I was testing my algorithmic trading program just now, and experienced an very important issue with market orders.
TL;DR DO NOT USE MARKET ORDERS UNLESS ABSOLUTELY CONFIDENT!!!
Market orders ensure immediate execution, without guarantee of the price of the order. As a result, your order may be executed with a much higher price than you’ve expected, especially when the trading volume is low and the spread is large. In my case, I ended up paying +5% more than the price I’m willing to pay…
Lessons should be learned.
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