I've wondered if market orders get priority to limit orders, or if they're treated the same. And will the exchange/specialist/whatever ignore a market order if the offers are too far from the last trade or prior close? I've put in a few market or above offer orders and not been filled. This tends to happen in fast moving stocks. I've got to say that I would like specialists back, just so I could get my orders filled! I'm not that picky about price.