Not sure but it seems like Swissquote customers may be protected up to CHF 100,000 (about €88,000) per client which is significantly higher than Saxo's and IB's €20,000. This may apply to cash deposits only as I can't find reliable information about what happens if the broker goes bankrupt because they played with the clients' assets and consequently the equities belonging to the customers cannot be fund in the separate trust account or it was used as a collateral for unauthorized leveraged positions. Still, it's more than nothing.
I found another one. Some EU residents may open an investment account with BNP Paribas and it allows you to trade equities online. The minimum deposit is €50,000 though but this one is a bank owned brokerage subsidiary.
Internaxx is another one, deposits are guaranteed up to €100,000 per clients however there is a tiered account maintenance fee depending on the number of trades you have placed in the previous quarter, ranging from €0 to €45. Trading on EU markets costs €24.95 + 0.1%. Not cheap.
Calamatta Cuschieri is another one. They have been offering services since 1972. Their clients are protected up to €100,000 each and you can trade stocks from 0.1% on some EU exchange with a €9.99 minimum. Their CC Trader platform also offers bonds and funds. There is no account minimum.
Lynx and Degiro can be cheap too but both of them are Dutch so the deposit protection per client is €20,000 only.
Keytrade Bank is reasonably cheap and presumably they offer a deposit protection up to €100,000 per client. Fees are starting from €14.95 / transaction between €0 and €5,000 blocks. BOV Stockbroking clients presumably also benefit from the up to €100,000 per client deposit protection scheme. Cornertrader, Strateo and TradeDirect clients may benefit from a deposit protection of up to CHF 100,000 per client.
Vitrade and Flatex from Germany are probably the cheapest I've seen in a while and clients may benefit from a €100,000 deposit protection per client. Patria from Czech Republic is cheap too but the deposit protection is only up to €20,000 per client.
You should not measure a brokers safety based upon AUM as client funds are segregated and can't be used for a firms obligations. The US giants you state - Ameritrade - Market Cap $29B, Schwab $59B (fidelity private), E-trade (you didn't mention $12B) Interactive Brokers $22B. None are small potatoes. Also they would all need to burn through shareholder equity before going bankrupt. Schwab rules the house here with $20B but Ameritrade is right with IB at $8B and $7B respectively. Banks on the other hand have off balance sheet assets which are much more dangerous than a well run brokerage. Brokerages were not bailed out after 2008 but many banks were. Point is you are worried about something where the odds of bankruptcy are extremely remote.
Exactly. Brokers are almost never bailed out but banks was bailed out, that's why I think it may be safer to open an account with a bank rather than with an independent broker. Misuse of clients' assets can happen with well run brokerage companies as well. You may remember MF Global!? On the other hand even when BofA, Citi, Goldman Sach, Merrill Lynch, etc. was about to go bankrupt, they got bailed out, 100%, and therefore their clients were safe. Consequently the deposit protection does matter a lot, especially when it comes to non-giant-bank-owned brokers.