Ameritrade Apex (formerly Datek) let's you designate which exchange you want to execute a stock trade on. It is an advanced trading feature and you have to agree to all kinds of "I understand and don't hold you liable" clauses, but if you do you can direct your stock trades. I don't know about options trades as I have not tried this.
I use Schwab. Can't specify the exchange directly on the computer screen, but they give you a special 800 number to call in that request (on the real-time quote page of the option). I never tried to use it so I don't know if the commission will be based on the online price or the phone-in price (Schwab will sometimes apply the online commission to a phone-in when a special feature isn't supported online).
This hasn't been an issue for me. I find that Schwab's online trading works very well, they are great at finding the best prices for their customers and response time is excellent. Hats off to their programmers! That is why I don't go to the real cheap commission systems like Etrade.
I have the same experience. It's really frustrating sitting there with a limit order in and you can see a corresponding bid or ask that matches up yet the trade doesn't go through. I use Schwab and they're always happy to move it to another exchange but it takes a call to get them to do it. Nobody's minding the store but me, neither person nor program.
Fidelity Active Trader Pro with Directed Trading Option.
Directed trading allows customers to view streaming quotes from and direct trades to Archipelago, Instinet, Island, BRUT, Nasdaq SuperMontage, or the NYSE.
Available for customers who trade 120+ times across eligible retail accounts within a relationship household in a rolling 12-month period.
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