Would be interested in hearing if others have experienced what appears to be front running at Comsec.
I have seen strong evidence orders placed at Comsec are being front run most likely by HFT. For example say I want to sell 5000 shares with a limit order of $1.00 and the ASX order book has 4000 shares at $1.01 and 2000 shares at $1.00. I go to place my order and my fill is 3501 shares at $1.01 and 2499 shares at $1.00. Looking at the trading history I see that someone has coincidently sold 499 shares at $1.01 exactly the same second (but before my order) and also someone has bought 499 shares at $1.00 from me at an off-ASX market (presumably Chi-X).
I strongly suspect this front-running is occurring because Comsec orders are getting to the Chi-X exchange some time before the ASX exchange. This allows HFT traders at the Chi-X exchange to front run the order sent to the ASX exchange. All Comsec do is refer to their "best execution" policy. Now sure I have only lost $4.99 in the example given but if this happens 100's/1000's of times a day a lot of money is being fleeced from average investors.
