The HFT can afford to provide a tight spread to Joe 401k, who typically buys at most 1 lot at a time. He can afford to do this because when there is a large sur

The HFT can afford to provide a tight spread to Joe 401k, who typically buys at most 1 lot at a time. He can afford to do this because when there is a large surge of demand, he has the ability to rapidly reprice his orders. I describe the process in a bit more detail here: https://www.chrisstucchio.com/blog/2014/fervent_defense_of_frontrunning_hfts.html https://www.chrisstucchio.com/blog/2014/fervent_defense_of_f... This enables market makers to price discriminate between Joe 401k (who pays less) and David Einhorn (who pays more).