Quote from Ghost of Cutten:
It is literally impossible for price improvement to be contrary to someone's interests.
If it were only your broker giving away money after an execution that was routed to a public market, that would be true, but in the case of a broker routing orders to itself,
no, because it's price improvement
coupled with internalization. Internalization changes the bid/ask/price you would have paid, owing to its disincentivization for others to post better prices. To take it to an extreme, if every order is internalized, there is no bid/ask at all, so you take whatever your broker gives you. Such is the case with many bespoke institutional products, and undoubtedly the source of much of the abnormally high profits at many large banks.
The internalizing brokerage also has information about your current positions and possibly intent to sell that other participants don't have (and indeed probably shouldn't, but then again neither should your broker who's trading against you).
If a man walks up and hands you $10 while covertly snatching $50 from your wallet, did you come out ahead? It doesn't matter whether you never knew you had the $50 -- objectively, you still lost money.
Even if a broker does decide to grace a particular customer order with 'price improvement', which is by no means guaranteed, the 'price improvement' itself is an auction in which there is just one bidder -- your broker. Good luck with that.
