While I don't do much of it anymore, I've traded during the pre-market and after hours for almost 20 years. These were usually earnings announcements with short term liquidity. This question has to do with lack of liquidity.
Suppose the quote is $44.95 x $45.00 with a size of 8 x 5. I hit the ask to buy 500 shares at $45.00 . As fast as I click buy (milliseconds), the quote disappears and there's no fill. If I cancel the order, the $45.00 ask quote reappears. What I don't get is how someone posting a price can get out of the way if I'm a taker (buying at the ask or selling at the bid).
I can't think of any kind of counter party algo order that would prevent a fill nor do I understand why the counter party quote disappears and then reappears as soon as I cancel my order. Why bother with the blink? Anyone have any ideas?