Some "scalpers" set up their own place called rocket trade... I think. The ex-head trader from MB set it up, and he gave me some information about it, but I have no idea where it is... Don't know fees or much of anything.
I was told their whole firm is (was?) based on getting the best data available, and it is (was?) set up for pure scalping.
Anyway, if you find anything out let us know.
Good Luck