I autotrade US stocks/ETFs intraday with NinjaTrader. I want to investigate what I can do to improve the net prices I get filled at in my trading. Below are my initial thoughts on areas I could look at. I'd be grateful for comments on this list (e.g. which areas are most material, and which least? etc), and for suggestions on other areas I might include. Thanks! 1. Co-locate my trading computer at my broker (MB Trading) to get my orders into the market faster. 2. Use a datafeed that is "closest" to my broker (probably MB Trading's own feed) to get my signals as quickly as possible. 3. Optimize my trading computer (ensure sufficient speed and power, and remove all unecessary services and apps) so that I am able to react to the signals as quickly as possible. 4. Minize use of market orders. 5. Keep commissions/share to a minimum. 6. Trade only the most liquid instruments to benefit from market depth at each price.