OT But this is a great article re:
One other way to avoid getting ripped off by
brokers who sell order flow as is detailed in this
article is to use a direct access firm like MB Trading
(who I use), Cybertrader, Castle Securities, etc. or
even Datek (although with them, you're limited to
using Island, an ECN). With those firms, you have
access to the various ECNs (REDI, BRUT, ISLD, ARCA,
etc.) as well as the ability to use Selectnet with
these aggregators. You end up with a much fairer
playing field. These firms are basically daytrading
firms, though, and charge data access fees in addition
to commissions, but I maintain that if a person is
trading fairly actively, you save the data fee in spades
by not being ripped off by having your order clipped
by outfits like NITE, MASH, etc.
I remember
someone buying a block of 75,000 shares of this stock
using Schwab (MASH) a few weeks ago and seeing their
order executed at one price and printed at 1/16 higher
so MASH could take their cut, along with the
commission. It really starts to add up after awhile.