For a single exchange, you are right. However, for the multiple exchange countries, like the US, and now Australia, you can "quote stuff" and slow one of the exchanges down.
The ASX doesn't allow "previewing" other traders orders as do some of the US exchanges.
In australia one of the HFT games is to do a defacto preview. Understand the order flow of a given broker. Broker tries to minimise their costs, and still charge the client a given flat, or percentage fee, irrespective of the cost minimisation (for a given trade). So order priority might be:
- Cross trade in house
- trade on Chi-X (cheaper than ASX)
- trade on ASX
In house, the HFT can do nothing.
Knowing the common execution order for most brokers, if the HFT kids can see an buy order for (say) $10k coming through on Chi-X, and seeing only 1K will be filled. they can then take the buy order on ASX for $9k, at the bid, and then sell on the ASX at bid+tick, knowing that someone is trying to fill $9k worth.
The order that got filled for $1k on Chi-X, then gets filled for the remaineder at 1 tick higher on ASX, allowing the HFT kids a 1 tick profit in a very short time.
There are other strategies, but this is one that is sucking a lot out of retail in the ASX
