With the pinks,

The prices are not listed on an open exchange as in AMEX or NYSE. It is not an open trading platform, but rather, a list of prices that shares have recently traded for. The agencies trade bid prices and buy/sell from each other's listed prices.

They are, in fact, more likely to sell shares to another client within their own firm than with another client in another firm. It's easier, and they get both commissions.

If the shares are thinly traded, the person within the firm gets their low price first, and your order gets filled if there are any shares left over.

It would be nice to think there was no front-running, but it is easily possible and very difficult to prove in the world of pinks.

MR