How are market orders filled?

[IFT20]

I understand the various types of order entries and exits, and I need to use market orders such as EnterLong(); and EnterShort(); in my strategies to guarantee fills. Sometimes the spreads can widen on the instruments I trade, and I was wondering how NinjaTrader handles my orders. I know I can guarantee a fill by paying the spread, but it is not desirable to always have to cross the market and buy at the ask price and sell at the bid. How does NinjaTrader handle these kind of orders? Is there a way to send out and cancel quotes inside the market to get better fills?

Sorry if this has been asked before! I imagine it has been, but I wasn't sure what keywords to search for and could not find a relevant thread discussing this.

[NinjaTrader_Bertrand]

IFT20, I guess I'm not following you here - when using a market order yes you would pay the spread, as you would just send an order to get quantity x at best price, whatever that would be when it actually hits the exchange q. In liquid markets this will normally 'guarantee' an instant fill, however at which price level is not possible to know in advance. There is no deeper underlying algorithm at work here in NT when sending a market order, just if your question was hinted in this direction, you could however chase in your script for example via limit entry if desired.

[IFT20]

Thank you for the reply Bertrand. I think I may be getting ahead of myself here and trying to improve my strategies in a way that is outside my programming and automated trading understandings. I'm ultimately seeking to get better fills while still being able to reliably have my orders executed. I should probably do some more research and testing with other order entries to determine how I can achieve what I am looking for.

[coolmoss]

IFT20, you really don't have a lot of choice, and certainly some compromise will be needed. You can either submit market orders and pay the spread, or you can submit a limit or stop limit order and risk not getting filled. The problem is that most if not all of the systems I've worked on (my own and clients) is that if you use limit or stop limit orders to try and save the spread you end up getting filled on trades that ultimately don't work and the the ones you don't get filled on would have been the profitable trades. This is something you'll need to test on a market by market basis. No easy answers here.

[IFT20]

Yeah, I definitely see what you are saying coolmoss. I was just thinking that if I could save a few cents here and there on spread pricing it would be great, but I see that it isn't a simple solution. Thanks for the input!