I sat in on a day trading room session last week and was shocked to see the leader initiate trades with a market order emini contracts.  I can honestly tell you that I have not used many market orders over the years.  I like to enter day trades by letting the market come to me, that way I get in at a price that is below what the market order would afford.

Wondering what I am talking about?

Okay, here is the situation.  You have identified a good day trading opportunity using your trading system and feel confident, and comfortable with the trade.  Instead of jumping into the trade with a market order, why not initiate a buy order 3 ticks below the point you originally identified the trade?  The market usually doesn’t shoot straight up, but continues to oscillate, backing and filling as it rises.  I have had very few day trades where I did not get a fill, and the fill is at the price I specified.  This is a very efficient way to trade, try it sometime.  Let the market come to you.