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"[Y]ou always have plenty of liquidity when the market's good."

There are a lot of products, especially outside equities, where that's not at all true.

But HFT's don't play much in those products, so they don't provide liquidity or make markets there either.

I'm working at an HFT that mostly trades commodities, some of which have awfully thin books.

And there are plenty of futures markets, commodities and otherwise, with really low volume.

Absolutely the case.