Market Order vs Limit Order in Futures: Which One Fills, and at What Price

A market order asks for a fill now and accepts whatever price the book has; a limit order names the worst price you are willing to take and waits, possibly forever. That is the whole trade-off: one of the two gives up price control to get certainty of execution, the other gives up certainty of execution to keep control of price.

Futures complicate the first half of that sentence. CME Group's list of the order types Globex accepts for futures has no plain market order on it: the market type is a market order with protection, and it can be rejected outright, or fill part way and then sit on the book as a limit order you did not intend to place. Knowing where that boundary falls is the difference between understanding your fills and guessing at them.

What is a market order in futures trading?

A market order is an instruction to buy or sell with no price attached to it. The CFTC's glossary entry for Market Order sets no price term at all: the order buys or sells at whatever price is obtainable when it is entered, and the entry names an order book, a ring and a pit among the venues where that can happen. Price is an outcome of the order rather than an input to it.

On CME Globex the type available for futures is called a market order with protection, documented by CME Group as a way of keeping market orders off extreme prices. Rather than sweeping the book without limit, the match is confined to a protected range. CME's documentation gives the arithmetic in both directions: a buy takes the current best offer and adds protection points to it, and that sum is the protection price limit; a sell starts from the current best bid and has the points subtracted from it.

Inside that range the order takes the best prices available, level by level. It does not wait, and it does not care what you thought the price was when you clicked. What a market order buys is speed; what it costs is set by whatever the book holds at that instant, which is also why fills differ between a simulator and a live account.

What is a limit order in futures trading?

A limit order carries a price you will not trade through. The CFTC's glossary entry for Limit Order has the customer naming a ceiling over a purchase or a floor under a sale, and draws the contrast itself: a market order is the instruction to get it done as soon as possible, at the market's price.

CME Group's documentation for Globex adds the execution detail. Whatever quantity can be matched on arrival trades straight away. A buy limit trades at the limit price or below it; a sell limit trades at the limit price or above it. So a limit order can fill better than you asked but never worse, and a limit order placed inside a market moving toward you may fill instantly at a price you would have been happy to pay anyway.

What does not fill stays. CME's page gives the remainder three possible endings and no others: it is executed, it is cancelled, or it expires. Until one of them arrives, the order is still live and still yours to manage.

Market order vs limit order: the differences that matter

The two order types differ on five dimensions. Price is the obvious one; the other four decide how a real order behaves in a thin book or a fast market.

The row worth reading twice is the third. Both order types can leave you with a working order, which means "I sent a market order" is not the same statement as "I am in the trade".

Can a market order be rejected or left unfilled?

Yes to both. CME Group's iLink documentation gives two conditions that get a market order with protection turned away. One is a market state other than Open. The other is no opposing bid or offer working in the market at all. A rejection leaves you with nothing on the book, which is a different problem from a fill you did not like.

The partial fill is the other case. CME's worked example, on the contract it writes as ESZ8, is a buy of fifteen with protection points of six hundred: the best offer is 90025, which puts the protection price limit at 90625. The order fills two, then three, then three — eight of the fifteen — walking up through 90025, 90300 and 90550. The next offer sits at 90675, past the limit. The remaining seven neither cancel nor fill at 90675 — CME parks them on the book at 90625 instead.

A market order that runs out of protected range, then, becomes a resting limit order at the edge of it, filling only if the market comes back. Those figures are the ones in CME's own example, not current prices or current protection settings.

What is the protected range, and where do the protection points come from?

The protected range is the band of prices inside which CME Globex will match an order that carries protection. For a market order with protection it is measured from the best price on the opposite side of the book, by the calculation above: add the points to the best offer on a bid, take them off the best bid on an offer.

For stop orders the reference point changes. A stop order with protection takes its protection points from the trigger price rather than from the best bid or offer — added for a buy, subtracted for a sell — and CME puts the usual size of those points at half a product's non-reviewable range, with the ranges themselves published per product on its own site. Those values change by product and are not reproduced here.

The exchange runs a second, unrelated filter on price. The CFTC's glossary entry for Price Banding describes a mechanism CME Group and ICE both instituted: every incoming order is put through price verification, and one whose price is clearly erroneous is rejected rather than accepted. The bands are watched as the day goes on and adjusted when they need to be. Because the check is applied to all incoming orders, it is one documented reason a limit order comes back refused, and it is not a platform fault.

What happens to a limit order that never fills?

