I've recorded a full days worth of high frequency depth quotes from INET, ARCA and nasdaq level2. I've done some analysis and noticed there are consistently arbitrage opportunities between the various exchanges, however they are quite small. Usually between 0.001 and 0.003 and only last for 2 to 5 seconds. My question is, who takes advantage of these opportunities? Cheapest commission I an find is 0.005 cents/share. Even if I found an offer for 0.001 cents/share it would still be hard to make any money this way. Also, is it possible my data is simply skewed? I timestamp the quotes when I receive them, the timestamp isn't coming from the broker so they might not actually be TRUE timestamps (if such a thing exists). Also, I assume the new SEC trade-throuh rule will completely eliminate this in the spring. true? Thoughts?