I've put in orders with Ameritrade for 500000 shares at the ask, when there have been 3 or 4 market takers on the ask, and have been filled with 5000, 5000, 5000, and 10000 shares and then seen another buyer get a couple of hunderd thousand shares at that price AFTER my orders were filled, then the ask is immediately raised... I have been very dissatisfied with Ameritrade for buying COPI, or any OTCBB or Pinkie for that matter...
But I assume that's because they aren't required to give first order preference like Nasdaq or NYSE rules require.