[harryh]

What you are describing isn't what happened. What happened was you stand in front of the carts and yell "I'll take all of your stock at the advertised price" but all the sellers hear you say that too so they say, "man, if you want to buy out everything we're going to raise the price on you a bit."

This isn't a perfect analogy, but it's close.

You're making the mistake of thinking that HFTers are inserting themselves between the buyers and the people offering to sell. That's not right. The HFTers ARE the ones offering to sell.