Online trading is a rush. It’s fast, it’s cheap and it can make you feel like the master of your own universe. But the cyber Street may not be paved with pure gold. Complaints about slow service and bad trades are piling up at the Securities and Exchange Commission. SEC Commissioner Laura Unger worries that investors may be more entertained than they are empowered. Steven Caruso, a New York lawyer who sues brokerage firms for disgruntled clients, says, “I’ve seen people place orders and get them filled at much higher prices, investors who think they’ve canceled orders only to have them filled days later and people who accidentally buy far more shares than they have money for in their accounts.”

For an industry that clears more than 21,700 trades a second, these anecdotal problems seem like drops in the ocean. Still, it’s better to learn the pitfalls before you start playing. Here’s how to protect yourself from the short end of the click.

Get the right price. Most complaints detail price woes. SEC chairman Arthur Levitt talks of one customer who tried to pay $9 a share for an initial public offering, but didn’t specify a top price. The trade was executed at $90.

In a fast-moving market, you may not get the price you want, and there are stories of investors mistakenly buying more shares than they could afford or selling shares they didn’t own. Don’t count on the regulators to save you. Both the SEC and New York state soon will be proposing solutions, but they’re as worried about restraining investors who “don’t need training wheels” as they are about steadying those who do, concedes William Mohr, a senior New York securities official. Here’s how to protect your own prices.

Use limit orders. These specify a maximum price for buying or a minimum for selling. If you put in a $20 limit order for a stock that’s trading at $21, you may not get it. But you won’t pay $120, either.

Find a broker that will protect you from yourself. E*Trade won’t take orders for IPOs that aren’t limit orders. Schwab’s computers kick out possible errors and follow up with phone calls.

Learn to love speed bumps. These extra “are you sure?” screens can keep you from going broke because you spasmed on the zero key.

Slow yourself down. Account churn–constant, aimless trading to generate commissions–used to be something bad brokers did. Now, click-happy investors are churning their own accounts. When investors go online they start trading twice as often as they did before and remain 30 percent more active even after they settle down, says Terrance Odean of the University of California, Davis. The more you trade, the worse you do. Investors beat the market by 2 percentage points before going online and then lagged it by 3 percentage points after they got “empowered.”

Without a broker to veto your impulses, here’s how to control them:

Have a strategy. Decide your criteria for buying or selling and stick with your plan.

If you’re determined to trade a lot, set up a mad-money account and use that.

Get your trades through. It’s no fun to get shut out of the market in the middle of a sell-off. Even the online leaders have lost hours to outages as firms race to build capacity. Brokers with lesser technology can lose trades to screen freezes and the most sluggish sites may fail to finish almost half of the trades customers try.

Here’s how to prevent blackouts:

Choose a broker with a good record of completing trades quickly. Keynote Systems monitors the field’s techno-efficiency at www.keynote.com. Its favorite is DLJ Direct, which cleared 99.6 percent of its trades in an average 10.57 seconds.

Stick to brokers that offer alternate access: the firm should allow you to trade at online prices via its toll-free number when its site is down.

Find the right broker. With $1.9 billion on the table in online commissions this year, it’s no surprise that brokers are spending $1.5 billion in ads–to get your business. But they start to look alike anyway. There are we’ve-got-it-all shops like Fidelity and the fast cheapies like Brown & Co. Pick the type that suits your style and consider these points:

Watch the costs. It’s not just the commission that counts. There’s a big variety in the fees for buying on margin, placing limit orders or trading mutual funds.

Take your time. Remember, in the race to the Web, it’s not the first one there, but the last one standing who wins.