You didn't lose money because of late executions. The market makers are trying to make everyone believe that anybody that uses SOES is a bandit. Stealing EVERYONES money! You know, and I know that just isn't the case. They have a special program called the "Bandit Buster", that is designed to headfake the day trader into selling when he should be buying and vice-a-versa. The way around this is two fold.

First: Only buy an issue when watching the time and sales printout. DO NOT base your order on the marketmaker movements. If you do, you will lose. Only buys at the ask count. Percentage Volume (at the ask) determines when the price goes up. If you don't trust time and sales as being "timely", then obtain a program that keeps track of this with green and red colors for the bid and ask. The last sale with an eye on the volume is absolutely necessary to make a good judgement on a stock.

If you have level two, turn the market makers off. DO NOT WATCH THEM! That is what they want you to do. Only watch Vol & Percentage of sales vs. buys. They can fake out even the oldest SOES trader now, so don't even give them the chance.

Second: With your eyes now where they are supposed to be, try to only invest in issues that are news driven. Don't try to pick up eights and quarters, it doesn't work because you can't tell when the market maker is faking you out. Stay the hell out of stocks that have alot of 1000 share buys as they will be the first to eat it. Only SOES traders are buying that and it is a no-winner. Let them eat each other, not you. Break a few day trading rules and buy companies because of their earnings or new company developments that sound fantastic. Also, keep your mental stop loss variable. If you see the bid dropping, but the sales still at the ask and the volume still strong, don't sell. They want your shares cheaper than the bid and thats a good way to get them. If a large order comes in for a particular issue, the MMers stagger the buys in smaller increments to throw off the trader. It usually works, as you tend to keep real tight stops based on the movements of the marketmaker. The only thing that really bothers the marketmaker now is having to give timely sells and buys. Not being able to delay the price you were executed at, just bugs the hell out of them. THEY HATE IT.

Remember. A REAL price movement isn't faked. It comes with alot of volume. Large buys at the ask. Not alot of 1000 share movements. Avoid the "Strong Buy" recommendations by the marketmakers. A little while after one of those spiels is always a time to short that issue. Some other MMer will come out of the blue and recommend, "Hold from a Strong Buy" and send the stock on a tank