Every scalper eventually faces the same choice: pay to get in now, or wait for a better price and risk not getting in at all. Neither answer is free. The cost just shows up in different places.
What a market order costs
A market order buys at the ask or sells at the bid. On ES and NQ the spread is usually one tick, so crossing it costs one tick per contract compared with a resting order on the other side: $12.50 on ES, $5.00 on NQ. In a fast market the order can also fill a tick or more beyond the price you saw. That is slippage.
The benefit is certainty. If the signal is right, you are in the trade.
What a limit order costs
A limit order waits for price to come to it. When it fills, you save the spread, and sometimes more. The costs are less obvious:
- Missed trades. When the move leaves without you, the best signals are often the ones you never get filled on.
- Adverse selection. Your order fills when price comes back to it. That happens more often when the signal is wrong. As the BookPilot guide puts it for deep offsets, the fills you do get tend to be the trades going against you.
The saving per fill is real, but it has to outweigh both effects.
| Market entry | Limit entry | |
|---|---|---|
| Fill certainty | Always fills | May not fill |
| Entry price | Pays the spread, plus any slippage | At your price or better |
| Main hidden cost | Slippage in fast markets | Missed winners, filled losers |
| Used by | FlowPilot | BookPilot (default) |
Why FlowPilot uses market orders
Vantedge FlowPilot enters when a stack of footprint imbalances completes in the forming bar. By then, aggressive orders have already pushed through several prices. Waiting for a pullback would often mean missing the trade, or getting filled only on stacks that failed.
Its default bracket is also wide relative to the spread: a 16-tick target and a 16-tick stop. One tick of entry cost is a modest share of that. FlowPilot therefore takes certainty and sends a market order with the bracket attached.
Why BookPilot uses limit orders
Vantedge BookPilot reacts to the order book, often before price moves. That gives it time to rest an order instead of chasing. By default it places the limit 2 ticks behind the touch for Pressure Break signals and 1 tick behind for Pulled Wall signals. An offset of 0 joins the best bid or ask.
It then manages the two limit-order risks directly:
- An unfilled entry is cancelled after the Entry Timeout, 3,000 ms by default, so a stale order cannot fill long after the edge is gone.
- It is also cancelled if price runs away in the trade's direction by the Cancel distance: 4 ticks for Pressure Break, 3 for Pulled Wall.
You can turn Use Limit Orders off. Entries then go in at market: every signal fills, with slippage, and the timeout and cancel settings do nothing.
Tuning entries with evidence
Two patterns in testing tell you which way to adjust:
- Many cancelled entries suggest the offset is too deep or the timeout too short.
- Many fills that are stopped out quickly suggest the offset is too deep, and you are only being filled when wrong.
Measure both in Market Replay over the same days before and after each change. A better average entry price means little if the fill rate collapses.
Which is right for you?
If your signals come after the move has started, market entries usually make more sense. If your signals come from the book before price moves, a short-lived limit order behind the touch can work, provided you control how long it lives. The FlowPilot vs BookPilot comparison sets out both entry styles alongside data needs and testing.
No entry method protects you from losing trades, and futures losses can exceed expectations. Test your entry choice in SIM, and in Market Replay for BookPilot, before using an evaluation, funded or live account.