Market orders
A market order is an instruction to buy or sell immediately at the best available price. It guarantees execution but not price — you will fill, but exactly where depends on the available liquidity at the moment of submission. In liquid markets (ES futures during regular hours), market orders typically fill very close to the current price. In illiquid markets or during fast-moving conditions, the fill can be significantly worse than expected.
Market orders are "aggressive" in market microstructure terms — they consume resting liquidity (limit orders on the opposite side). A market buy order lifts the ask; a market sell order hits the bid. This aggressive behavior is what the footprint chart measures: each bar shows bid-hit (aggressive selling) and ask-lift (aggressive buying) at each price level.
Use market orders when you need guaranteed entry (such as when a stop is triggered or you're trading a fast-moving breakout where timing matters more than price). Avoid them in illiquid conditions, at market open/close, or when the bid-ask spread is wide, as the cost of the spread is paid in full.
Slippage is the difference between the expected fill price and the actual fill price. On a fast market order in a liquid instrument, slippage is minimal (a tick or two). On a large order or in illiquid conditions, slippage can be substantial. Factor expected slippage into your profit targets when backtesting strategies.
Limit orders
A limit order specifies a price and only executes at that price or better. A limit buy at $100 will only fill if the ask reaches $100 or below. A limit sell at $102 will only fill if the bid reaches $102 or above. Limit orders provide price certainty but not execution certainty — the order may never fill if price doesn't reach the limit.
Limit orders are "passive" — they add liquidity to the book rather than consuming it. This is why many exchanges offer maker-taker fee structures: makers (limit order providers) pay lower fees or earn rebates because they improve market quality. Takers (market order users) pay higher fees because they consume liquidity.
In practice, limit orders are how experienced traders enter at value. Instead of buying a level with a market order and taking the ask, they post a bid limit just above the current bid and wait for price to come to them. In markets with tight spreads and deep books (ES, NQ futures), the difference is small. In wider-spread markets, the difference in cost can be significant.
Stop orders, iceberg, and advanced types
A stop order becomes a market order when a trigger price is reached. A stop-loss below a long position triggers a market sell if price falls to the stop level, exiting the trade automatically. Stops are essential for risk management — they prevent unlimited losses — but can be hunted in thin markets where brief price spikes trigger orders before price reverses.
Iceberg orders (also called reserve orders) display only a portion of a large order in the visible book. A trader with 500 contracts to buy might show only 10 at a time, refreshing the displayed quantity as each tranche fills. Icebergs are identifiable in the tape when the bid quantity remains constant (or refreshes) despite repeated executions at that level.
Algorithmic order types (VWAP, TWAP, participation rate, implementation shortfall) are used by institutions to break large orders into smaller pieces and minimize market impact. Understanding that the systematic flow you sometimes see in the tape may be an institutional algo can prevent you from misinterpreting it as directional intent.