On A 'Rigged' Wall Street, Milliseconds Make All The Difference : NPR: On high-frequency trading and how milliseconds matter
If I get price changes before everybody else, if I know a stock price is going up or going down before you do, I can act on it. If you're coming in to buy shares in Procter & Gamble and you think the price is 80 ... and I'm sitting there as a high-frequency trader and I know that the price of Procter & Gamble is actually lower — it's gone down [to] 79 — I can buy it [at] 79 and sell it to you at 80. So it's a bit like knowing the result of the horse race before it's run. ... The time advantage of a high-frequency trader is so small, it's literally a millisecond. It takes 100 milliseconds to blink your eye, so it's a fraction of a blink of an eye, but that for a computer is plenty of time.