EDIT Here is the picture I was looking for: http://www.nanex.net/aqck2/4666.html http://www.nanex.net/aqck2/4666.html Here you can see which exchanges use the

EDIT Here is the picture I was looking for: http://www.nanex.net/aqck2/4666.html http://www.nanex.net/aqck2/4666.html Here you can see which exchanges use the SIP for their data feeds. Guess which dark pools the HFT guys hang out at:) Check out: http://www.zerohedge.com/news/dark-pool-truth-about-what-really-goes-stock-market http://www.zerohedge.com/news/dark-pool-truth-about-what-rea... and http://www.zerohedge.com/news/dark-pool-truth-about-what-really-goes-stock-market-part-2 http://www.zerohedge.com/news/dark-pool-truth-about-what-rea... and this nanex diagram shows pretty much all you need to know about latency arbitrage. http://www.nanex.net/aqck2/4599/SIP,%20Direct%20Feeds,%20and%20Ultra%20Direct%20Feeds.png http://www.nanex.net/aqck2/4599/SIP,%20Direct%20Feeds,%20and... Long story short. RegNMS said people have to get the best price for their order. Now in a distributed system, which the US fragmented markets are, you know you can't know for cetain what hte state of the world is. warning simplification ahead Each market and dark pool has to trade at the price currently listed by the SIP. Now the sip is old and slow. Exchanges offer 2 prices sources, - the SIP as legally requried - a direct feed, which serious traders use. The direct feed is faster, so by the time an exchange (A) reports a trade to another exchange(B) via the sip, the HFT guys who own their own microwave radio lines have notified their computers at exchange B, and moved their orders. Almost as if they can see forward in time:)