If you submit a buy order for 10 shares of GOOG through a conventional retail website like ScottTrade or ETrade your order is going to be sent to an HFT firm th

If you submit a buy order for 10 shares of GOOG through a conventional retail website like ScottTrade or ETrade your order is going to be sent to an HFT firm that buys flow from from these retail websites. If it's a limit order the HFT firm is going to immediately decide whether it wants to take the other side of your order (i.e. immediately give you an out that leaves you whole with 10 shares of GOOG at $1134) or whether they don't want the order in which case they might send it directly to a lit venue like NYSE where your order will rest in the open market. If they take it, from there the firm is going to try to liquidate the position in the market now that they are short 10 shares of GOOG. It is up to their discretion on when they want to even out their portfolio. The idea is that sophisticated traders are able to better time and aggregate retail orders than the retail customer themselves and here is where they make money albeit with a little risk. For one simple example since you only wanted 10 shares of GOOG typically you would pay a penalty for executing an odd lot (an odd lot is an order that is not an even multiple of 100). If the firm can collect 10 buy orders of 10 then they can avoid the odd lot penalty.