Not true at all in futures daytrading. I almost always use buy stop limits or sell stop limits to enter and have NEVER not gotten my fill. Of course it depends on how many ticks of slippage you set your limit to. I use ONE tick slippage on the ES and have never had a problem getting filled. I could see the problem on swing trading stocks however. If you put your buy out there and it gaps over your limit, you won't get filled.