Zero commission isn't zero execution cost. Modeled 1-3 bp per-side drag erases a meaningful share of a 1-min range in liquid ETFs. Rule 605/606 disclosures expose the pattern but not the per-trader cost. Measure implementation shortfall.

SPY 1-minute range medians 4.9 bp at the open vs 2.2 bp at the lunch low. Every bp retail routing surrenders compounds during exactly the windows where active traders make money. DMA isn't a status symbol — it's the layer that lets traders choose interaction instead of inheriting the average.