Let's take Citibank, the thickest and highest volume stock on the NYSE, and also (one of) the slowest. Citi is 4.89 x 4.90. They start paying the 4.90s and it takes out all but EDGX, NSDQ, and ARCA. Then, it's just NSDQ showing 2500 (250,000 shares), and then, the next instant, it it now 4.90 BID and 4.91 offer. At the 4.90 bid, all the major ECNs have at least a million shares. The 4.90 bid on NSDQ is showing 17345 (1,734,500 shares). Someone is first in line on NSDQ, let's say with an order of 200k shares. I'm using NSDQ here to illustrate my question because NSDQ was the last ECN to be on the offer at 4.90, so being first on the bid at 4.90 entails reacting fully to the change in the NBBO. If you have a program that constantly puts in 200k on a rollover in C and manages to be first in the queue, I'd estimate one would make no less than $30k/day. Probably significantly higher; if the guy gets filled at 4.90 for all 200k and hits out on NSDQBX at 4.90, he'll make $840 on the trade after rebates... this is a flat(!) trade. Is the same guy always first in line? OK, so he's co-located, but so is everyone else - why is he first in line? Is his cable slightly shorter than everyone else? Is it that he has the best hardware and the most efficient code? Is he not "always" first in the queue? Does that change/cycle? If he has the fastest setup, he should "always" be there, no? Obviously I don't expect to be first in the queue on NSDQ when C rolls over and creates a new price level, this is more of a hypothetical question, but if anyone knows anything, please do share.