FWIW (Ameritrade/ broker) I have experienced problems with fills on both the buy side and the sell side recently, especially in the past 2-3 months, and has cost me mucho $$. I do not know exactly why it has gotten so bad, but I have many times tried to buy at the offer with 2-4 mm on L2 at the buy price with no fill. Also the reverse has been true with selling , even when the bid has met my sell limit or exceeded.
It is very frustrating. The discount brokers maybe our worst enemy, and direct access brokers may offer better executions because they are not playing against you to make money.
I have since switched to Freetrade, so I at least have a greatly reduced commish to make up for some of the lousy executions. I figured it couldn't be much worse. lol
Hope you find the answer.
GW