Here is my take. You wanted to buy at 17.10. An algo saw your bid, and decided to enter their own at 17.1001. Fast forward until someone wanted to sell at the posted NBBO (17.10), they were given a "price improvement" for the sub penny bid the algo placed. The problem is with the system. Not HFT. HFT is simply taking advantage of what the system is offering. You can't blame the trader for doing something that is completely legal.
This looks like B/D internalization and/or payment-for-order-flow. Retail orders don't go to a real exchange anymore -- they go to the PFOF oligopoly for the fleecing they deserve: http://www.cnbc.com/id/38974297/Man_Vs_Machine_Tracing_Trades_Through_Electronic_Maze I couldn't agree more that your fill was "stolen". Unfortunately, they've got the right to do this under current rules, and it ends up costing everyone money, on average (except for the B/D's and the PFOF partners). Hopefully the SEC will be determined enough to end or curtail the practice, but it doesn't look good as the SEC has been talking about it for years (e.g. "trade at"), but ends up meeting lots of resistance from B/D's who like to get "back door" income (about .1c/share, supposedly) from their retail customers.
I don't trade stock, but this sounds like BS, how is anyone supposed to make it in this business with crap like this going on?
read link from investopedia. everyone know what is going on. even investopedia call it BS. once again-SEC can stop this overnight,but choose not to. retail order in this market have no priority whatsoever.specially when perfectly calculated odds are in your favor. cause you are not alone with your good math. my personal problem is that i hate this shit happens when you are ONLY ONE either at ask or bid. this is just f**d up..you trying to either buy or sell 100 shares,you are only buyer or seller and all you see is hundreds and hundreds shares are passing by at your price and you get no fill...and the price moved away later(cause all demand is filled). plenty of info about it: http://www.zerohedge.com/search/apachesolr_search/subpenny Don Bright wrote couple articles about it..like i said many many times -if SEC is ' for people'-they can stop this overnight. OVERNIGHT. or allow us to place sub penny orders.
This link explains internalization and payment for order flow. And gives estimations at the money being syphoned off of the public quote. http://premarketinfo.wordpress.com/2012/02/23/dark-secrets-where-does-your-retail-order-go/
another conformation of my(average retail joe-the trader) observations..no need to be a scientist to figure this BS out..just trade your own money ps: and when 'they' out of their tricks-the trade at your price will be 'exempt' from whatever rule that should be applied to this particular situation. called many times to my broker just to hear same excuse over and over again.
Is it possible to put an order on a future (say on CME) such that it is better than the best bid (or ask) by a fraction of a tick ?
Its gotta be a tick, as thats the minimum increment; also the bid/ask has to be wide enough such that the improved bid does not cross the best offer. Otherwise, you have a market order.
If you really wanted the stock, you could have just hit the offer. If you're worried about the one penny difference, then you're complaining that HFT/internalization/etc is doing to you what you're trying to do to (even) slower retail.