Market order
What does it mean to trade at the best available price right now, and when is that price unpredictable?
In plain words
A market order trades immediately at the best prices currently available in the order book, the list of resting buy and sell orders. It prioritises execution over price: it fills fast, but at prices that may differ from the last traded price.
Why it matters
A market order guarantees a fill, not a price. When prices move quickly or the book is thin, the fill drifts away from the price seen before sending it. That drift, called slippage, grows with volatility, so the same order size carries more price uncertainty in fast weeks.
In a real week: ETH, week of 6 September 2021
ETH in the week of 6 September 2021 opened at 3950.28, reached a high of 3970.0 at 08:00 UTC on Monday 6 September, and fell to a low of 3005.0 at 15:00 UTC on Tuesday 7 September, a 32.11% range. The largest one-hour move was -8.87% starting at 14:00 UTC on Tuesday 7 September, so a market order arriving in that hour could only fill against prices set by that falling market. Volume was 15.56bn, above the prior 12-week average, and ETH closed the week at 3404.21.
A common mistake
Assuming a market order fills at the price displayed just before submission. That price is the last trade or a quote; the fill depends on what is available in the book when the order arrives.