EGO Trading, page-119

Most brokers can do Centrepoint even Etrade admits in their information to being able to access this platform. However some and if my discussions are correct with Etrade they wont offer it to retail clients and you are subject to a higher brokerage fee - that means it is really often only worthwhile if the order size and gap is large enough. EGO is. I have not used it at this point however.

As regards "Not if the same person is selling at the same time buying them back" I have access to a trading platform that will allow larger clients ( Definitely not retail) to put in orders and only pay brokerage on the net purchase reached over a quarter. The system buys and sells small amounts of shares and averages over the day or days. You are charged on the net instruction which was say buy 20,000. I am also aware that some buyers have been known to put in a large sell order two ahead of their purchase order and to then force sellers who want a place in the queue to go below and then it builds up as a block and they keep milking it below. Every time someone joins the queue at the same price they cancel and replace their sell order. if they get hit a bit its not a problem as they dont pay brokerage the way we do but as a % of the value traded each quarter. as I understand those systems that use one of the SMSF platforms also use this high frequency trading system that buys small volumes and averages over the day to fill orders.

Then there are the brokers who in fact may have no real cost of trading.