John, according to the folks at pinksheets.com, they only trade up to the 4th decimal place -- they told me that there is no 5th decimal place.
That having been said, I suspect that MMs do indeed traded at 5 decimal places -- but that it's purely an internal thing. IMHO the only reason that anyone wouldn't get filled with a buy order at .0002 today is that their brokerage firm just plain SUCKS! I went through a similar fiasco with E-trade -- they wouldn't get my trades executed in a timely manner at all (sometimes it took a whole day, even though I placed my order ABOVE the ask!). So, I switched to Ameritrade; so far, so good. They've executed all of my trades within just a few minutes -- if not mere seconds -- after I placed the order. (Oh, and your comment about AON orders is absolutely correct. MMs won't touch them at these prices and at the sizes that are typically placed.)
-ferg
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