Suppose I found a small inefficiency in the market on the micro level, and I have an automated trading strategy to take advantage of it. By "micro", I mean the average duration of a trade of 2 minutes or so. Since the strategy involves very high frequency trading strategy, and the average profit per trade is very small, the bid/ask spread becomes very important (the system always palces market orders). So, my question is, what is the market with the lowest bid/ask spreads? And I mean really low (perhaps even lower than the common 1 point ($5) bid/ask spread on one DJIA E-Mini contract?). Thanks.