Why? Do you think they fill an AON at one price? What the MM's do versus what shows up in my account are 2 different things! I am doing just wonderful! JMHO
MMs have zero obligation to fill a buy order on the BID. And an AON order is just as bad, but it protects one from getting a 36 share fill EOD. Like that happens to us all the time. Those sting. Been there done that too many times. I always use AON buying on the BID. I wouldn't go over 10k at a time. Not at .05 or above.
Delfin bought the O/S for a damn good reason. Figure that out and your rich.