A long-standing puzzle in U.S. equity markets is why hundreds of off-exchange venues coexist. Under the conventional best-execution metrics of execution cost and speed, many venues appear both slower and more expensive than their competitors. We propose that execution-speed volatility helps explain this inconsistency. This paper constructs the first empirical execution-speed volatility measure and shows that higher execution costs are associated with lower execution-speed volatility. The compensation is strongest in the right tail of the speed distribution, where orders execute with extreme delay or fail to execute at all. We find compensation for speed volatility but not average speed for ETFs, which are often used as legs of coordinated multi-security strategies. We find that younger venues tend to offer lower speed volatility and higher cost. Finally, a random-coefficients venue-choice model shows that incorporating execution-speed volatility as a third dimension of execution quality substantially improves model fit and helps rationalize market fragmentation as an equilibrium outcome.