I don&#x27;t think those don&#x27;t back up your claim, those numbers are specifically pre-rebate and are being shown there to justify the fairness of rebates as a useful market feature by showing that without them the expected returns would be negative and thus discourage trading. You claimed the average was unprofitable post rebate, showing pre-rebate numbers has no bearing on your claim.<p>&gt; In a competitive equilibrium, this has to be the case.<p>I don&#x27;t agree, the spread exists for a reason, it is quite literally the minimum cost of doing business for selling liquidity. If selling liquidity were not profitable, no one would do it.<p>&gt; If the average limit order lost less than the spread and rebate, it would be profitable to mechanically copy every limit order with an infinitesimally small limit order placed right behind it.<p>That doesn&#x27;t follow. You have no idea how much liquidity is sitting at that price so even posting at the same price wouldn&#x27;t guarantee execution let alone posting behind it. Limit orders are profitable because they are inherently offering a service that the market is willing to pay for, liquidity, that&#x27;s it.<p>&gt; If the average limit order lost more, it would be profitable to copy every marketable order trading to remove any residual liquidity on the book at that price.<p>If the average limit order lost, it&#x27;d be called a market order because market orders lose the spread and limit orders make the spread, that&#x27;s how it works.  That is the equilibrium, market orders buy liquidity from limit orders for the price of the spread.<p>&gt;  Of course HFTs limit orders perform better than average or they&#x27;d be out of business (and many do go out of business).<p>Yes, exactly, and they perform better due to latency putting them first in the queue, that&#x27;s rather the whole point of HFT, being first in line.<p>&gt;  Speed alone is no longer an edge in most markets.<p>Incorrect, speed is always an edge for the fastest trader; it&#x27;s simply no longer easy to compete on speed for most firms. Dodd Frank has devastated HFT with the sub-penny rule making latency even more important and driving most out of business.<p>&gt; Most are holding risk for more than microseconds or single seconds.<p>Yes, because they can&#x27;t be the fastest, they have to start speculating a bit.  This is because the hay day of HFT is over; they&#x27;re being forced into speculation by the inability to compete on price due to the sub-penny rule and the inability to compete on speed due to the massive costs of doing so. But once you start speculating for longer than a few seconds, you&#x27;re no longer a HFT trader, you&#x27;re just an algorithmic trader.  HFT is market making, if you&#x27;re speculating on direction and holding for expected moves, you&#x27;re not a HFT, you&#x27;re an algo trader.