is mr short my friend tonight., page-20

Maybe that's their how their software works ... doesn't care whether the market is open or not. Some orders might get removed leaving only some a few dollars and you get stopped out at that price. Doesn't work like that when you put in sell order tho. Worst one I remember was AEB... had a limit set, gapped up and I was not fast enough to remove my limit order, but only got the price my limit was set at, although the stock itself never traded anywhere near it and my profits should have been a lot bigger.
CMC are a marketmaker, I don't think they guarantee market prices.
Oil is impossible to trade with them in fast moving markets, can take them minutes to even look at your order, certainly long enough to turn a handsome profit into a loss.
Have you read "Reminiscences of a stock operator" by Edwin Lefevre? Maybe that would explain a few things for you.