As everyone knows, it is hard to fill limit orders in the ES mkt. Is anyone aware of any studies done in this area. so subject area ES order ques, order age etc When I get a system signal, I have been experimenting with initially placing a limit order, then if unfilled for lets say 20 seconds the system cancells it and goes in at the market. I have had mixed results, there are times however when the limit order is filled within 20 seconds, but at other times the mkt order gets filled far away from the original limit price. I am sure, I am not the first person to encounter this problem. What can be done to reduce slippage? Is there any correlation to time of the day, rate of change of prices, volatility etc? Thanks.