Are you selling at the bid and buying on the ask? That should almost guarantee you get a fill. Also, don't use an AON - that might delay the execution too. If you are being careful and don't want to bidwhack or buy on the ask then it is just a matter of whether you luck out or not and get a fill. Also if you are using limit orders, if you price doesn't hit you won't fill. If you want a definitive fill you have to put the buy order in at the current ask or above and sell at the current bid or below.