"Flash Boys: A Wall Street Revolt" or How small traders are tricked by "speed advantage" used by "flashers"

Canadian Brad Katsuyama plays a big role in Michael Lewis's new book.

From YahooFinance:
.....Katsuyama told Lewis that he had uncovered the methods high frequency traders use to get what he considers to be an unfair advantage over other investors.
Katsuyama noticed that when he would send a large stock order to the market, it would only be partially filled, and then he would have to pay a higher price for the rest of the order.
When he investigated, he found that his orders travelled along fibre-optic lines and hit the closest exchange first, where high frequency traders would use their speed advantage to buy the shares he wanted and then sell them to him at a slightly higher price – all in milliseconds.



Katsuyama and an RBC colleague then created a system that would effectively nullify the advantage of the high frequency traders by creating what amounts to a financial speed bump.
"Essentially, our fill rates went to 100 per cent,” he told CBS’ s 60 Minutes last Sunday. “We couldn't believe it when we actually figured it out."
High-frequency traders use sophisticated computer programs to execute huge numbers of orders at blindingly fast speeds. The programs are legal and are used by many banks and trading firms. More than half of all trading in some markets is carried out by high-frequency traders. 
"They are able to identify your desire to buy shares in Microsoft and buy them in front of you and sell them back to you at a higher price," Lewis told 60 Minutes. “The United States stock market, the most iconic market in global capitalism, is rigged.”  The main thrust of Lewis’s new book is that high-frequency traders use their speed advantage in predatory ways that end up cheating market participants small and large......