[meric]

It says the ALO order does not transact with passive liquidity orders, but the point is new information coming through after you've placed your limit order can be taken advantage of by market orders sent by HFT.

I suggested Call Auction because it's a good way to avoid paying the spread, and also avoid execution risk, both at the same time. Yes, the final execution price may be made of limit orders that did not take new information into account, but the ALO order you place into the market will get stale too unless you continuous adjust it, and even if you do, the slow reaction of you and your web browser will be no match for NLP bots scanning the news.

I made a bad booboo with the "You're worried the $101 isn't actually there - i.e. if you place an order to buy for $102, either the $101 order will get pulled by the HFT trader, or the HFT trader will buy the $101 order and sell it to you at $102.", looks like I got confused by the CNBC video I watched the other day. But see the other comment why you might make a limit order will a better price than the best offer.

[kasey_junk]

Right. There are lots of execution strategies out there that let you choose between paying for priority and accurate pricing. The auction is one, as are stops. My instinct is that as a retail you are almost always better off buying the incredibly cheap liquidity that exists in the current market. I can't prove that though.