Fast Markets

At times, the market moves very quickly through the order prices, and if you place a
limit order it simply won’t get filled. During fast market conditions, a market can move
thousands of dollars per contract in just a few minutes.
During these times, the Turtles were advised not to panic, and to wait for the market
to trade and stabilize before placing their orders.
Most beginning traders find this hard to do. They panic and place market orders.
Invariably they do this at the worst possible time, and frequently end up trading on the
high or low of the day, at the worst possible price.
In a fast market, liquidity temporarily dries up. In the case of a rising fast market, sellers
stop selling and hold out for a higher price, and they will not re-commence selling until
after the price stops moving up. In this scenario, the asks rise considerably, and the
spread between bid and ask widens.
Buyers are now forced to pay much higher prices as sellers continue raising their asks,
and the price eventually moves so far and so fast that new sellers come into the market,
causing the price to stabilize, and often to quickly reverse and collapse partway back.
Market orders placed into a fast market usually end up getting filled at the highest price
of the run-up, right at the point where the market begins to stabilize as new sellers
come in.
As Turtles, we waited until some indication of at least a temporary price reversal before
placing our orders, and this often resulted in much better fills than would have been
achieved with a market order. If the market stabilized at a point which was past our
stop price, then we would get out of the market, but we would do so without
panicking