Broker-options

Well, after posting this I learned that Alpaca does PFOF. I'd prefer a direct access broker. So, now I'm leaning toward TradeStation even though the extension is newly released.

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I learned that Alpaca does PFOF. I'd prefer a direct access broker. So, now I'm leaning toward TradeStation

TradeStation does PFOF as well.
https://en.wikipedia.org/wiki/Payment_for_order_flow

You must do a great deal of trading if you're worried about the price improvements on trades.

Thank you both. This is helpful.

For anyone else that might prefer to work with brokers that do not participate in PFOF, here's what I've found. All brokers with direct extensions except IBKR accept PFOF.

Unfortunately, to use IBKR we need to run a background java app and IBKR will allow only one active session. If you log into IBKR with your phone (for example), then your java app will no longer be connected which means WL will not be connected. The java app needs to be restarted at least weekly which isn't a huge deal. Workable, but not ideal. Hopefully IBKR will offer an up-to-date API in the future.

Through Medved we can get to brokers like Fidelity that do not accept PFOF. Problem there is that Fidelity does not offer an official public API. My only guess is that Medved has reverse engineered the web-based features and essentially emulates what a human would do when placing a trade or collecting data. There is also a public GitHub project called Fidelity-API which has reverse engineered Fidelity's web API. Having done this type of work in the past, my hat is off to the folks at Medved for making it work so well. The only issue with this approach is that it may break any time Fidelity makes a change to their website, or the services accessed through the website. For some styles of trading, it may be no more than a minor annoyance if the broker connection suddenly stops working. For others, this could be a major issue.

I've read some of the broker's 606 filings and related abstracts. Brokers typically say that they charge the same amount to all markets and do not let PFOF influence routing. At the end of the day, it is very hard to know how much PFOF impacts order execution. For those that don't trade often and don't care about intraday slippage (especially in times of high volatility), this isn't likely going to be a big issue.

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Fidelity does not offer an official public API. ... Medved has reverse engineered the web-based features ...

Yes, that is what Medved has done.

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There is also a public GitHub project called Fidelity-API which has reverse engineered Fidelity's web API.

Well, that sounds interesting. Then I wouldn't need to pay for a Medved account (which I don't really need) to trade with Fidelity. Can we develop a WL plugin that uses this API to trade with Fidelity?

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The only issue with this Fidelity reversed-engineered approach is that it may break any time Fidelity makes a change to their website,...

Yes, it's a risk. I scrape some Fidelity fundamental data for use with WL, and this approach does break occasionally. A Fidelity trader can always use Fidelity's Active Trader Pro to alternatively place trades whenever changes to their web API breaks the WL plugin.

I took quick look at the Fidelity-API public github project, and didn't find anything useful. There's some basic documentation, but nothing you couldn't figure out quickly. That one seems to be a dead end.