Emil,
biz.yahoo.com gives a market stat for DIA of 19,482,857 units.
DIA DIAMONDS TRUST SER 1 81.91 3:16PM ET 0.84 (1.04%)
Thats good volume.
I think a market order gives not too much slippage for me.
I already have some DIA engagement to hedge the DJX options.
Same for the YM. 1-2...