"You send your order to exchange A, it does a partial fill for 1000 orders, and sends the remainder to exchanges b,c,d. An HFT firm sees your order to exchange A knows its not going to fill and sends its own orders to buy the liquidity on B,C,D and then sends sell orders at a higher price to B,C,D, your order fails to fill and you have to issue a new order at a higher price."

Maybe, but that seems like a pretty risky strategy. A simpler and far less risky strategy that would look very similar (admittedly only if you're looking exclusively at orders on the book and not fills) would be for HFT market makers to cancel or reprice their existing resting orders on exchanges B, C, D in response to getting or seeing a large fill on A.

In the strategy described by the parent, in addition to having to cross the spread, the HFT firm would also be at the back of the line at the next price level (unless maybe they already have an order there? but no guarantee that it's the right size, or maybe they have multiple small orders and cancel whatever is in excess of the position..).

So I'm genuinely curious: is what the parent describes something that is really that commonly done? This is one of the things that made me highly skeptical of Flash Boys. It seemed to me they observed a phenomenon, came up with a single explanation for it and never even considered any other possibilities that didn't fit the chosen narrative.

I believe the repricing behavior you describe is far more common now than the more aggressive strategy. Several years ago, before the exchanges got rid of "flash" orders, a variation of the more aggressive strategy was common, but under limited circumstances. The way it worked was that after a limit order was partially filled on exchange A, it would show the remaining size at the limit price very briefly before routing it to the other exchanges (this was the "flash"). If the limit price was a few ticks through the other exchanges best prices, the HFT's would take those prices out and offer at the order's limit price. Less risky because they knew the order would be automatically executed at that price as long as there was an offer there.

I kind of agree with your underlying premise, but when I invest in a mutual fund / ETF, isn't that a giant investor that might be affected by HFT? And if that was costing the fund money, wouldn't that affect me (without me seeing it directly)?

Assuming that hft forms didn't drive other prices down. In particular the costs to trade (in the form of the spread, fees & execution costs) hadn't been decimated by hft firms.

And how do you convince the suckers to go to IEX? Incredibly cynical marketing!

https://www.youtube.com/watch?v=v2OZkTesSx0