I have had bad fills before, and i have called the broker and complained. Sometimes they will give you a better price if the stock never traded that level. I use fidelity, and they have given me a better price, however they will tell you that sometimes the market makers give higher prices to small lots. worth a try..hope this helps? also for that reason, I don't like to leave stops on overnite. I either sell it or take the stop off..just my humble thoughts..Carl