Recently, I discovered this method of getting better execution prices for some small-cap stocks with fairly large bid-ask prices. Suppose the stock has a bid of $80 and an ask of $80.5. If I make a limit order to sell at 100 @ 80.30, the Ask becomes 80.30 but quickly increases in size to 300, 400, maybe even higher. Sometimes, i'll be undercut for 80.25, 80.20, etc. This seems to be occuring regularly with this particular small cap stock (that I won't mention) regardless of whether i'm buying or selling. One day, I accidentally put in a small sell order between the bid/ask when I meant to buy. Other traders jumped in to sell at the same price. When I realized the mistake, I cancelled my order but those other traders that jumped in persisted and didn't cancel. I then proceeded to buy at the market from those same traders, getting a better execution price. From that point on, whenever I traded this particular stock, I'd always put an opposite order of what I really intended roughly in between the bid/ask and other traders automatically jumped in with the same price. I'd then cancel that order but they do not cancel right away. So then I'd proceed with my real order at the better price. Example: 1) Bid/ask is now 1000 @ 80 / 800 @ 80.5 2) I enter an order: sell 100 @ 80.25 3) Bid/ask is now 1000 @ 80 / 100 @ 80.25 2 seconds later: 4) Bid/ask is now 1000 @ 80 / 500 @ 80.25 (other traders have jumped in) 5) I cancel my sell @ 80.25 and proceed to buy at 80.25, better than the 80.50 I would have gotten. Is this illegal? I've only saved a couple of dollars per trade here since I don't trade very many shares but I'm paranoid this may constitute as manipulation or something..