Brokers are legally required to seek the best execution reasonably available for their customers' orders. To comply with this requirement, brokers evaluate the orders they receive from all customers in the aggregate and periodically assess which competing markets, market makers, or electronic communications networks (ECNs) offer the most favorable terms of execution. Some of the factors a broker must consider when seeking best execution of customers' orders include: the opportunity to get a better price than what is currently quoted, the speed of execution, and the likelihood that the trade will be executed.
SEC rules require broker-dealers to provide quarterly reports on routing of customer orders and require markets to supply monthly reports on execution quality. More information, including links to the monthly market reports, is available here (link: http://www.sec.gov/investor/pubs/exquality.htm). Details on the basics of trade execution – including order routing, payment-for-order-flow, and internalization – are found in Trade Execution: What Every Investor Should Know.