I feel bad for the guy, but the broker didn't screw his order. They messed up on the signal perhaps, but filling at market is dangerous because you don't have any built in protection. Limit orders are recommended because it has a built in slippage protection. This wasn't really "slippage" that we see from our brokers, it was a client out of synch with the ECN trading on bad data. Who is to blame? Maybe the guy was downloading on BitTorrent or ITunes when the order was sent. That is why I'm against GUI based applications for trading - I want it on a data server, I want it directly connected to the internet, I want it to be as good as I can get.

A hosting client of mine uses IBFX and a dial up modem. He tested me this week without me knowing. (the best kind of test) He reported to me that my orders filled 1.5 minutes before his modem based orders. We were both more than a little surprised. Keep in mind that ping is not a true measure of latency, it is a measure of *ideal latency* because routers by default have other traffic wait and send ping first (or in some cases, not at all like Microsoft's corporate network). A TCP based ping is a better measure of normal session new connection latency than ICMP based ping (ICMP is normal, it takes special software for TCP or UDP ping)

That little side story about latency and networks is designed to illustrate one thing: most people aren't ready for direct ECN trading. Many ECN require direct connection, which means a dedicated circuit (sometimes a dedicated wire) between the two locations. I'm hosted in a facility that can handle that, but I'm hoping I don't need it. (More expensive than driving an SUV!) Now I'm not too clear on this part, but it sounds like the next version of the FIX protocol (Version 5) is designed so it doesn't cost so much to connect directly to the ECN. I'm preparing to connect to a brokerage ECN (and not directly into the cable next to the bank's cable) with FIX 4.2. When FIX 5.0 becomes available, I'll probably support it because it has better native FX syntax. FIX 5.0 is a released standard as of February but I haven't seen any brokers supporting it yet.