Here is how it's goes in real life-you place your buy order, naively believe that you will be filled at bid. 100 shares at 10, ask-100 shares at 10.05. They you go. Your bid is the best, you sit and wait.....bam! 10000 shares appeared at same price at bid... what are your chances of getting filled at bid? NONE. Zero. Soo...you decide to buy at ask you hit 10.05, but before your order did reached the exchange-trade occured and someone grabbed those shares. You been sitting for minutes-no activity at all, but all of the sudden-there is whole lot of action around your pathetic buy of 100 shares. Now those 100 shares at 10.05 are gone and next offer is significantly higher. You buy at that ask and second later-they all gone. 10000 shares at bid is gone,asking price is lower and you are fucked. And that was a GOOD CASE. The worst case is when you tried to buy at 10.05-you got only 5 shares, rest is gone, someone bought them before you and now you stuck with partially filled order and at least DOUBLE COMISSIONS. How many times I have to repeat this simple example? If one says that no one is harmed, but spoof or hft is a true MORON. We been talking about this shit for at least 5 -6 years....pathetic
