As far as I can tell, CyberXchange (CyberTrader's smart order routing algorithm) NEVER routes to BRUT. If BRUT is on the inside ask and you place a CyberXchange order at that price, your order will be placed as an INET bid locking at the same price, rather than execute against BRUT. I've tried it several times, and I always get the same result. So I try instead to use an ARCA order. Now with TradeStation, if there is a BRUT order on the offer at the same price as my ARCA bid, I will get an execution. But with Cyber, again I am locking the market, ARCA on the bid and BRUT on the ask at the same price. I've called Cyber several times, and I get the same nonsense...'Why don't you just route directly to BRUT?' or 'CyberXchange will route to the venue it deems best will get the best fill at the time of order.' So my understanding is this: CyberTrader has ARCA set up so that it only executes against its own book, whereas TradeStation has ARCA set up to route against other ecns if ARCA is unavailable at my price. Is this correct? If so, will brokers sometimes enable your account so that ARCA has smart capabilities?
ARCA allows your broker to set a PNP (Post-No-Preference) order type flag, which prevents ARCA from routing your order to any other market center.
I use Cyber's Smart key which is very similar to Cyber Exchange and it executes against BRUT. Regards, Warren