At the risk of stating the obvious: the real HFT firms have run perfectly straight fiber between the exchanges (and/or use microwaves), and pay large amounts of

At the risk of stating the obvious: the real HFT firms have run perfectly straight fiber between the exchanges (and/or use microwaves), and pay large amounts of money to have their cage closest to the order machines. They've rewritten operating systems to shave more time. They know everything you are doing - they see every order before it executes. They will see your orders, and change the prices before yours go through. You can watch this happen in real time. You may be able to pry a few pennies from them while they are dealing with larger orders, but you ain't going to beat that set up. Anecdotes to the contrary (I made money doing it!) are meaningless without an accompanying risk analysis. You can sometimes gamble a winning a penny vs losing a dime and win. That doesn't mean the expected value is positive, regardless of the results of some short term run. If I had software that could beat the HFT firms I wouldn't be selling it to low-level consumers, I'd be either beating them at their own game or selling it to them for the hundreds of millions to billions that it was worth.