Well, I think I viewed this thing in relationship to the slowness with MT4.
Let’s consider a slow market, that has one new quote each second, and a fast market, that has 3 new quotes per second.
If I run my EA on the slow market, quoting the fast one, I have to update the quotes every time the slow market changes (that is, one time a second).
It means in this second there is a higher chance that one of the 3 new quotes on the fast market will be astray and fill my pending order. Given the latency of the slow market, I may have the chance to market a hedge order there until it has the chance to move.

If I would do the reverse, I would run the EA on the fast market and quote the slow one. That would mean that I would update my pending orders 3 times a second; at this rate, the latency of placing orders would be higher than the fast market latency so I would skip quotes. Even if I’d be filled, the chance to correctly hedge quickly on the fast market would be diminished due to its low latency.

I see a fast market like a car in the pole position in a race. The slow market is on the secondary position. Always, the average speed of the car on the first place is higher than the average speed of the car on the second place. I see the secondary market driven by arbitrageurs, that always will close the gaps between the slow market and the first market. That’s why I don’t quite the secondary market as moving astray from the first. And if it’s only following the fast one it means that I should never quote the slow market. If I quote the slow market and get filled, most likely the fast market already moved until I have the chance to hedge.

I’m pretty sure that high frequency trading engines may play both games, but I have MetaTrader. I must play the game that I have more chance to win. If I quote the slow market and get a fill, most likely the fast market already closes the arb window before MT gets a chance to fill a market order. Add to this level I, and the system will lose pips in 90% of the situations, when taken arbitrage windows will be smaller than spreads and fees, because I most likely will not benefit of any rebates…

I would like to comment one of the last sentence of this article :

“And to have more often executions, is to “quote” the side that is more liquid, because it’s likely to be more volatile and generate more opportunities.”

As far as I know, it seems to me that it is the less liquid market which will be the more volatile. It is one of the arguments used by high frequency traders. As liquidity provider, they expect rebates and are good for “community” because thanks to this liquidity market are less volatile.