In Which Scenario will you be down less? 1) You send out non marketable limit orders buys @ the bid for 1000 shares for several stocks that do 3 million / and are priced around $40. You cancel all open orders when you have a million dollars worth of positions. 2) You send a market orders for the same type stocks say buys until you have a total of a million dollars worth of positions. ALL THINGS CONSIDERED EQUAL. At the end of 2 minutes you look at your NET P&L, ecn fees, sec... everything. Which scenario are you down less. Basically I'm asking on a random stock is your expectancy greater to take or provide.