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What type of brokerage house should I be looking for?Look for the following features:
On days of heavy trading, it is not very unusual to see your order go unfilled even if you are hitting the bid or bidding at the ask.
You may also consider having accounts with more than one broker. The reason is that when you are short-selling, you have more than one door to knock on for those shares you desperately need to "borrow".
Choose a well-established broker (for example the brokerage arm of a chartered bank). These brokers operate under the umbrella of big financial institutions and therefore have the staff and resources to allocate on days of heavy trading. On quite days, there probably is not much of a difference amoung the existing brokers out there.
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