Yesterday, I opened a long position in NXTL, with a market order, using my broker's automatic routing. The order was routed to NITE and was filled quickly. But when I tried to close the position by Sell at Market, i-routing again, it was routed to NITE again, and took 17 second to fill. Look ... Order Time: 11/26/02 3:11:19 Reported Time: 11/26/02 3:11:36 Action: Sell Ticker: NXTL Quantity: 700 Price: 12.880 Commission: 0.00* Broker: NITE (*I got a free trade because I had resolved a dispute with the broker.) (I'm new to DAT trading), I was using market sell order to exit the long as quickly as possible. Turns out that I lost another 2 cents while I was waiting for the fill. I called the broker and was told that, NITE might have had orders ahead of me, but 17 seconds seem a bit of stretch, normally market orders are filled within a few seconds. Later on, I was also told that, if I send a market order, it goes to a market maker only, not an ECN, and I will get the NBBO price I'm looking at only if the market maker is represented at the NBBO (inside price), otherwise I must wait until the market maker is represented at a NBBO before my order is filled. (which presumably might be much worse fill than what I was looking at.) 1) Based on this info, I might not use market order again, not knowing when it will get filled. 2) I need to familiarize myself with different market makers and how they operate. My broker can route to Knight, Schwab Capital Markets and Goldman. If I trade fewer than 1000 shares, and only trade liquid stocks like NXTL which is the best market maker to ever route to? 3) I have the option to route to SOES. Should I have routed to SOES in this situation? Would it have filled me immediately at the inside price? Would it depend on whether one of the aforementioned market makers (Knight, Schwab, Goldman) was represented at the inside price? For now, I will only use a limit order that will clear the market immediately (for example, buy limit above the best ask) to exit a position.