Is trade station's historical data filtered as well? Ninjatrader also has a data filter but it only work in real time so the historical data is still unfiltered.
eSignal provides exchange filtering on US stock symbols. e.g. When you are receiving data for IBM, you can specify that you want NYSE data only. And for MSFT, you can specific NASD only, etc. They call that Regional Data. Other data vendors may have it so shop around.
This would benefit because the issue with out of sequence trades is multiple exchanges? Using only one should correct the issue?
Some of the times it is a cross that is reported late. And out of sequence trades are in general caused by merging data reported from multiple exchanges. So using one exchange only data will ensure the sequence.
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