If you get a 1099-B then you must report the sale using the "Stocks, Mutual Funds, Bonds, Other" interview. The W-2 is not, really, reporting the "gain" from the sale, it's reporting the "compensation" created by the sale. You actually have no "gain" from the sale since the compensation gets added to your out of pocket cost for purposes of the basis associated with the sale. (I'm assuming a disqualifying disposition here.)
Of course if you don't get a 1099-B because you bought and sold on the same day, (brokers are not required to issue a 1099-B in this case, but they can), then you don't have to report the sale, though you might want to anyway since most same day sales result in a small loss due to selling commissions and fees.
Tom Young
