Let's see. I send an order to sell (long) 200 shares of JNJ at 57.88 when the quote was 57.88 x 57.90. A few seconds go by and the quote goes to 57.90 x 57.93. A couple of minutes go by, lots of trades (a few of them over 10000 shares, most of them between 100 and 2000 shares) at all kinds of prices between 57.87 and 57.94 print, the quote doesn't change much and the bid and ask stay between 57.86 and 57.94, then after about 5 minutes I still have no fill and decide to see if I can at least cancel the order. At that time the quote is 57.89 x 57.90. Less than two seconds after I hit the cancel button, I get an execution at 57.88. Needless to say the stock went up a few cents after that.