Taking this back to the original question on a much more superficial level, if the original poster is sending a limit order why does all the technical stuff that everyone is parsing through matter? Clearly a naive take on the original posters question but if the OP has determined they want to enter a position of 10,000 shares of equity X at a limit price of 10.00, going back to the original point, does the broker matter when executing limit orders? IF the order gets filled at 10.00 isn't the OP getting into the position they had planned the trade for? Is the question whether the order actually will get filled at 10.00? Ultimately the way I read the post is that as long as the order fills 10,000 shares at 10.00 the OP's limit order was executed. Again, a naive take on the original post and maybe my discretionary take on trading is very simpleton but ultimate it seems if you are placing limit orders a fill is a fill for the price you set the limit at. What am I missing on this? From my perspective of predominately options and futures trading, execution seems to be a much more significant issue with wider option spreads than on tight high liquidity equities.