If I submit a long market order to buy 100-200 shares, I generally expect it to be filled within, say, 10 seconds in 99% cases. This is what usually happens and I think there are even rules about it. What about short market orders? What maximum execution time should I reasonably expect if i submit a request to short small amount of shares at market price? Are there any rules? I am inclined to say that probably you should always define a limit on short orders, otherwise you will be filled at any time and any price your broker finds convenient.