Something I found while perusing the CME rulebook that I didn't know about the way Globex simulates market orders. I saw this information posted on the TeraNova website originally but thought going to the source might be good, for those who are interested. The implications of this are that a market order doesn't really act like a market order acts in stocks. Once the first contract is filled, the order becomes a limit order at that price. Thus (my editorial) for those situations that call for true market orders (think Greenspan), a limit order beyond the current market would act more like a market order than a market order. (if that makes any sense) People who trade size may run into this from time to time. Any war stories out there? The Rulebook makes for good bedtime reading: http://www.cmerulebook.com/cmewg/wg.dll?page&file=c5#BM_106_I
Simulated market orders were done because in the early days of emini trading you would get horrible fills if there was a true market order. By entering a limit order 10 points out, you limited the disaster that could befall you should there happen to be no bid at the instant you entered your order. The market is so deep that you will get filled at the offer (if you are buying). Basically you'll take a 0.25 hit.
If you think the market is about to move that fast, then you could enter a limit order a few points out so that you'll get a complete fill.
Yeah Puffy, that's what I've done and what I figure many have done before me. The "just in case scenario" doesn't happen too often but when getting filled is more important than the price, using a limit beyond the market seems to be the foolproof way to go.