Today I placed an order to BUY at 31.01.. Volume seamed HUGE 150k for every 2 min bars Order Entry software is IB/TWS price wnet thru 31.01 and I didnt get filled on 1000 shares until 31.40, slippage of 0.4. I was surprised, I check Market depth and the BID and ASK volumes didnt seam to represent the volume bars on the chart. Market Depth seamed light on all ECNs, and I would not have traded this stock on the Market depth view. Question : Can there be huge volume in a stock (NYSE) because the floor traders are doing it between themselves. This volume isnot going thru ECNS so the online traders are at a disadvantage as they dont get access to all the volume thats is trades, unlike the NASD. Thus slippage can be bad with IB as prices reps thru, but one cant trade it as there is no online shares to trade. Conclusion not all volume seen in your volume bars for NYSE is available to all for buying or selling. AM I CORRECT ??