There are alot of reasons for that. Some of them being:
- Is your order AON?
- Is your order the exact price of the ASK?
- Is your MM doing his job?
Simple solutions for all of these issues. Break up your order and/
or set it as a NON-all or none order. When you place the order,
place it for a price ABOVE the current ASK.
If this does not work I would call your broker and complain
because they cannot NOT sell you shares if you are slapping
the ask.
Also, if you are not slapping the ask, MMs have every right to
pass up your order if it is under 5k. So if you are bid sitting
with 4.5k share orders, then you should try slapping the ask. If
it still doesn't work, come back and let us know.
I bought 2500 on the ask no problem, several times.