That's really not that uncommon imo. Illegal or not. I'm sure they blame it on your broker as well as many other excuses like someone else was using a market order where you were using a limit order or other features like the all or none. Then the MM's decided who was going to get the fill by order of turn or the buddy system. Who knows. It is frustrating when I'm at or near the ask and the MM fills under me or even under the bid. I can't even begin to count how many times I've seen this. Maybe 3 out of 4 trades.