I'm given to understand that the reason we have high-frequency traders being as crazy as they are is that there's a (government-mandated) rule where you can't price anything in increments of less than $0.01. 1 penny times hundreds or thousands of shares starts a minute starts to add up.

So instead of being able to compete on price, market-makers compete on latency in order to be the one making all the monies, resulting in the current arms race.

Cf. this blog: http://www.chrisstucchio.com/blog/2012/subpenny_rule_respons...