Hi all, Let's say I want to do automated trading and the trading strategy requires me to submit order that hits market close EOD everyday. Let's say it's some sort of relatively illiquid futures. Let's say I have quite a large number contracts that need to be bought at close, and the market is sudden-death, that's to say, the closing period is only about 30 seconds, after that the market is immediately closed. What's the best way to guarantee the execution of that large number of contracts with out too bad price/slippage? I was originally thinking of some market order, but (1) may not get fully filled; (2) may drive the market and get very bad fills. Any thoughts? Thanks a lot!