(FORTUNE Magazine) – When you trade stocks online, it's easy to imagine that the instant you click the mouse, your order is zapped directly to the exchange floor. You command, the market responds. What really happens can be much clunkier: Your order wends its way through a series of brokers and electronic-trading venues, and ends up with someone who is supposed to get you the best price around, known as the "national best bid or offer," or NBBO. All of these layers can add delay, confusion, and, worst of all, cost to your order. If you're smart, however, you can learn what really goes on with your trades and avoid some of the pitfalls. Here's how:

Keep Two Accounts

Technological glitches are among the most common pitfalls of online trading, frustrating investors by blocking access to their online accounts. In about 15% of cases, traders can't get to the trading page in a reasonable amount of time (defined as 12 seconds per Web page you have to click through to get there), says Dan Todd, director of strategic marketing for Keynote Systems, which rates online performance. "It's like saying out of every 100 phone calls, you're not going to get a dial tone 15 times." A way to avoid being locked out of a stock you want to buy when you can't access your account: Keep accounts with two different brokerages.

Speed Is Not Everything

If you are a day trader, speed is all-important. But if you're an investor, a slightly slower trade is not always a bad thing. The compensation for less than instant execution can be "price improvement"--getting a price better than the NBBO. Say, for example, that you put in a market order for Coca-Cola (that is, you say you want to buy it at the current best price). Say the best bid (to buy) is 60 and the best offer (to sell) is 60 1/2. Your order might get routed to someone like third-market broker Bernie Madoff. When he gets your order, his system automatically posts a bid for you at 60 1/4 for 30 seconds. Though 30 seconds is an eternity for a day trader, in that time Madoff, or others like him, might be able to get you that improved in-between price. In fact, according to Transaction Auditing Group, a private firm that rates execution quality, brokers improve on the posted price in 48% of trades in Big Board and Amex stocks and in 16% of Nasdaq trades. Now, unless you tap into a liquidity portal (see below), you won't have any control over where your trade goes after you hit the send button. But understand that if your trade takes longer than a few seconds, it doesn't necessarily mean that you got a bad deal.

Use Limit Orders

The trouble with a market order like the one you made for Coke is that there's no telling what price you'll actually get. While brokers often improve your price, TAG also reports that, on average, 2% of Nasdaq trades and 1.1% of listed trades happen "outside the spread"--in other words, at a worse price than you are supposed to get. This is why smart online investors use limit orders, a command to buy or sell a stock at a specific price, rather than an order to find the current price. If you know the spread--information that is readily available on the Internet--and put a limit order between the bid and ask prices, the chances are fair someone will take it and you'll create your own price improvement. Brokers often charge more for limit orders, but you can make up the difference by getting a better price. The downside of limit orders is that you might not get a trade at all. "The greedier you get with a limit order, the more likely it is you won't get execution," says Ed Nicoll, CEO of Datek Online.

Beware The Morning Rush

The opening half-hour of Nasdaq trading each day is so volatile that Omar Amanat, CEO of Tradescape, a day-trading firm and online broker, won't let in-house trainees start trading until 10 A.M. The Nasdaq opening has been getting worse; blame that on those people who enter orders at night. Online brokerage firms say they get some 30% to 40% of their orders after the market closes. Those investors may not realize it, but when they enter a market order after hours, they are really telling the broker to find the current price during the morning rush period, and their order ends up getting jostled about during the most dangerous part of the day. So enter a limit order. If you must use a market order, do it during the day, not at night.

Beware The Nighthawks

There's after-dinner trading--those orders that get jammed in the morning rush--and then there's real after-hours trading, in which hard-core buyers and sellers come together to trade after dark on electronic communications networks, or ECNs. Most brokers treat this kind of trading as a separate and treacherous universe. There is some reason for caution: After hours, each ECN is in its own world. The electronic links that allow market participants to compare prices shut off. Until the ECNs (there are nine Nasdaq-linked ECNs now) link up (which they plan to do), there will be several separate and erratic nighttime markets instead of one big, stable one. To protect investors, brokers allow only limit orders at night. No one wants a call for the best price to go out on a low-volume ECN. Only a few brokers--Datek is one--allow limit orders to carry over into the night session. It's still possible to enter an idiotic limit order--day or night--though, so keep track of the closing price and watch the relatively liquid Island ECN (www. isld.com) so that you don't end up paying more than you should.

Get a Direct Link

A way to avoid worrying about your broker's ECN access is to choose a type of broker with direct links to the ECNs and market centers. These "liquidity portals," such as Tradescape and CyberCorp, are a fast-growing part of the online trading business. While traditional brokers send orders to yet another layer of brokers who pay for them, these more advanced systems allow customers themselves to direct the order. Sound like a hassle? Then let their "intelligent" computerized order-routing find the best price for you. The order is instantaneous, so you won't wait hours to see if you traded and at what price. As online traders get smarter, they'll probably start ditching first-generation online brokers for these more direct systems.