I know this could be perhaps subjective to most, but which broker serves the best execution in regards to market orders? I've used Scottrade in the past and had several bad experiences so I am curious if I should switch to IB or Thinkorswim, or is there something better?
If you have a chunk of free time you could look at each broker's Rule 606 reports and then once you know the execution venues you could compare their Rule 605 data for the stocks you like to trade (and the share size you like to trade).
There is a firm called Wall St Access. I used to use them and there fills are really good. Many time they come back after you are filled and give you price improvements of 20 plus cents and that is even in fast moving markets on thin and volatile stocks.
I really don't think execution matters with brokers, unless you're moving some size and even then i think it more depends on you than the broker. When i put my buy order in on IB, it goes straight to the exchange, i can actually see my own bid in the market. It's not like a human being is there picking and choosing which bids to take, it is all electronic and automatic, and fair in my opinion. If you're talking about platform and speed of execution, even then there can't be much difference. Either way, I use IB and i have to be their most happy customer. I have never had an issue with IB. Their platform is never down and i sometimes get some slippage, but i don't think it is IBs fault.
you should check out some prop firms, most of them have more of an investment in technology than any single trader could make. this is where the economies of scale pay off over in the prop world.
Are you trading REAL equities or are you trading penny stocks? With the average price of a listed stock being ~$30 that means you are trading $240,000-$360,000 each trade. The brokers you mention (trading Scottrade in the past) mean you are RegT or 4:1 so at a minimum you have a $60,000 to $90,000 account? Have you gone back to Scottrade and expressed your concerns? Usually someone in that account value range is worth making happy.