Simply put, when two traders decide that they're willing to pay (perhaps) an extra 0.1% to ensure that their trade happens _now_, then that little margin is the _only_ reward offered to competitive (read: high-frequency) traders. If I don't want to be that huge sucker who pays the extra 0.1% for immediate service, then I will place a limit order
. That limit order essentially boils down to using weak tools (broker's web interface, internet lag, etc.) to compete with HFTs and save my precious 0.1% to myself. The fact that HFTs exist means that my competitive limit bid or offer won't yield much over an immediate market order at any price. Grudges come from people with weak tools who pay too many big fees and consequently lose the day-trading game. Serious grudges come when whole exchanges cancel orders due to one party's HFTing failures (losses). If executed orders are cancelled too often, then some other exchange will try to complete with NYSE, AMEX, TSX, DAX, etc. by guaranteeing no cancelled trades.