> their interpretation cannot be influenced by the fact that the trading orders are passed for real
It's not going to make much difference with $5 trades, but the impact on the market is non-zero.
Whenever I trade, I somehow always get an adverse price. I figure it's the "no fee" brokerage chiseling a bit off for themselves. I compensate by being a buy and hold hold hold investor, so paying very little in aggregate for that.
What I don't understand is how day traders avoid being eaten alive by this.
Day traders use platforms that are optimized for speed and minimal fees, and that don't charge fees based on lot size.
The more nuanced practice that brokers use to monetize is payment for order flow. They sell your security order flow to algorithmic trading shops that buy and sell the securities you want to trade.
You’re correct in that most retail orders never make it to a regulated exchange, but that may not always be a bad thing. There’s been studies showing that HFTs often match retail trades even when the market moves against them since they are better able to predict market changes and can still profit off the trades.
[1] https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3423101