I wanted to know what other people typically experience with market and limit orders. This is being applied to Futures ( the S&P mini particularly), and day trading. Usually if I know I'm going to hold on to a position for a longer period I'll WORST case do a market order. I try to avoid using market orders however, since I like to know where my entry and exit point are going to be when making a move. The question I have here is, how long does it typically take for a limit order to be executed? Say you are predicting prices to drop, have a set limit order at 95.25 (just as an example), and know that is the point where you want to enter the market. The reason why I ask this is because whenever I set a LIMIT order to enter a market, it seems as if it's taking WAY WAY too long. I'm obviously basing entry points not on a whim but based on indicators and volume as well. I know from past experience that really low volume markets may take a long time to take a limit order. But what I'm experiencing is NOT during "dead" times in the market so to speak. Broker's advice, is to simply do a market order, since that's what will take the order immediately. I'm not buying it though. I've seen with my own eyes limit orders execute and not have to take a full minute to be filled. I just wanted to see what other people have experienced with limit orders and if it's typical for one to take a while in order to execute.