You need a good smart order routing software that will send your order to whoever has the best price -- everyday I am seeing more and more liquidity from the ecns on listed stocks -- People need to look beyond the NYSE -- if their are no ecns on the inside - then send your order to the nyse (and hope for a fill) but if ecns are on the inside - which is happening alot - then make sure you have software that will route you order there --
It depends on whats going on with the market. All in all I would say that it is best to have direct lines into NYSE, Amex, Chicago, Boston, Phylly, PCX(Archi), and Island. When NY is trading one price you can pick everyone off if they are in the way on the inside. Direct lines are key. Jeff-- www.tradeoes.com