See also this article I wrote explaining this: <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>Concretely speaking, HFTs price discriminate when providing liquidity. Grandma gets a good price to sell her 2 lots of GOOG, but Bill Ackman and George Soros need to pay more to sell 20000 lots.