You'll actually get better fills from HFTs operating on purchased order flow than you would if you went directly to market. Also, there's nowhere you can go tha

You'll actually get better fills from HFTs operating on purchased order flow than you would if you went directly to market. Also, there's nowhere you can go that won't sell your order flow on undirected orders. But if you don't like it, you can always send it directly to a particular exchange, regardless of who your broker is.