or "Why I must go direct access ASAP" Wednesday, April 12, I placed a trade to buy 300 shares of TSO at 10:29:59 (MARKET ORDER). Now in the three months I've been firing off market orders with this particular firm, I have had no complaints, as I trade exclusively highly liquid active stocks. I sit there and watch as my order remains unfilled for THIRTY SEVEN SECONDS. In that time, the EIA Inventory report was released, and TSO went up $1 in between the time I submitted my order and the time it was filled. Those with access to T&S may want to review the tape from the time period between 10:30:00 and 10:30:37 when my order was finally filled at $110.01. Total ass-reaming. This is the official reply from the broker after I complained....it's a good one: It's tough enough to make a profit (which I did, despite this terrible fill) without having to jump through hoops in the process. Payment for order flow should be outlawed. And I need to smarten up.