The allocation of price impact has to do with the information behind the trade. Call that your "vote". You can ignore HFT or whatever. It just adds volatility

The allocation of price impact has to do with the information behind the trade. Call that your "vote". You can ignore HFT or whatever. It just adds volatility and not information to the market. If you want, imagine you are only looking at EOD prices or even EOM. I still don't understand how an iterated auction based on a limit-order book is anything BUT simple.