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.
I do not undersand why you put a market order before losing? the market is thin particularaly around 10 mintues opening or 10 minutes around closing (that is why opening/closing is very volatile).
If you want the closing print, you have to use a MOC order. A DAY/MKT order simply executes when you place it. There often is a significant difference between the last print at 15:59 and the official close.
Wow. I should think that if you are trading 4100 shares of an issue that it might make sense to learn how orders are processed. Even if you could have improved the order by .10, that alone would have been worth $400.00. A market order at that time of the day is like handing a thief your wallet and saying "take what you want, but please leave a little for me".