"Having got on well by adopting a certain line of conduct, it is impossible to persuade men that they can get on well by acting otherwise. It thus comes about that a man's fortune changes, when his circumstances change but he does not." Niccolò Machiavelli

Intraday data is often unnecessary and, worse, leads otherwise intelligent people to trade on spurious relationships. Recall that a sufficient statistic for the drift of a Brownian (or geometric Brownian) price process over a period is its return over the period. Hence intraday data provides essentially no additional information on the drift of prices, though it is useful for measuring the strength of covariate relationships and responses to intraday events.

I did not say that the overall model must be built on intraday data.

But most models will simply be useless without proper execution. And IMO, the model should be back-tested with simulating the transaction costs as close as possible.

So the overall model might be fine and interesting, but if you can't close the loop with a proper execution model, which usually affects the overall model as well, you simply don't have much.

This article establishes that two things often happen shortly after you place an order to buy shares: 1) Another trader places a similar order on another exchange. 2) A large number of outstanding sell orders are cancelled.

It's not clear to me that either of these are Bad Things, deontologically speaking. [I don't recall Jesus mentioning them.]

The key question is consequentialist: Are there regulatory changes which would improve the lot of the average investor, investing through, say, an index tracker or pension fund? For each potential change, one ought see how it fares w.r.t. this standard, considering, to the extent that it is possible, the induced second-order effects.

Talk of theft, rigging, fairness (you don't owe people like me anything), stolen goods and frontrunning is only useful to the extent that it helps us converge on an answer to this question. These words are tools that we have developed for analysing more familiar situations, where they correspond to actions which are clearly harmful.

Most changes proposed here either lose market efficiency directly (trade buffering / increased tick sizes) or just give us new games to play (if the market clears once a second, we will get our orders in last), potentially resulting in a less direct loss. The question remains.