I ran into this problem once many years ago because I was using an AON (all or none) order and I didn't realize that the trading volume wasn't high enough to satisfy the number of shares in my order. I felt silly.
...trading vol. doesn't cover your order? ~ Meaning: not enough shares are trading hands for you to get filled.
Otherwise, I'd imagine it's your 'position'. ~ Meaning: where your order is - in relation to someone else'. Imagine (22) people put the exact same order in (don't laugh: it can happen!). Well: depending on *when* you put your order in -- someone else may be filled before you!
...if it's neither of those: I'd try not checking "All Or None". That option ensures that if not all of your order is filled -- then none of it is! So, if the MM is missing even (1) share to fill your order -- NO FILL! :-)