I've had TS6/Tradestation Securities doing a little automated strategy trading on a QQQ sytem, been doing ok, and added the SMH to the mix this morning. Just trading 100 shares of each on an experimental basis to see if this really works. Today at the close of the first 30 minutes the system generates a sell in the SMH. It sends a market "intelligent" sell order. I look at the IB screen and it shows AMEX firstname.lastname@example.org and ARCA 20.62 bid, good size on the bid, I forget what the offer is. Didn't look at the other ECNs. The order seems to take a little too long to execute, although the .62 bid is holding steady on ARCA. Anyone care to guess where I got filled? Yes, 20.57. I called TS and asked them what the deal was and they said all "intelligent" market orders go to the exchange. My order went straight to the Amex specialist without looking at the ecn's. Oh yeah, as soon as I got filled, the amex bid went to 20.65. Now, I have 10 cents per share per side slippage and commission built into the system for SMH, so I am ok on this trade, but giving up a nickel a side on a regular basis would certainly suck. I am going to look at the software that's out there that will interface TS6 with IB, and probably move this program from Tradestation Securities back to IB. Just wanted all to be aware that TS market orders for listed stocks are not routed to ECNs even if they are showing much better pricing than the exchange.