Market makers
Firms that quote both a buy and a sell price all day. They are why you can trade instantly, and the spread is their fee.
When you buy a share instantly, someone sold it to you instantly. Often that someone is a market maker — a firm that continuously quotes a price at which it will buy and a slightly higher price at which it will sell.
How they are paid
A firm quoting a bid of $99.98 and an ask of $100.02 earns four cents per share on a round trip. It is not charging a commission; it is capturing the difference between two prices it quotes itself.
That sounds trivially profitable until you consider what they are taking on: inventory. A market maker who buys from you owns the share, and owns the risk of its price moving before they can sell it.
Adverse selection
The uncomfortable part of the job is that the people most eager to trade with you are often the people who know something. A market maker buying from an informed seller is buying just before a fall.
Spreads are narrow in calm, heavily traded markets where information is evenly spread, and wide in thin or volatile ones. That is not opportunism — it is the price of quoting into a situation where the counterparty is more likely to know more than you.
Why they disappear
Nothing obliges a market maker to quote. When volatility spikes, the risk of holding inventory rises sharply, and the rational response is to widen quotes or stop. This is precisely when everyone wants to trade, which is why liquidity is thinnest exactly when it is most needed. See liquidity.