The reason why AAPL is so expensive is because of the TAF (a tax assessed by the SEC). Currently its 19$ / million dollars sold. Note that this fee is proport

The reason why AAPL is so expensive is because of the TAF (a tax assessed by the SEC). Currently its 19$ / million dollars sold. Note that this fee is proportional to dollars sold, not per share (other transaction costs are per-share). Let's say you received $.0020/sh for adding liquidity and paid a commission of $.0001/sh. The tax would be, assuming aapl is $400/sh, $.0076/sh. This is much larger than the rebates, which means you need to buy at least one cent below your sell price on every trade. Now look at bank of america. It's been hovering around 6.50 for the past week. The tax there is .000114, so in fact it's possible to buy and sell BAC at the same price and make money! But getting back to your question, blind market making loses money when the tax exceeds the returns. For the larger players, they make .00295/sh before commissions (and ostensibly they are free because larger shops have their own clearing divisions), so X would have to be close to .29. For alpha-based (generating a predictive signal) trading, most HF signals have an amortized edge of .2 cents per share after fees, so I would say something like X=.2 would wipe out HFT