Total agree with you on the ES queuing. With a 2500 bid and 2500 offer, i dont think my chances of getting hit on the bid are very high. The YM and NQ are not as liquid but the most that is on the bid and offer is around 150-200 which is reasonable, like a small to mid cap stock.
Change brokers immediately. Unless you are trading at midnight EDT or another crazy time something is horribly wrong. NQ is a liquid contract on five and ten lots for sure and frequently on much larger size.