Is it HFT or algorithmic trading? In my view HFT is a based on arbitrage between exchanges. If so my experience is negative. The price fluctuations are too small to compensate for fees (0.5%) and most of the exchanges have no arbitrage within say 250ms interval.
HFT is quite rarely about arbitrage, in fact (at least not directly).
I don't do arbitrage (there are easier ways that I hadn't fully exhausted yet), but between e.g. OKCoin and GDAX 30-second delays are common every day.
The best way of dealing with the fees is not paying the fees. ;)
