Now, even though there may be people out there willing to sell you the shares at 100,000, these programs can find out your top price, and they will but the shar

Now, even though there may be people out there willing to sell you the shares at 100,000, these programs can find out your top price, and they will but the shares at $26.10, and sell them to you at $26.39, thus making a profit of the difference. I don't think this can possibly be right, though, unless I'm not understanding the claim, exactly - any limit orders in the queue at any price between $26.10 and $26.38 would be matched against the $26.40 limit order before an order at $26.40 or $26.45 would be, so how the hell could the HFT algo even probe your top price if the market is "full" in-between? I think it more applies to situations where other liquidity providers would step in offering more shares somewhere near $26.10 if they had a chance to react, but the HFT algo beats them to the punch, buying up every share under $26.39 and then selling it to the big buyer at that price before anyone else can add liquidity. Again, though, I have no idea how they could possibly figure out that demand cuts off at $26.40 with a full book under that price...I suspect there's something off with the explanation this article offered, it doesn't quite make sense to me except in highly illiquid markets.