1) Didn't realize when I read this it was by yummyfajitas, whose comments I always respect.
2) Do I understand correctly that the order book is public (albeit anonymized)? That surprised me -- it seems like this would lead to meta-games and jockeying for position and such, as opposed to different parties just submitting into a black box what some security is worth to them.
3) Are there any good papers/articles modeling different market set-ups? For instance my black box one above. Or one where orders are matched randomly rather than chronologically. Or one where trades happen in one batch once per day. I can't say I'm opposed to HFT, it just seems to sap a very large amount of engineering brainpower for not that much societal marginal benefit anymore. If I could snap my fingers and give up a bit of the liquidity and get all those engineers back I probably would.
4) I once worked in a sell-side equity research shop which traded stocks the old fashioned way (based on fundamentals) and had a non high-frequency trading desk, etc. That type of company is getting hurt by the lower spreads offered by HFT. But I never did quite comprehend why it made sense to pay for our product (research) with trading commissions. Seemed to cross two unrelated services, although that kind of business model seemed deeply entrenched in the market.