I would also point towards simulator behavior, I've been noticing something similar when I try too enter markets using limit orders on a DEMO versus on a LIVE account.
I wanted to know what other people typically experience with market and limit orders. This is being applied to Futures ( the S&P mini particularly), and day trading. Usually if I know I'm going to hold on to a position for a longer period I'll WORST case do a market order. I try to avoid using...