Because another Market Maker is getting their orders filled first (for no apparent reason, maybe they got theirs in first despite it being a different price)
For instance... say you use TD Ameritrade and someone else using Etrade gets their order in at the same time... Theirs could get filled and not yours because 'Etrade' could be using a different Market Maker (ETMM) than TD Ameritrade (NITE for example) and shares at the time are tight.... no-one willing to sell you the price you ask for despite being bid or ask right after the other MM got theirs filled.
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