IEX markets itself as a venue that protects individual investors from high-frequency traders who have co-located computers inside other stock exchanges that offer direct feeds to high-frequency trading firms.
The two clients who sent their correspondence to CNBC said they were concerned about high- frequency trading and wanted to route their trades to IEX, where they felt they would be less at risk from faster competitors in the market.
One of the clients, David Navari of Maryland, said that he thinks payment for order flow, in which firms receive cash from exchanges in return for routing orders there, has clouded the decision-making of his broker, Fidelity Investments.
Read More David Einhorn takes stake in HFT-antidote IEX
"It is illegal for a brokerage to front run my trades based on knowledge of my order, but currently it is not illegal for the brokerage to sell my trades to market makers who can profit by filling my order with a stale price knowing that the market has already moved based upon direct feeds from the exchanges," Navari told CNBC. "And then to make matters worse, the brokerage has the gall to deny my instructions to direct my trades to venue of my choice so I can prevent this."
Client requests to direct orders to a particular trading venue can put brokers in an awkward position. Typically regulations require them to find the best deal for their clients, and at any given moment that best deal may not be available on IEX. Still, the regulator who oversees the issue says the rules are clear: Brokers who have access to the exchange should route the customers' trades there if the customers ask, even if it means getting a worse financial deal for the customer. What's more, brokers are advised to constantly seek out connections to new trading venues so they can ensure they are getting best execution on trades.
FINRA, the independent securities regulator, says its rule 5310 offers clear guidance to brokers dealing with customer requests to route trades. "If a customer asks a broker dealer to trade on a particular venue and it has access to that particular venue, it should execute the trade on that particular venue," said a FINRA official, who asked not to be named.
Read More Analysis: IEX's exchange plan stirs US stocks queue-jumping argument
The FINRA rule states that brokers are required to trade on the venue requested by the client, and they will be deemed to have fulfilled their so-called "best execution" obligation to find the best deal for their client by doing so. "If a member receives an unsolicited instruction from a customer to route that customer's order to a particular market for execution, the member is not required to make a best execution determination beyond the customer's specific instruction," the rule states. "Members are, however, still required to process that customer's order promptly and in accordance with the terms of the order."