FWIW, in the institutional account specs ( http://www.interactivebrokers.com/html/institutions/institutionalSub.html ), IB talks about soon having the ability to do what I mentioned above - execute at IB even though your money is held at another firm. Cool.
Harris, Looks like you'll be getting what you asked for. The following is from the next TWS beta release (build 824) and should be out shortly.... Exclude exchanges from Smart order routing logic You can now elect to exclude certain exchanges from the smart order routing logic process. On the Configure menu, select Config Misc. Smart Routing. In the dialog box, check the exchanges you want to exclude. When you exclude an exchange, you are also excluding that exchange's market data.