I have seen this many times: In the premarket, at aroung 8:30 AM, I try to buy a stock, say MSFT. I place an order (I use TradesStation) at the best bid, which is usually an ECN, and I immediately see it on ISLD. Now let's say that the best bid for ECNs is like this (in pre-market MMs don't count, since filling an order is not mandatory): ISLD 46.85 500 INCA 46.85 400 ARCA 46.85 1000 In a minute or so, I see a trade crossing the tape on T&S like this: 46.85 1900 Bid for the exact amount the 3 ECNs are bidding. And then I see that again and again, always for the same number of shares that are at the best bid, but of course my order is not filled, and then the market moves to a new level, and see the same thing again. What is the explanation of this?