I have noticed one unusual characteristic in the US market. There are hidden bids and offers in the US stock market and this affects mainly the more illiquid small-cap stocks. Say, Stock ABC has a bid price of 10.50 and offer price of 10.55 shown on the tape provided by the broker. In actual fact, there are hidden bids and offers within the bid-offer spread shown officially on the tape. I know because sometimes I can get an immediate fill if I key in a price between the spread.
Can someone more knowledgeable explain? Thank you. This phenomenon mainly hits stocks with wide bid-offer spread. Highly liquid big-cap stocks are not affected.