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I will second Thinkorswim here. I've got accounts with them as well as with Scottrade. I've tried placing the same order on both, with Thinkorswim filling nearly instantly and Scottrade filing only 1 out of 10 of the total order quite late. This is not an isolated occurance, so I only use my Scottrade account for my long term positions where execution time and price isn't so important. Scottrade's handling of options also it terrible compared to Thinkorswim.