[nanex]

Rebate for liquidity is entirely different. So is retail price improvement (aka sub-penny pricing).

Retail order flow is sold to a wholesaler like Nite who matches it internally. They are allowed (best execution) to give you the price at the NBBO during a 1 second window. For less active stocks, the NBBO price can change 1,000/second or more. For all stocks, the NBBO price will be slower than the direct feed price. This latency and differential makes it a risk free trade (so long as you don't accidentally release your test code into production: see http://www.nanex.net/aqck2/3525.html)

There is no way to prove what prices existed on all markets at the time your trade was executed, meaning it's on the honor system. So this depends on your trust in Wall Street to give you the best deal.

BTW, we recently added support for linux.