Not sure - I don't as a rule trade US stocks, so I'm not au fait with the fill times, although it will of course depend on which stock you're trading. Even with direct access, not everything gets filled immediately. I watched Alan Farley trade using direct access, and he was filled in batches too.
Perhaps one of the clever guys will know more.
I had a root around a year ago to find day trading possibilities of US stocks in an ISA wrapper, and the best I could come up with at that time was myBroker.
Not sure I qualify as one of the clever guys, but I possibly know more about direct access and UK stocks. The reason your fill may not be instantaneous is that your order may be bigger than the size showing on the book - i.e even though a stock is showing (say) 123.5-124 there may only be 115 shares on the offer, so if you come in to pay 124 for 2,000 you would get an immediate fill in 115, and barring any hidden or tranche orders, the price showing would now be 124 bid for 1885 - i.e the balance of your order. If you have Level 2 access you'll be able to see the depth of the market