Let's suppose you are about to trade 100,000 shares of a stock that trades only 200,000 shares a day. Clearly you are going to move the price if you want to get the order done over the next few days. Now suppose that you are the broker. You can 'front run', that is, buy stock ahead of placing the customer order and ride the stock upward, but that is illegal and a bit too obvious. Instead, prosecutors in Brooklyn today allege the following occurred at Citigroup, Merril, and Lehman (see here). Brokers set up the following quid pro quo with day traders: send me X shares a day to trade, perhaps even buying and selling the same stock. The commissions are really just ways to launder the illegal profits back (partially) to the broker. In return, the broker sets a phone down next to the trading room squawk box that transmits customer orders. That phone is left on all day and is dialed directly to the day trader. The day trader front runs, the broker gets some extra commissions, all paid for by customers in the form of higher fill prices for buys or lower fill prices for sales. If you have really big customers, they probably wont even notice.