Market Order

A market order says fill me now, at whatever the market offers. It crosses the bid-ask spread and consumes resting orders from the order book until the full quantity is filled.

The cost of immediacy

A market buy lifts the ask side and a market sell hits the bids, so the average fill price is always at or worse than the touch price. That difference is slippage. For small orders in liquid markets it's negligible; for large orders in thin books it can dominate the trade's economics.

In AlphaProve's engine

Strategies are evaluated at each bar's close, and a market order signal fills at the next 1-minute bar's open plus a slippage allowance. Where L2 order-book history exists, the engine instead walks the reconstructed book depth, so large orders pay a realistic, size-dependent price. This decide-on-close, fill-on-next-open discipline prevents look-ahead bias: the strategy can never execute at a price it hadn't yet seen when it decided.

On AlphaProve

The quantity a market signal sends is set upstream by the sizing mode, not by the order itself. Pick risk_per_trade and your stop distance is converted into contracts; pick leverage_notional or percent_equity and the same signal fills a different-sized order at that next open — six modes in all, so position sizing is the real lever over how hard each market order hits the book.