It's because your using a retail discount broker. Dump the training wheels and use an ECN platform. Your order will not only execute almost instantly, but you'll cut in front of all the retail people.
When you place an order with most discount brokers, your order has to go through their network first, then to the MM to get filled. In a fast moving market there can be delays on your brokers end.
Using an ECN your order gets routed straight to the MM of your choice.
What any active trader wants is a "Direct Access" broker..
Online brokers are the most accessible, and often least expensive, trading system available today; after all, they are available to virtually anyone with a credit card and an internet connection. The problem with average, run-of-the-mill online brokers, however, is that they suffer from atrociously slow order execution. In fact, novice traders who are serious about their profession will soon recognize that speed can be a key factor in turning a profit. The system in which orders are placed and trades are executed is an essential tool for traders. This article will provide an overview of direct access trading systems (DATs).
Market Data 
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