[idohft]

This doesn't sound right. Some points:

- A trader looking to buy futures is almost certainly not going to send their order to several exchanges. The main exchanges list distinct contracts (with, I believe, some cross-exchange listings that are just cross-continent). A person sending an order is not going to get it routed to several different exchanges.

- Your example itself would result in a losing trade for whomever was doing this trading. Let's call this HFT guy, "HFT", and pretend like you were talking about equities(which does have the multiple exchange property). In order to accomplish what your trader was doing, HFT has to:

  1 - buy up all existing shares at P
  2 - probably buy up all the shares at P+dP as well (because all US markets have price-time priority)
  3 - place sell orders at P+dP that would fill this guy's X contracts
  4 - According to your story, they (or someone else) then try selling at price P again.

This means they:

  1 - Took a large long position
  2 - Took an even larger long position at a worse price, paying commission for this
  3 - Managed to sell some of their position at the same price as (2)
  4 - Are now trying to sell back their position at P.

If you look through these steps, you just end up losing money, while taking on unnecessary market risk.

[d--b]

The size of the position only depends on the order book. You assume that the position should be large, but in markets that are not very liquid that's not necessarily the case.