Because certain tickers may be restricted with one firm but not with the other. I suppose both of my brokerage firms, Scottrade and Etrade could restrict the same stock, but it hasn't happened yet. The times that Scottrade has restricted a stock I wanted to buy, Etrade has not. And visa-versa. For me, it has been good to have a second option. And it is easy to move money from one to the other once you have your transfer/wiring instructions in place. It's just the way I do it. Others may disagree. To each his own.
Good fortune with your trades!
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