I've experienced the same many times. Just last week I had a large buy order in - limit .18 - and in the two full days it took to fill, rarely did I see it on delayed Level II (which showed .176). But eventually my order got filled, after getting pecked at endlessly, it seemed.

Years ago, when I first encountered this phenomenon, I contacted my brokerage house and asked their supposed "expert" about this. Response; Per SEC Regs the MM does not have to display Limit orders. Whaaah? Why would they display any other orders then? And with a Market order, what's to display?

I've come to the conclusion that this activity is all part of the MM game - not only against us, but also against eachother. They sit on your order, and when a sell order floats in from anywhere that could fill/partially fill your order, they snag 'em.

Think of it this way: if they didn't play this game, you'd always have to buy at whatever the ask is, and sell at whatever the bid is. Always. Only option would be to place order at whatever, and wait for the stars to align.

It still doesn't seem right though. What is the REAL bid and ask?

All just stuff we have to live with on an OTC/MM-driven exchange. And it's the same (OTC) on the Nasdaq, and almost as bad on AMEX. The only escape from MMs is the NYSE with virtually all electronic trading and almost no MMs.

The last stats I saw, re: percentage of traded companies traded via MMs:

Nasdaq: 98%

AMEX: ~70%

NYSE: 2%

Obviously, the NYSE is the place to be to escape the non-sense.

FWIW,

SGE