In fast moving markets this is the best you can do. Your order will be queued anyway behind direct market access participants and with smart routing at IB it may even bounce between exchanges to find someone willing to fill your order.
Vicerek, I always thought that market orders were ahead of all queued limit orders. Am I working on an incorrect assumption?
First of all market is fragmented and there might be some local rules regarding priority of execution and types of orders being executed (native vs. simulated). In general execution is based on price and time priority. I remember reading about it in detail few years back when I realized that market orders do not have highest priority and this applies mostly to fast moving markets when most market orders will be executed with delay usually at the local top or bottom price range. Then I found out that limit order with price higher/lower than current bid/ask - meaning it is crossing NBBO should be execute faster based on price priority. How it works now across various markets and ECNs I have no idea. I am sure that some rules are posted by exchanges and on top of that there are SEC rules and regulations. Important thing to remember when trading is that you should not expect to have 100% fill ratio when you need it. Your strategy and order submission should be based on the assumption that markets are not perfect. This is normal because you trade on the exchange and not with the exchange. You need counterparty willing to trade with you at the specified time, price and quantity.
I contacted IB service, they old me the refresh rate for bid/ask data is 4 times / second (250 ms) for stocks and futures, but people in the post said it's 300 ms , is IB refreshing faster now?