The HFT can afford to provide a tight spread to Joe 401k, who typically buys at most 1 lot at a time. He can afford to do this because when there is a large surge of demand, he has the ability to rapidly reprice his orders.<p>I describe the process in a bit more detail here: <a href="https:&#x2F;&#x2F;www.chrisstucchio.com&#x2F;blog&#x2F;2014&#x2F;fervent_defense_of_frontrunning_hfts.html" rel="nofollow">https:&#x2F;&#x2F;www.chrisstucchio.com&#x2F;blog&#x2F;2014&#x2F;fervent_defense_of_f...</a><p>This enables market makers to price discriminate between Joe 401k (who pays less) and David Einhorn (who pays more).