> So you're liquid in the direction that moves the price to where it needs to be and not liquid in the other direction.
"liquid in one direction" is a nice way of saying that no trades are happening, which is to say illiquid.
> If the slow market is inside of the bid-ask spread, then HFT is likely to be willing to buy/sell on the fast market and complete the other half of the trade on the slow market.
This seems to hinge on an unrealistic model of HFT as perfect-arbitrage machines that need to immediately close positions. In fact, it would be quite surprising if they were willing to do this, based on how they currently behave. If they were willing to close the loop like that, they would equivalently be willing to do it on existing exchanges, which they could do by posting an order inside the spread (which would, of course, shrink the spread). The fact that that is described as "inside the spread" is a pretty clear indicator that they are not doing this.
> The incentive to use this market for smaller orders is that you are likely to get a price somewhere between the bid-ask spread.
The reason that you don't currently get filled "between the bid-ask spread" is that the whole point of the spread is that it is the region inside which no one is currently willing to trade. If they were, the spread would be smaller. By what magic are they willing to trade inside the spread on your exchange, but not on traditional ones?
"liquid in one direction" is a nice way of saying that no trades are happening, which is to say illiquid.
> If the slow market is inside of the bid-ask spread, then HFT is likely to be willing to buy/sell on the fast market and complete the other half of the trade on the slow market.
This seems to hinge on an unrealistic model of HFT as perfect-arbitrage machines that need to immediately close positions. In fact, it would be quite surprising if they were willing to do this, based on how they currently behave. If they were willing to close the loop like that, they would equivalently be willing to do it on existing exchanges, which they could do by posting an order inside the spread (which would, of course, shrink the spread). The fact that that is described as "inside the spread" is a pretty clear indicator that they are not doing this.
> The incentive to use this market for smaller orders is that you are likely to get a price somewhere between the bid-ask spread.
The reason that you don't currently get filled "between the bid-ask spread" is that the whole point of the spread is that it is the region inside which no one is currently willing to trade. If they were, the spread would be smaller. By what magic are they willing to trade inside the spread on your exchange, but not on traditional ones?