I have been with a direct access firm for a while. I am strictly day trading (large caps, about 20 trades per day). Most of my trades are market orders and routed to several market makers. I do this mainly to avoid ECN fees and also get better fills. Limit orders is not an option for my method, so I can't trade for rebate. Everything has been fine (profitable). Recently, the firm informed me that the MMs are complaining about my "abusive" use of the routing and threatening to cut me off. The firm explains that MMs in general don't like day trading order flow. Here are my questions: 1. Has anyone run into this type of problems before? 2. Why MMs don't like day traders? All my orders are market orders and they should make plenty of spread out of me. 3. I initially came to this direct access firm for its low commision, now I figure if I'm forced to use ECNs for my market orders, the fees plus commision is actually much higher than most discount brokers, so does it even make sense to saty with this firm? 4. Could I run into the same problem with a non-direct broker (like Ameritrade, Scott..)? Any feedbacks are appreciated.