In your example both NY and Chi would be "crossing" the market (bid above offer) which is not generally allowed. The displayed quote on both exchanges is "prot

In your example both NY and Chi would be "crossing" the market (bid above offer) which is not generally allowed. The displayed quote on both exchanges is "protected" and another exchange can't lock or cross the market without first dealing with the protected quotes (usually by routing orders to fill against it, see #2 below). What would have really happened in your scenario would have been on of the following: 1. The orders would have been partially filled and the balance would be cancelled (order were Immediate Or Cancel) 2. The orders would be partially filled and the balance routed to other exchanges which are displaying the same price (Orders were routable) 3. The orders would be partially filled and remain active (but undisplayed) at the exchanges (this is dependent on what order type is used and at what exchange). > how can non-HFT traders arrange to capture the surplus currently claimed by HFT? By posting their order and waiting to be filled. In a two sided market your options are to pay up and be filled immediately or to get in line with everyone else that wants to keep that extra $.01 and wait for someone more impatient (or informed) to come along and sell to you. By providing liquidity you take time and price risk (you don't know when you will get filled, if ever, and the market may move away from you requiring you to have to pay more later) and by taking it you don't (but you pay the liquidity provider for the privilege). "Someone will always be faster." That will always be true no matter what new trading format is being considered. There will always be a way for someone to get relevant information more efficiently and act on it. Always. Slowing down markets or obscuring/delaying quotation hurts price discovery and increases uncertainty. This increases volatility, widens spreads, and in all likelyhood actually tilts the playing field in the favor of high-speed computerized trading rather than away from it.