Ming .... I too use Scottrade and I've found that it was faster to get your order filled by not including the AON. It seems that the MM tend to pass over them and fill orders in bits a piece instead of filling a large order all at once. Not to say that it hasn't happened but I've have AON orders not get filled, then take it off and have the order filled in two or three pieces during the day.
You are correct about only getting hit with one commission charge if the order fills in one trading day.
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