Yeah. The way a broker routes orders…the number of market makers they have access to. How “intelligently” they route those orders, etc. all has to do with the spread between the bid (sell quote) and ask (buy quote) from your broker. The market maker makes that spread. That’s a cost. However, if your broker is great, they know how to narrow those spreads on your behalf by intelligent order routing and having agreements with many market makers.
In a fast market, your fills could be delayed due to a long line of orders ahead of you. BUT another scenario can also happen too. You can have your order filled, but due to the fast market, there can be delays on the reporting back of that filled order. Everything functions differently in a fast market (not as efficiently, due to the excessive, unusual order flow load).
The quality of fill can vary from broker to broker, yes. Commissions are only the obvious cost. But then there’s market making spreads and slippage. slippage is the difference (outside of a fast market condition) in the quote you see and the fill you get.
It’s why I only suggest TWO brokers: Ameritrade and Schwab. And in a few years, they’ll be consolidated into one, since they’ve recently merged but still function independently at this point. There are no other brokers that I believe do for you what these two do. Interactive Brokers is good too, but they don’t offer as much help and are really for very seasoned traders, mostly.
Fidelity doesn’t make the cut.