I had a problem like that before on Commsec and my advice is to not put the sell in at market price ever. The problem I had was when my sell volume was greater than the first line of buyers if you get my drift. It only executed part of my sell even though I said at market. Now days if I wish to sell immediately I will just put a price to sell which will ensure the entire amount of shares I wish to sell gets executed and haven't had any problems since.
