Much will depend upon what's important to you personally, how much $ you have, how frequently you'll trade and hold positions, etc.
I'd stick to reputable companies that have been around for a while and have a good rep. It would really suck to wire your entire nestegg to some fly-by-night boiler room and never see it again.
If you've only got say 5 or 6 figures and plan to trade pretty frequently, you'll probably want something that offers very cheap trades - some are as low as $1 these days. You'll need a minimum of $25k in your account in the US in order to "pattern day trade".
http://www.sec.gov/answers/patterndaytrader.htmIf it's speed of execution, go with a direct access platform. That's usually a flat fee of at least a couple hundred a month or so, give or take. This is a good way to go if you've got 6 figures or more and can afford a couple of grand or more in expenses a year. Be very careful trading outside of market hours on such a system - that's like the wild west.
You won't ever be faster than the automated high frequency systems.
You should also think about security. Security is my top priority. I don’t want to have my systems hacked and have my money or client money stolen. Transaction costs are not a factor to me at my level, and I don’t do a large number of them anyway. I use several different very large, old, reputable, financially stable broker dealers for most of my money and my clients’ money.
I rarely day trade – if I do, it’s because something unusual happened and was made public during market hours that is likely to move something dramatically. It’s done out of a designated personal account holding a limited amount of cash I use for such things. I’ll throw a few bucks at it, get in and out quickly, and hopefully make a nice little profit on it. Of course it’s never a guarantee.
If you’re gonna try to “scalp” throughout the day (not something I’d recommend), you’ll need a pretty big nestegg to be able to make big enough bets that will offset transaction costs and STCG taxes on profits, and that at the same time won’t be overly concentrated and overly risky to your portfolio. Because you will be wrong sometimes. Try to keep losses small.
Regarding limit vs market orders, if you’re going to momentum trade for highest speed of execution, I’d not recommend limit orders – the moves are likely to pass right on by your limit and pass you by. If XYZ is suddenly trading on very heavy volume due to some unusual event and is rapidly moving in one direction, you’ll want to just take a chance at the market in order to get in and get out quickly.
I experimented with limit orders in my early days, and abandoned them for that very reason. I can honestly say that of all the thousands of orders large and small I’ve placed for myself and many others over many years, I’ve never gotten screwed. I’ve never placed a market buy with $10k at $35 on a rapidly moving stock and been hit with $45 – I may have gotten in at $35 and change or a bit higher, but it’s no big deal when I SOLD 5 minutes later at $44-45 and made thousands. Sometimes the order gets filled in pieces in such a situation, but that’s part of the game if you’re gonna do any risky in and out stuff.
And I’ve never had a problem getting screwed with more traditional market orders for longer term investing, even on multimillion dollar orders.
