Trading is a game that revolves around information. Generally, if you have more information than competing traders you have a undisputed edge. Examples include: HFT algos, inside information about upcoming news, and access to pending stop and limit orders on the exchange (also called level 3). HFT algos are discussed alot here, I'll leave that aside. Insider trading is clearly illegal (unless you work in congress). Why are NASD member firms (market makers) allowed access to level 3, but retail firms are not?