I used a market order on 20 different stocks at around 12:59:45 PM on the west coast, or 15 seconds before the market closed. The Time In Force used is "day" and parameter "sweep to fill" was also on. Almost all of my fills were 1/4 to 1 pct away from the market price. For example, HON shares were sold short at 48.19, when it closes around 48.75. Paid as high as 64.78 on MYGN. Close 63.55. Sold CCL as low as 35.47. Closes at 35.98. AVP paid avg 43.08 for 4100 shares. Close 42.52. IR avg short price 37.886. Close 38.26. All of these stocks are liquid stocks, which under normal circumstances a market order will not be executed more than .1 pct from the current price. Under order reference it says untitled.