I have had that happen numerous times RK. I will place a 250k Buy order at the Ask and 10 or 20k will get filled at the Bid price and the remainder at the Ask.
It may have something to do with establishing an Average Price for the day or MMs just wanting to list more transactions at the Bid price.
If you place orders under a "All or None" restriction it does away with whatever game the MMs are trying to play.
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