order priority

I actually checked with my brokerage and they told me that they send orders directly to the exchanges after doing a simple purchasing power check and don't perform any internalisation.

Since it is going straight to the exchange, can I think I can assume that internalisation is not a issue for me, but rather some type of order priority issue at the exchange itself.
 
I dont think that anyone is saying that YOUR order was internalized. It was part of the exchange book, waiting for an order to take the other side of the trade.

The problem is that orders are fill elsewhere and ignore your offer to buy. If you increase the number of digits on T&S, you might see a lot of orders .0001 better than yours. These orders cant be displayed on the order book, but they are a indication that a market order was filled at a slightly better price than you offered.

There is not much you can do about it unless you go agressive and improve your bid.
 
Well, the first problem is that I can only improve my offer by 1 cent increments.

Secondly, nobody can submit an order like 8.08001 to the exchange so at the exchange, my 8.08 can't be beaten in that fashion.
 
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