When I place a market order, 99% of the time the execution is instantaneous and at the quote on the screen. Over the last four years you could count on the fingers of one hand the number of times I went, "WTF???" because of a bad execution. And those were from GTC stop orders where prices were moving against me very fast.
Scottrade gets slammed a lot on ET from people who don't like the fact that they sell their order flow. Sellling order flow is a non-issue most of the time. In fact, if you use limit orders, it's irrelevant.
I haven't done any day trading on Scottrade since the late 90's/early 00's, so if you are very actively trading throughout the day, my experience isn't very helpful. Back when I did daytrade, I was using limits most of the time so it didn't matter if I was using a retail broker or if I was standing on the floor of the exchange, I either got the price I wanted or there was no trade.
