With the Gray Market stocks, which I don't recommend to anyone really, the way to buy them is to use a limit order at the last close price and sit and wait days to weeks maybe even months for it to fill. A transaction might happen if someone else just also made a buy order with a same limit price.
People might get burned using a market order and getting filled far away from the last price. If the price is say 3 and someone lying in wait had a limit sell order at 10, then someone unsuspecting or novice places a market buy order... They could be filled at 10 and not be able to get out. So it can be tricky. You might not be able to see who is selling at what prices.
I guess in absence of a market maker the only thing people can go on is the last price so they use that with a limit order only. It's all sparse and hit or miss if you get trades or not. I think this is how the markets work in some asian countries though. Reading about it all in the past I recall they said this is how they trade in Vietnam etc...
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