I encountered a similar situation a week or so ago, it was last 10 minuets of trading and the bid/ask was 1.90/1.92, I placed my buy order @ 1.90 and the stock traded @ 1.88 & 1.89 and no fill, I changed my order to 1.88 and stock traded right through my order down to 1.86, If I remember correctly about 40/50 k traded in the last 10 minuets and I never got filled.

I called Waterhouse and complained and after 10 minuets of looking into the situation they told me they were having a few problems (BS) with some of the Venture stocks and they would fill my order which they did later that evening. Funny thing is I had another order filled on KXL earlier in the afternoon @ 2.07 which was filled instantly, no problem.

I think the MM's are playing with this stock matching trades and washing trades back and forth scooping cheap shares and manipulating the SP to thier benefit as they know how valuable these shares are at these prices. Call your Brokerage and complain, it worked for me.