Limit orders vs Market orders -- selling / buying "at the market"

First of all, I rarely use market orders even when I just want to get the market price. I use limit orders where I specify the minimum price I will accept to buy or sell on my order. A broker's software will always figure out which is better for you (e.g. for buying a stock the limit or lower is better). The only time I use a market order is when the stock has a minimal bid/ask spread (a few cents at most) and is behaving in an orderly fashion or if a stock is moving very fast and I don't want to be left behind (not recommended). I use limit orders because I have seen market orders execute at prices that don't bear much resemblance to what the real time quotes seem to indicate. Occasionally the price was better than I expected, but usually it is worse. I think this might be due to the multi-tiered nature of markets. For example your broker might try to match your order with the opposite order another one of their clients has just entered (e.g. buying what you are selling) . They love this because then they get to keep all the commission money--but it takes time. After being burned a few times I learned my lesson and I don't take the risk of market orders. With options it seems like the market prices often change adversely as soon as you enter a market order. Options markets are so "thin", so few buyers / sellers relative to stocks, that I never use market orders. If I enter the limit order at the most recent execution price or a little less favorable to me there may be a few minutes of angst waiting for the trade to go, but the orders almost always go through. The exception is when the stock or option is making a big move you may end up "chasing" an stock up or down--not a fun situation. Even in those situations there are usually minute-by-minute ups and downs that will let you get in or out if you don't get greedy. The key is to remember that you have made the decision to buy or sell. Usually those few cents one way or another don't impact your overall profit or loss significantly. For orders where you are doing combinations of things (e.g. buying a stock and selling covered calls against it), then you should use "debit/credit" orders that specify the net and render the exact execution prices unimportant to you. Not only is this a much less stressful process, it often saves you money through better prices and lower commissions. See my post on these.