screen
Consumed by: green arrow if they pay more than the current station, red if less.
Produced by: green arrow if you can buy it for less than the current station will pay, red if it's a higher price.
This screen appeared to be very consistent with no anomalies seen.
Buy Screen
Consumed by: green arrow if they'll pay more than the price you can buy it here, red arrow if they'll pay less. (*)
Produced by: green arrow if they sell it for at least 20-30Cr (best guess figure, may increase with higher priced goods) less than the price you can buy it here, red arrow otherwise.
The margin on the produced-by goods may be to allow for the time and effort of going there for a small price difference.
(*) Occasionally a 'consumed by' price will be a little below the price you can buy at the current station (you'll make a loss) and still show a green arrow. I think the prices may not be including effects from Faction states at the named stations. This was previously seen with the Galaxy Map trading tools and may still be happening. More research needed.