gregn

Thank you JZW. I did not know that until this very second, I have a greater grasp over the market.

Forgive me, I wasn't paying attention because the order type didn't and still doesn't matter to me in regards to my question.

I never said that it was -- when I gave my scenarios I wasn't giving specific order types -- I said 'sell order' or 'buy order' the type of order doesn't matter to me, just the direction.

There are stop market and stop limit orders.

Josh, I apologize for coming off as an a-hole. I have a pretty firm grasp on the market, I was not asking for basics, I am asking about the actual mechanics of order execution aside from normal market conditions. As I have stated before, I am writing a market simulator in C#, I am not trying to get a basic grasp on the market.

A stop is also a limit order.

The problem was that you initially were responding to my non-real life scenario with real life scenarios. My most recent postwhich restarted this thread included that I am programming a simulator and I gave specific scenarios. I was told that I did not understand the market by you.

Before a buy order could not cause price to go down -- now it can. I do not think you have the mechanics of the market as well understood as you think you do.

I feel like we are speaking different languages here. If I go out and to the /ES. Price is at 1100. We got asks at 1100, 1100.25, 1100.50 and 1100.75. And someone has a stop loss at 300 to sell. If I do a market buy, by your definition, I should get filled at 300 by your logic.

I don't think that's correct. Pretty sure 'best price' means the best price closest to the last traded price. If we were trading on the /ES and there were was a stop limit sell order at $1 and the current price was $1423 -- if i hit a market order, but your logic, I should get filled at $1.

Let's just say the last traded price was 1000 there are resting asks follows: 10 at 900, 10 at 800. I do a market buy of 20, I would buy 10 at 900 and 10 at 800. I am not talking about going out and trying this on /ES. This is completely hypothetical. I see no way for this scenario to not be correct as a market order means that you get filled at the best price. Which would be 10 contracts at 900 and 10 contracts at 800. Edit: i accidently put bid, not ask

I think you are not understanding something... the seller creates the bid. The only bid in my scenario are lower than the last trade price.

I cannot read your whole post right now --- I just read a bit. My scenarios were completely hypothetical. The orders that were mentioned were the only orders in the 'market'. In that case, a market buy can drop the price if the only limit sells were lower. You will get the best price, which in this case is lower than the last trade price.

This has been established - can you comment on the scenarios that I gave.

Mighty Mouse, just to check -- the order contained in the message that you were responding to would have been at the ask, not bid -- correct? I have began to rethink about the mechanics of this as I am currently writing a market simulator in C# with automated participants -- just to gain a greater understanding of the mechanics (and also grow a huge appreciation for the genius involved in the softwares that manage our stock exchanges). What is really interesting me is that during a breakout, someone has to be selling at every single tick that is traded at during the breakout. So really, a breakout fails (or any upmove) not just when you run out of buyers, but also can happen when you run out of people selling higher than the current price. For instance, if the price is 1000 and there are 10 contracts for sale 1001, 10 for sale at 1001.25 and 10 for sale at 500. I buy at the market 10, knock out the asks at 1001 -- price is at 1001. Buy 10 more at market, knock out the 10 at 1001.25 then buy 10 more at market -- I hit 10 asks at 500, price is now 500. Edit: Another scenario to think about: if we are trading at 1000, Bill puts a sell order of 10 at 900, 10 at 800 and 10 at 700 --- then Bob buys market 10, price drops to 900, buys 10, price drops to 800, buys 10, market is now at 700 from market -- or 'aggressive' buys. Another edit: When reading the tape many people say to filter by large orders to see the 'big boys'. As mighty mouse pointed out, this just means that an order of 500 market buy was matched to a limit sell of 500 -- there are big boys on both sides of the trade here, just one was a bit more patient for the trade. What you really want to see is a ton of 1's and 2's happen almost immediately -- this would indicate to me that a large market order was matched with a bunch of smaller orders from weaker hands.