Wall Street's Normalized Malfeasance. Wonky But Insightful

The most detailed, technical explanation of how high-frequency trading works we've ever read. "The reality is that automated trading is the new marketplace, accounting for an estimated 77 percent of the volume of transactions in the U.K. market and 73 percent in the U.S. market...If your order is executed on a large queue, then you have a free option to collect the spread. If one of your orders on the opposite queue is executed, then you collect the difference between the price at which you bought the asset (bid side of $9) and the price at which you sold the asset (offer side of $10). In the event the queue you were executed on gets too small, you can aggress the order that was behind you. This means crossing the bid/ask spread and forcing a trade to occur. If you get executed passively, you are aggressed upon by another order sitting on a queue. As long as another order is behind you, you can unwind the trade, meaning you can aggress the order behind." Jacob Loveless in ACM Queue

More: This was part a series -- see here for the other pieces.