It isn't only 1000 shares, there is indeed 1000 unique shares on each of those ten exchanges. The problem is that, as soon as the first exchange that you trade

It isn't only 1000 shares, there is indeed 1000 unique shares on each of those ten exchanges. The problem is that, as soon as the first exchange that you trade on processes your trade of the 1000 shares on that exchange and publicly disseminates that information, that is public information -- and an HFT is totally within their right to pull their remaining 1000 shares on each of the nine remaining exchanges if they so choose. That's why Lewis explains that once they wrote a program to stagger the submission of their orders so they arrive simultaneously to all ten exchanges, they were able to pick off all 10000 shares instead of only the 1000 on the first exchange.