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 --
