Where did they get them? If it's their fault equities were not available at $9.995 from anyone else, they haven't provided any liquidity. I don't believe hold times in milliseconds actually facilitate trades that would not have happened anyway.
You're so hung-up on frontrunning. I challenge you to find a retail investor actually harmed by frontrunning. Even in Flashboys the protagonist was a big trader trying to move 10,000 shares. It simply has no affect on retail traders.
Let me just walk you through how an order is filled: Your brokerage sends the order to one or many of the firms that specialize as so-called "liquidity providers." These companies publish quotes for all securities, both a bid and ask. These companies make money by knowing what other people are doing -- capturing order flow -- so they try to publish the lowest quote possible in order to get the order because by law the brokerage must fill the order at the "national best bid/offer". This results in price improvement for the customer over half the time. This improvement doesn't get squeezed from another counter-party as I think you're thinking, and actually both counter-parties are likely to be price-improved. The improvement comes from smaller bid/ask spreads.
Here's what I know for certain: With high frequency trading tech comes more liquidity, with lower commissions, faster trade execution, and a small bid/ask spread. There are more penny-wide markets than ever before. Look, I'm just a retail trader. I have no reason to shill for HFT firms. And I even love Michael Lewis. But flashboys and this whole dark pools, front-running boogeyman is just so much bs.
