Milliseconds of speed advantage let traders systematically front-run orders

Lewis's central technical revelation is that because U.S. stock exchanges are physically scattered across different data centers, an order doesn't arrive at every exchange simultaneously, even when sent at the same instant, because the speed of light imposes real travel-time differences over the fiber-optic cables connecting them. High-frequency trading firms invested heavily in shaving these travel times down, and in detecting the first fragment of a large incoming order at the nearest exchange, then racing ahead on faster connections to buy up the same stock at other exchanges before the original order could arrive.

Having cornered the remaining shares microseconds ahead of the original buyer, these firms could resell them back at a marginally higher price, capturing a tiny, nearly risk-free profit on nearly every large order. Individually the sums were small, often fractions of a cent per share, but multiplied across the enormous volume of daily trading, Lewis describes it as a systematic tax collected from ordinary investors without their knowledge.

Takeaway: in modern markets, being faster by a few millionths of a second was enough to consistently profit at everyone else's expense.