Well, first, it happened to me more than once many years ago, so I know first hand that it does happen. Second, an MM can complete the trade leaving himself with a short position on the stock, which he then, if he doesn't like to hold them, closes it when the chance appears. He can be trading for his own account, or he can simply snatch the 100 shares from the 10,000 share order that was not AON. I also know that this is the case because I have a friend who used to work at the exchange, and they pulled that kind of stuff. What the hell, such an order is nothing but a electronic bookkeeping entry for them. Haven't you ever gotten an split transaction. I have. Put an order for 20,000 shares, has 5k, 5k, 5K, 4.5K and 0.3K, and the last 0.2k did not go through. I had it happen the other way around too. I've had 1, 2, 3 hundred shares go through, and the rest just sat there. And at the end of the day. It was just never for a .05 stock. Can't say exactly what the lowest amount was, but it was a penny stock.
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