dont really understand your post. Most orders will go at each the bid or ask... because those are the published prices... your broker is supposed to use the MM that has the lowest available ASK or if your selling... the highest available BID. trades in between can happen... but havent seen much of that....
Your order being breaking down in 2 transactions probably meant that 2 MMs help complete your order. one handling 1000 shares... the other 39000 shares.