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"tons of money" is also relative. HFT firms make way less money than the ibanks that act as middle men to most investors and the exchanges.

Most of the money in HFT actually comes from those previously more rapacious middlemen's bonus.

Easy: other middlemen in the markets; "the finance industry".

The industry doesn't really make that much money. Estimates for this past year were in the $1-2 billion range. That's not big for the finance sector, or any industry. That being said, it doesn't take that many people to run a shop, so individuals may be paid a lot.

They don't make tons of money. I think Michael Lewis quotes a annual revenue of 16 billions for all the HFT companies put together. That's less then half of goldman sachs' revenue alone.