This gets very complicated mostly because its physically impossible to guarantee the best price in all exchanges at the exact point the order was entered. You

This gets very complicated mostly because its physically impossible to guarantee the best price in all exchanges at the exact point the order was entered. You simply cannot transmit the order fast enough. Brokers are required to fill at the National Best Bid and Offer price which is specifically defined as the best bid on the national quotation system. However the NQS can only update so fast. Your broker may well know it can get a better price on a specific exchange. Fidelity will actually keep track of when it gets you a better price and inform you with their "Price Improvement" statistics. Other brokerages will sell your orderflow and let a third party take the difference instead.