Hopefully this is the right forum to post this question. I hear and read about people, maybe some posting here, who trade futures with "high frequency" strategies. Now, I've been looking at full-order-book tick-data, and I am very puzzled: 1. I assume, and correct me if wrong, trading HF means one holds positions for very-short time periods. Say half a second. 2. The usual price movement one normally observes over such a short period is one tick. 3. The bid-ask spread is usually 2 ticks (sometimes more). => so the spread is at least X2 the movement. How can HFT strategies be profitable under such conditions? it seems impossible. I only saw instruments move in multi-tick quantities at frequencies way above those which HFT allegedly hold (that is, it takes much longer [say 5 seconds] for an instrument to depreciate 3 ticks than what people would call high frequency [say sub second]). So what am I missing here?