1) As to MARKET order, I can't understand why I can get a worse fill than the price quote in the market. For example, if there's queue for the following: 0.24 x 13 <-- Best Bid ... 0.25 x 10 <-- Best Ask 0.26 x 20 0.27 x 25 The market is NOT under serious volilatity. I sent a buy market order of 10 lots. I expect it will always try to fill at the "Best Ask" available in the market. However one says it's possible that I may get filled at, say 0.26 or 0.27. How come it is possible? 2) I value speed of execution, but I'm NOT willing to pay more than the Best Ask currently available when my order is sent to the market. How can I ensure I am filled at ONLY the Best Ask? 3) In IB TWS, it has a function called "Sweep-to-fill". I'm not sure what makes it different from a MARKET order. They should always try to fill the Best Ask first, then the 2nd Best, 3rd Best, and so on. I don't see there's any practical different between the two. I must have mistaken something. I hope someone can come up and explain it to me, or provide me a link which explains how these orders work and proceed. Thanks!