It happend to me in IDAX and P2PB2B.
And if your answer is: just leave that exchanges...
I can't, because I have some rare tokens to exchange and are only listed on that exchanges.
It's better to just spill out the name of the exchange. There are some exchanges that has fake orderbooks and that's probably what you experienced. It's not a rare occasion for many of these less popular exchanges.
Thanks for your answer