Using a controlled trading experiment spanning 150,000 trades, we study how retail brokers route orders and respond to execution quality. Within each broker, execution quality varies substantially and persistently across wholesalers. Yet broker responses to these dispersions are strikingly heterogeneous: while some route more orders to lower-cost wholesalers, others consistently send more to higher-cost ones. We develop a switching cost model that rationalizes these contrasting behaviors. A natural exper- iment involving wholesaler entry demonstrates that competition improves execution quality even for the most responsive broker. This heterogeneity in how brokers implement best execution requirements shapes the competitive pressure on wholesalers.