That only happens if you're trading very illiquid stocks.

I can't tell you the number of times of put in an order on SPY,QQQ,SPX when I found favorable statistical analysis and I could not get filled at any price below the estimated profit potential. Those are some of the most liquid products in the word. I'm not talking pennies either.

Futures are the only thing for me this has never happened on. However no retail broker I'm aware of allows trading futures though API.