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).