At that point they can just tell you that your trades executed that way without the bother of actually going into the market.

Further, why would you stay on an execution platform that is so obviously bad for you?

Also, you're right, at a minimum, via a subsidiary it's possible for the brokerage to "fill" your order without it ever reaching the exchanges, I think as long as it's inside the national bid-ask price spread at that moment. They pitch this as a feature - it also lets them avoid exchange fees. Then they can manage their overall risk separately.

Yes, I stopped trying to make those trades years ago. At one time though it was a remarkably consistent way to succeed on a small scale.

This frequently is a feature for both sides of the equation due to lower fees, better execution rules, rebates, priority, etc.

I certainly know that I would never opt in to a platform that consistently provided worse execution (especially in the equities space where there are so many choices).

Minor nitpick.

Since you've bought the stock first, your second trade will be a sell and not a short, unless you overfill on the second leg, in that case you'll have a partial sell and partial short.