I had a similar situation a few years ago. Went to SEC website, there is a form you can fill out to file a complaint. Just need to put in exchange, time of order, and details of how it filled. Do not know if this still exists. Hope this helps.
So-sorry-Acheron...just-saw-you'd-gotten-hit! Never-heard-of-a-broker-allowing-"market" orders-on-pinks-or-sub$-stocks...what-broker-is-this-if-you don't mind me asking? I do believe you'll make up today's loss over the longer term...best always!! tuna