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@NotThamesWater
^^^ I'm not sure that your tl;dr is correct though.
HFT operates well within the spread offered on any quoted prices, and for the institutional investor (let alone the hobbyist), this is dwarfed by transactional costs.
Inter-market front-running can dick people over, but again the margins are nothing compared to market costs of 5 / 10 years ago, given that inter-market arbitrage (of which front-running is an extreme form) already harmonizes prices pretty effectively.
The real way that you or I are fucked over is in big investors (hegdies etc...) illegally moving markets and operating outside of the law. Which they do the whole time.
Still - a transaction tax would damp down any adverse effects of HFT, without detracting from the benefits that arbitrage can bring in normalising prices.