Office space near the Chicago exchanges goes for $2,000 per month for six square feet - because high frequency trading firms want to be close enough that the latency of the telecommunications does not leave them at a time-based competitive disadvantage. How cool is that!
I know that high frequency trading has been getting a lot of bad press nowadays, especially from Senator Charles Schumer (D–N.Y.). I do think it is worthwhile to understand what high frequency trading does to market structure and investor fairness, but my guess it that when it all shakes out it will be bad news for the established exchanges like the NYSE - which continues to lose market share at an alarming rate, and good news for investors as George (Gus) Sauter of Vanguard Group, who managed $920 billion in investor's money - that it enhances the marketplace for all traders.
For me, it is more evidence that the best retail investor strategy is to either buy index stock funds - with low expenses, or put the work in to study the fundamentals, buy and hold the way Peter Lynch and Warren Buffet do.