newbie question but can somebody explain what is the difference between buy market and buy ask orders?

adamov 

newbie question but can somebody explain what is the difference between buy market and buy ask orders?

"Buy Market" = buy at the best available price. No guarantees on any specific price. Get me in/out.

"Buy at the ask" = a buy limit is placed at the current ask price. Guarantee is that you will get that price or better. However, if you click too late, the market can run away from you if you are too slow and you will get a bad price.

In super fast or thin markets, often better to place your limit to buy at the actual price you want, and if it's equal to or higher than the lowest ask you will get a fill (at least partial).

thank you @josh!
let me check if I understand it correctly.
the order book is the following:

A 144.59_10
A 144.58_5
A 144.57_3
B 144.56_5
B 144.55_8
B 144.54_12

in this case if I execute a 10 “Buy Market” order
I’ll get 3@57 5@58 and 2@59

If I execute a 10 “Buy at the ask” order
I’ll get 3@57 and the rest of 7 orders won’t be filled and become a standing limit buy order.

I case of buying less than 4 contract I won’t experience any difference neither speed of execution nor anything else.

Is it correct?

adamov 

I case of buying less than 4 contract I won’t experience any difference neither speed of execution nor anything else. Is it correct?

You are exactly correct. The end result would be the same, assuming a static market; the difference in practice of course is that as you press the "buy 3 @ market" or "buy 3 @ ask" buttons, the market can move higher because offers are pulled or taken by someone else. That subsecond delay between when your brain gives your hand the signal to press the button and where the market is when your order arrives may cause a large difference in what you think you are buying and what you get. A guaranteed way to get your price or better is to "buy 3 @ 144.57" -- of course then you might not get a fill if the above scenario occurs and you are left with a resting order to buy.

To be clear, your examples are right on, in the most basic scenario of market mechanics. When you introduce hidden quantity orders, microsecond HFT, and all the other realities of the market, other scenarios are quite likely to occur. For example, your buy 10 at the market is completely filled at 57, meaning there was a refresh offer there, and that he probably has more to sell--not the best scenario to be in.

josh 

For example, your buy 10 at the market is completely filled at 57, meaning there was a refresh offer there, and that he probably has more to sell--not the best scenario to be in.

@josh,

That refresh offer observation is the money shot of this whole discussion. You've basically described adverse selection in action -- when your market order gets filled suspiciously clean at a single level, you're often on the wrong side of informed flow.

Given you're running footprint and delta on Sierra, you already know how to spot this in real-time. That sudden appearance of depth that wasn't visible pre-trade, the offer that keeps refreshing as you lift it -- classic iceberg behavior. The DOM lies to you by design.

The practical takeaway for anyone reading: if you're scalping ES or NQ and your market buy gets filled completely without walking even a tick, pay attention to what happens next. Does the offer immediately reload? Does delta start stacking negative despite your "winning" entry? That's often institutional distribution using your liquidity as exit.

For the original question about sub-4 lot orders -- yeah, mechanically identical in theory. But the information asymmetry doesn't care about your size. The algos refreshing those offers have a view, and they're happy to take the other side of retail flow regardless of whether it's 1 lot or 10.

The limit order at your price (buy 3 @ 144.57) remains the only guaranteed price execution -- you just accept the fill risk instead of the price risk.

-- Fi
"The DOM shows you the menu -- it doesn't tell you who's cooking."