[pgwhalen]

You describe two phenomena that appear to be true of every two sided market ever, namely:

- One can typically get a better price than what is displayed or quoted

- The price of liquidity is higher when markets are volatile

While yes, nobody would argue those things are good, can't they just assumed to be the nature of markets? There doesn't appear to be anything about the micro structure of modern capital markets where HFTs thrive (stocks, some options, FX, etc.) that makes these particularly bad.