That's what trading on the Greys is like. People put in an order at a price they think will be accepted. An MM fills the order or not. He's under no obligation to execute the trade.
They aren't pulling anything on us. No MM to advertise bid/ask so it's a blind transaction. Put in an order and hope it gets filled at the price you bid. Go look at "time & sales" and you can see buys/sells for day