Some systems won't let you place a market order on pennies. I know Scottrade won't accept market orders for shares under $1. I don't think it is strange though that you order is not going through. The MM's control the trading. They don't have to rush to fill your order. However, I have seen other people put in trades, then get them filled later in the day. Have patience, if you really want to sell, they will probably sell within a day or two.
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