Order types
Every trade you make is executed through one of three fundamental order types. Understanding them changes how you think about fills, slippage, and risk.
Market orders
A market order executes immediately at the best available price. You are guaranteed a fill — but not a specific price. In highly liquid futures (ES, NQ), market orders typically fill within a tick or two of the bid/ask at the time of entry. In thinner instruments or fast-moving conditions, slippage can be significant.
Market orders take liquidity from the book. Each market buy consumes resting ask orders; each market sell consumes resting bid orders. This is what moves price.
Limit orders
A limit order executes only at your specified price or better. A buy limit at 5200 will fill at 5200 or lower; a sell limit at 5205 will fill at 5205 or higher. If price never reaches your level, you get no fill.
Limit orders add liquidity to the book. They appear in the DOM as resting size. The downside: you can miss trades entirely if price touches your level but doesn't fill before moving away (especially if your size is small relative to the queue).
Stop orders
A stop order becomes a market order when price reaches a specified level. Stop losses, stop entries on breakouts — these are all stop orders. The risk: in fast markets, the triggered market order can fill significantly worse than the stop price.
Stop-limit orders add a limit to a stop — the stop triggers the order, but the limit constrains the fill price. This reduces slippage risk but adds gap risk: if price moves through your limit, you stay in the position. In trending markets or fast tape, this can be dangerous for exits.
Slippage
Slippage is the difference between the price you expected and the price you got. It happens because: (1) the market moved between your order and its execution, or (2) your order was large enough to consume multiple price levels in the book.
For orderflow trading in liquid futures, slippage on a single-contract market order is typically negligible. For larger size, or in illiquid instruments, it matters and must be factored into your R calculations.
Queue position
When you place a limit order, you join a queue at that price. Orders are filled first-in, first-out (FIFO) at most exchanges. If 2000 contracts are already waiting at your price and the market only touches it briefly, your order may not fill — or may fill at the back of the queue when price has already started moving away.
This is why resting at a POC or value area boundary with a tight limit sometimes misses. Building in a tick or two of flexibility on limit entries reduces missed trades without materially affecting R:R.
Partial fills
If your limit order is for more size than is available at that price, you get a partial fill — some of your order executes and the rest waits. This matters for larger traders. For most retail traders in ES or NQ, partial fills on 1-5 contract orders are uncommon.
Execution for orderflow traders
Most orderflow traders use a mix of limit orders for planned entries at defined levels, and market orders for reactive exits or fast entries where being in the trade is more important than the exact fill. The DOM helps you time market orders: entering when a level is being defended, rather than chasing into momentum.