If you put in the order, they should have a record of it in the log files of their web site. You should call them and say that you know their web logs record everything and that if they don't compensate you, you'll seek access to the web logs to prove that you put in the order just like you said. Anything that gets posted to a web site is logged somewhere, so if you put the trade in online, there's a record of it. They might have a disclaimer in place that protects them from liability, so I'm not sure how the whole thing would play out.
Alot of people say good things about Interactive Brokers, so it might be worth checking out.
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