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HFT for Retail: Copy the Queue, Not the Speed
Microstructure explained for High- and Medium-Frequency Trading
A take on high- and medium-frequency trading through the lens of market microstructure: why your limit order does not fill when price touches, what HFT firms are optimizing, and a simple fill-probability workflow you can copy for your own trading.
If you read my earlier pieces on tick scalping that survives the spread, you already know the first villain: friction. Spread, fees, slippage, missed exits. The boring stuff.
This sequel is about the second villain, and it feels personal the first time you notice it: queue position.
Here is the moment that finally convinced me I was trading the wrong abstraction. I placed what I thought was a clean, patient limit order. Price traded my level. I watched the prints. Nothing filled. Then the market bounced and left me behind, like I had placed my order in a different universe. I blamed my broker. I blamed bad luck.
If you like my essay on HFT/MFT, don’t forget to tap the small hands in the corner a few times. Thanks!
What HFT actually is
High-frequency trading is a subset of automated trading where orders and executions happen at very high speed (often microseconds), positions are typically very…
