Let me explain what I think the parent is getting at. Say there is a $20/share sell order registered on the exchange. Then another investor submits a $30/share buy order. As I understand it, at this point HFTs jump in, buy out the sell order at $20/share, and then resell the shares to fill the buy order at $30/share, pocketing a $10/share profit.
The question is, why can't the buy and sell orders be matched directly, allowing the buyer to pocket the discount off the price he was willing to pay, instead of the difference going to an HFT with access to the incoming order stream? What possible benefit is provided to the market by skimming off the difference like this?
The behavior I talked about above is one of the objections to HFT as it's currently practiced, and I'd like to know whether it reflects a misunderstanding.