It sits on the book until it executes, you cancel it, or it expires. When it expires is set by how the order was marked: the CFTC's glossary entry for Day Order has one cancelled automatically at the end of that day's trading session, while its Good Till Canceled Order entry has one valid until the customer cancels it — and unless an order is specified GTC, the glossary has anything unfilled expiring when the trading day ends.

Whether it matches at all is decided by the venue's rules rather than by your platform. The CFTC's glossary entry for Order Book describes a market structure in which bids and offers are paired, in its words, "exclusively based on their price and/or the time that they arrived" — and its Matching Algorithm entry describes those rules as a set that determines whether and when a bid and an offer match, held in software on an electronic market.

Two exchange mechanisms can also strand a resting order. Trading can pause: the CFTC's glossary entry for Stop Logic Functionality, which it describes as applying to futures on CME's Globex system, is a momentary pause in matching — a Reserved State — imposed when triggered stops would otherwise make the market trade outside predefined values, and it gives other participants an opening to post fresh bids and offers. And the daily price limit, in the same glossary, is the most a contract may advance or decline from the previous settlement in one session under exchange rules, so a limit order priced past that boundary cannot trade while the limit holds.

Which order types can a trading platform send?

Fewer than the exchange supports, sometimes, and the list depends on the connection behind the platform rather than on the platform alone. Quantower's documentation treats an order type as what an order does when it enters the market, and keeps it separate from the restrictions that set how long an order lives within a session — a distinction worth holding onto, because Day and GTC are restrictions, not order types.

Its description of a market order matches the exchange side. The order goes out with no price on it, aims at the best bid or the best offer, and fills at that current best price; the documentation adds, in a note of its own, that a market order can fill partially across several price levels. Its limit order description does the same for the other direction, with partial fills leaving the remaining quantity working at the original limit price.

The list of available types varies by connection. Quantower's Rithmic row adds MIT and LIT orders and a server-side trailing stop to the four basics — market, limit, stop and stop limit — with brackets and OCO handled server side; the row for another connection in the same table says the trailing stop is not available there, and files iceberg and trailing limit orders as algorithmic. Which types you can send is a property of the route your platform takes to the exchange. The platforms available here are listed in the supported platforms article.

What does the choice change on a funded account?

On a simulated funded account the order type interacts with two rules: the drawdown and the flat time. Our drawdown line is monitored in real time throughout the session rather than only at the close, so a fill worse than the one you pictured counts against your balance at the moment it happens — which is the practical argument for knowing what a market order can do in a thin book before you send one rather than after.

The flat time cuts the other way. Every position has to be closed by 4:45 PM ET, and anything still open is closed for you with the result counted to your balance and drawdown, as the trading hours article sets out. A resting limit order is the order type that can quietly fail at that moment: an exit that has not been reached is not an exit.

The data feed sets a limit on what you can check before sending. The market data included on a Lumen account is Level 1 for CME, CBOT, COMEX and NYMEX — the best bid and best ask at the top of the book. That is enough to see the price your market order will start at, and not enough to see how much size sits behind it. Sizing the order to a book you cannot fully see is the part that carries the risk, and it is the sizing arithmetic rather than the order type that controls it.

FAQ

Does a market order guarantee a fill in futures?

No. CME Group's documentation gives two rejection conditions for a market order with protection: a market state other than Open, and nothing working on the opposite side of the book. Even when accepted it may fill only partly: once the book runs past the protection price limit, whatever is left is put onto the book at that limit, where it rests like any other limit order until it trades or is cancelled.

Can a limit order fill at a better price than I set?

Yes. CME Group documents buy limit orders as executing at or below the limit price and sell limit orders at or above it, so the limit is a boundary rather than a target. Whatever quantity can be matched when the order reaches Globex trades immediately, which is why a limit order placed into a market already moving through your price can fill at once rather than resting.

What is the difference between a stop order and a stop-limit order?

The CFTC's glossary defines a stop order as one that becomes a market order when a price level is reached, and a stop limit order as one that comes into force on a trade at the specified price but can then only fill at the stop limit price or better. CME Group describes the same split on Globex: a stop-limit enters the book as a limit order when triggered, and a stop with protection enters as a market order.

Why was my futures order rejected on price?

Price banding is one documented reason. The CFTC's glossary attributes the mechanism to CME Group and ICE, and describes it as a price check applied to arriving orders, with clearly erroneous prices refused and the bands themselves revised through the day. CME also documents a market-limit order being rejected when its designated limit sits further from the last best price than the price bands allow.