I ran into something very confusing with the CME and I just like to hear some responses from you guys that are more experienced than me.

When I sell and buy into a momentum trade it can happen that I am selling and buying at the same price. This is then called a wash trade, but this is not something we have control over (unless your buy is a buy-at-limit, but I use buy-at-market to make sure I am filled)

So to say it short. I set a target at for example $100 and set a buy at the market at 1 tick above the target, but the market is crazy and would perhaps fill it at the same price, am I still legal??

In terms of what the exchanges are trying to prevent a wash trade also needs to be 'at the same time'. Obviously this is different than the expression 'washing a trade' which means getting out of trade at the same price as you entered. So buying at 2540 and selling at 2540 a few seconds later is not a wash trade in the exchanges eyes.

Wash trading is a process whereby a trader buys and sells a security for the express purpose of feeding misleading information to the market.

SMCJB 

In terms of what the exchanges are trying to prevent a wash trade also needs to be 'at the same time'. Obviously this is different than the expression 'washing a trade' which means getting out of trade at the same price as you entered. So buying at 2540 and selling at 2540 a few seconds later is not a wash trade in the exchanges eyes. Wash trading is a process whereby a trader buys and sells a security for the express purpose of feeding misleading information to the market.

OK, this makes sense, but how about a trade where you sell at price x and buy back at price x+ 1 tick at almost the same price? This could happen is the same second (in theory)

Tulips 

but how about a trade where you sell at price x and buy back at price x+ 1 tick at almost the same price?

"Almost the same price" is not "the same price" hence not a wash trade.

Same price + Same time + intention to not transfer risk = wash trade.
Anything else != wash trade.

SMCJB 

"Almost the same price" is not "the same price" hence not a wash trade. Same price + Same time + intention to not transfer risk = wash trade. Anything else != wash trade.

Well, I did my due diligence in asking the more professional traders amongst us. I consider myself still an amateur, even when I am doing very well with my trading. Thanks again, really appreciated the reactions.