INTRODUCTION The world of securities trading is changing. Advances in technology, combined with the dramatic decrease in the cost of information processing, have conspired to change the way that securities transactions occur. While broker-dealers, specialists, and market makers still ply their trades, they are now joined by a host of new market participants such as robot traders and electronic limit order providers. And while exchanges and the Nasdaq continue to operate, they are confronted by a wide range of competitors including the trading desks of the large broker-dealer firms as well as Alternative Trading Systems (ATSs), the best known of which are Electronic Communications Networks (ECNs) such as Brut ECN, Instinet, and Inet ATS. (1) Trades in equities also are executed on the "third market," which simply refers to firms like Madoff Investment Securities, Knight Trading Group, Jefferies Group, and ITG, all of which arrange trades in exchange-listed stocks on venues other than an exchange. Trading has become a commodity, a standard process whose measure of success is increasingly captured by the simple metric of cost of transacting.