Paul, that happened to me also. Part of the fault of
Scottrade requiring limit orders on pennies. AON and
limit orders can be held by MM if they want to, if the
limit price is set far enough over the ask, they will.
I mean, will hold the fill until the bid catches up with
the ask. Starting at .37, I changed the bid 3 times and
at .48 I stopped using AON. It then filled in 3 lots.
500-300-200. If I bought the 10000 I wanted at AON I
probably would be in at .52 Lol !