I'll post a situation that happened to me last night in the hope that it will give a heads up to others... The CME states that the Globex system doesn't support real market orders. In the case of the emNY Natural Gas contract for September at the open on Sunday night (8/28/06), if a stop market was entered at a price 7.045 the CME applied at the opening a 5 tick price range to this order, as the stop price was triggered at the opening print of 6.905 . The price of 7.045 was changed into a limit order at a price of 7.020. As the market was trading below this, the order kept working in the system. The range of 5 ticks is product specific and is determined by the error trade range which is 10 ticks, divided by 2. What this effectively means is that a stop market order is not necessarily a stop market order on the CME Globex system - traders be warned.