I actually trade a lot with Interactive Brokers, both stocks and options, and their order execution is so good that I was able to do some risk-free arbitrage as

I actually trade a lot with Interactive Brokers, both stocks and options, and their order execution is so good that I was able to do some risk-free arbitrage as late as earlier this year. Basically whatever/however can get filled, they will do as good of a job as anyone else, and basically providing direct access to exchanges and dark pools. Besides that, they also offer several order execution/filling & accumulation algos provided by external firms, such as Jefferies, Fox River and CSFB, which will snipe or accumulate any order quantity available through dark pools, before market opens, after hours, etc. And IB also provides several algos on their own, which will also tap dark pools, accumulate shares based on volatility, VWAP, and whatnot. IB basically specializes in order execution to a level I haven't seen offered from any other brokers. And that's besides offering decent API and lowest commissions in the industry. IB often also has hard-to-borrow shares available for shorting, which are much harder to find through other brokers. Though one contender that I'd like to try and compare to IB, would be Lightspeed.