I've done some active trading in my personal account at Fidelity. With surprising frequency when I enter market orders I am filled at the bid for buys and at the ask for sells! How and why does this happen?
Following is an example: I entered three market orders to sell, during which the NBBO stayed at
7.17 / 7.20, and the book looked pretty much the same as below. On all three sales I was filled at the offer (as shown in the right-most column).