This has happened to me today. I was trading the Eur/Cad at the time of the CAD Trade Balance release. My order got filled at 1.5661, considering that the market never went above 1.5375 or so, i was VERY surprised. What i found even more surprising is that my broker (ODL Securites) will not do anything about it. Liquidity was low and you got a next best price - is what they have said. Crazy Friday 13th. No more trading using market orders for me. Being down 26k in an instant is really something!