As I clarified on the other comment, I meant &quot;big&quot; as in &quot;retail big&quot; (i.e. a couple thousand shares of TSLA, or any order big enough to be fulfilled by matching several sell orders.) I can&#x27;t really recall that many of my orders being filled <i>below</i> my limit price, unless I was willing to increase the limit by a few cents over the NBBO.<p>If the ask price for a security is, say, 5.51 and I put my limit at 5.51 the chances of getting the order filled were pretty low. If I was willing to go to 5.53 the chances would increase, if the order was 5.55, I&#x27;d probably get a fulfilled order at an average price of 5.53 or so. Not a huge difference on small orders (say 1000x2c = $20) but enough to make a &quot;big&quot; volume, small spread strategy pretty much useless.