You didn't mention it but if you have something mechanical/automated I'd be concerned about someone reverse engineering/front running it as if they get greedy it could run into capacity issues. Using one broker to buy another to sell might obfuscate things a bit but I think it also introduces some risks. I heard someone mention they had different results depending not only on broker but account! Sounds a bit unbelievable but when some brokers may be running different books etc, it comes easier to believe.