[yummyfajitas]

Since most of the people commenting here don't seem to even understand HFT, I'll just leave this here (a tutorial I wrote a while back):

http://www.chrisstucchio.com/blog/2012/hft_apology.html

http://www.chrisstucchio.com/blog/2012/hft_apology2.html

http://www.chrisstucchio.com/blog/2012/hft_whats_broken.html

[rtpg]

you should probably link part 2 from the end of part 1, if not it's not obvious that you did write part 2.

[yummyfajitas]

Thanks.