Paul, that happened to me also. Part of the fault of Scottrade requiring limit orders on pennies. AON and limit orders can be held by MM if they want to, if the limit price is set far enough over the ask, they will. I mean, will hold the fill until the bid catches up with the ask. Starting at .37, I changed the bid 3 times and at .48 I stopped using AON. It then filled in 3 lots. 500-300-200. If I bought the 10000 I wanted at AON I probably would be in at .52 Lol !