Market orders have priority over all other orders, which means they will be filled before limit orders, stop orders and others. A market order does not specify a price. If you are trying to buy a futures contract, you will normally get filled at the ask price. If you are trying to sell a futures contract with a market order, you will normally get filled at the bid price.
For example:
March sugar is trading at 14.05 (bid) - 14.06 (ask). If you place a market order to buy, you will probably get filled at 14.06. If you place a market order to sell, you will probably get filled at 14.05. You will sometimes get bad fill prices when trading commodities, so don’t always expect this scenario. For the liquid, electronic markets like the e-mini S&P, you can expect the bid-ask fills. Remember that markets can move quickly, so the bid and ask prices can rapidly change.
You will want to use a market order when you want to make certain that you get into a particular futures or option contract. The price might vary slightly, but you will get in quickly. Sometimes traders miss getting into a position if they use limit orders. The market might just miss coming to the price on a limit order and they miss getting filled.
