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Buy ask/Sell bid - Isn't that just a market order?
What I am thinking is this, how can it be classified as a "limit" order if it is filled instantly like a market order and at the same price of a market order.
It is filled instantly because the liquidity is there on the opposing bid/ask (buy@ask/sell@bid) it is also filled at the market price regardless of the fact it is classified as a "limit" order.
It sounds like you are thinking about thick markets where the 'liquidity is there', such as treasuries.
Simplistically speaking, for the trader wanting to submit an order in such a thick market, by buying at market or placing a limit order at the offer gets the same result.
But Sierra Chart or any other platform does not know in advance which market you want to trade. You may be wanting to trade Gold, DAX or NQ for example, which are very thin. In thin markets, the behaviour of a limit order Vs. a market order are almost guaranteed to give you different results, as the bid/ask spread move quickly and sometimes unpredictably.
The other two things to always keep in mind:
Market orders guarantee you to enter/exit the market. They do not guaranteee you the price at which you are filled.
Limit orders guarantee you the price you want to be filled at (or sometimes a better price). They do not guarantee you are going to be filled.
Using a market order you are taking liquidity away from the market (i.e. you are consuming liquidity). Using a limit order you are providing liquidity to the market. Most people don't care as long as they are filled, but this can be a profound difference in some cases.
These concepts become easier and easier to understand by looking at Order Flow.
What you are referring to is known I believe as a marketable limit order.
You are asking to be filled across the bid / ask spread at a specified price.
So instead of joining the limit order queue to try to capture the spread, you are joining the market order queue against the spread. As long as there isn't a long line of market orders in front of you that could potentially knock out the whole level, you should get filled. But If you are number 100 in a line and there are only 50 limit orders holding up that price level, then by the time your number gets called, the new bid / ask level will have changed and you will miss your fill because you have protected yourself by specifying a price to fill, or else you are not interested.
A standard market order will take any price, but since you are specifying your entry price you can protected your self. The con's obviously would be the times where the market moves too fast, the price level changes, and you miss your fill.
So the 3 options again are:
1. Limit order: Define the price, capture the spread, but you can miss fills
2. Market order: You will get filled, but you can't pick the price
3. Marketable Limit Order: You lose the spread, but you define the price, you can still miss fills, but this will occur less often than with limit orders.
Hope this helps.
Ian
In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
This is a feature is to protect yourself from large price movements off the mark you intent to execute against especially appropriate in thin, volatile, or fast moving markets.
