A big enough order can eat away at the Offer on stocks without depth or with massive orders. I had sloppy orders take out orders I had sitting way ahead of the current offer.
I had 200 contracts sitting above $2.00, Sloppy order get's thrown in and cleaned off the Offer, the Market was $1.47 x $1.55 50 x 50 with 20 x $1.75 BATS, $2.00 Cb2 with my CBOE routed order I got filled above my offer price because they consolidated a 2000 contract order at $2.50 which drove the stock up $1.00. I never complained they took my order and consolidated it with the giant order instead of allowing everything to get picked off.
Bigger traders can clean out the Offer leaving the tail end sitting as the new bid, it happens with Weekly contracts and other smaller thin stocks I trade after taking the offer. Usually you can get filled at the offer most of the time if not better, if your Brokerage has price-enhancement you might get filled at $1.50 in my example of the Bid x Ask $1.47 x $1.55 while the $.10 to $0.40 per contract Brokerages will usually fill you at $1.55 almost all the time because they are saving you the extra 30 cents per contract while costing you $150+ in price savings. I caught that too often, your paying I paid $20 in commission but lost $200 in price improvement. Keep that in mind, there's a Brokerage I traded with that rarely ever enhanced the price of my order.
I sold 50 contracts at Brokerage (.30 per contract) getting filled at $1.90 while another Brokerage I had the same 50 contracts got filled at $2.01. You can imagine the shock of getting a trade $550 better in price improvement. I moved my account out of them after seeing how bad orders were getting filled. Stock orders were just as sloppy too, so think about that!
