Financial markets are fragmented, with different asset classes trading in separate markets. Yet most empirical asset pricing research pays little attention to this type of fragmentation. As a result, we know relatively little about how financial intermediaries operate across markets or how to design policies that account for cross-market dynamics. We construct a unique dataset that traces trading by registered broker-dealers and exchange members---dealers---across all major Canadian markets for bonds, stocks, and exchange-traded derivatives. We show that dealers concentrate their activity in specific markets and asset types, with stronger specialization across markets. We provide suggestive evidence that this specialization reflects a mix of firm organization, market frictions, and client demand, and show that more specialized dealers consistently obtain better prices, indicating a trading advantage.