It is your responsibility to check with your broker or the exchange as to which order types are accepted before you actively trade securities in a live account. Not all order types are supported by all Exchanges. Know your game before you play it!

Market Order (this is a must read):

A market order does not specify a price. It is executed at the best possible price available, anywhere on the planet! i.e. "at the market" means there is no better price anywhere!. A market order can keep you from "chasing" a market. In this case "chasing" would be seen as placing a stop at some price at which you can not get a fill, which then would force you to place yet another order, etc. thus chasing a specific price.

"When trading the markets, all surprise is bad..." -Sidney

Important: Many order platforms have a reverse position button which has the effect of reversing a market position from a net-long to a net-short or vice-versa. The trading platform software will typically issue orders to close out your current position by creating a "market order" in the opposite direction. Say, you are long 10 contracts, then you click reverse. The platform would issue a "market order" to sell 20, thus creating a new net short 10 contract position. Many traders are unhappily unaware of the possible slippage which can occur in a market order and get all upset when their fills are not at the exact price at which they clicked the reverse button on their platform! (See What is Important to Know About Stops)

Slippage - The difference between the expected price of a trade, and the price the trade actually executes at. Slippage often occurs during periods of higher volatility, when "market orders" are used, and also when large orders are executed when there may not be enough interest at the desired price level to maintain the expected price of trade.

In forex, slippage occurs when a limit order or stop occurs at a worse rate than originally set in the order. Slippage often occurs when volatility, perhaps due to news events, makes an order at a specific price impossible to execute. In this situation, most forex dealers will execute the order at the next best price.

In stocks, slippage can occur when there is a change in the bid-ask spread. Specifically a market order by the trader may get executed at a worse than expected price. In the case of a long trade, the ask may have increased. In the case of a short trade, the bid may have lowered. Traders can help to protect themselves from slippage by avoiding market orders when not necessary.

Ask - The price a seller is willing to accept for a security. To help remember think what the seller says, "here's what I'm asking for it..." The Ask is also known as the "offer price". Along with price, the ask quote will usually include the quantity of the security willing to be sold at that price.

Bid - The price a buyer is willing to pay for a security. The Ask will always be higher than the Bid. The "Bid" and "Ask" are used in nearly every financial market in the world. This includes stocks, bonds, currencies, futures, and derivatives. An example of an Ask quote in the stock market would be: $3.25 x 1,000 meaning someone is offering to sell 1,000 shares at $3.25 each

Limit Order:

The limit order is an order to buy or sell at a designated price. Limit Orders to buy are placed below the current price while limit orders to sell are placed above the current price. Even though you may see the market touch a limit price several times, this does not guarantee the customer a fill at that price. In most instances, the market must trade BETTER than the limit price for the customer to get a fill.

Or Better:

The pit broker is obligated to get the best possible price for the customer. Think of OB as a market order with a limit. If the price does not have an OB next to it, and the market is considerably better, the pit broker may question the runner to see if the order should have
been a stop. They may return the order for clarification, which could delay execution and possibly change the results of the fill.

Market If Touched (MIT):

Buy MITs are placed below the current price and Sell MITs are placed above the current price. An MIT order is similar to a limit order in that a specific price is placed on the order. However, an MIT order becomes a market order once the limit price is touched or passed through. An execution may be at, above, or below the originally specified price.

Stop Order (buy stop, or sell stop):

Stop orders can be used for three basic purposes:

to minimize a loss on a long or short position
to protect a profit on an existing long or short position
to initiate a new long or short position

Buy Stop - A buy stop order is placed above the current market and is elected only when the market trades at or above, or is bid at or above, the stop price.

Sell Stop - A sell stop order is placed below the current market and is elected only when the market trades at or below, or is offered at or below, the stop price.

What is Important to Know About Stops
Once the stop order is elected (actionable), the order is treated like a market order and will be filled at the best possible price. If the market is fast or too thin you may be surprised by the fills. Be considerate and kindly ask your broker for "time and sales" on your trade should you suspect an error in your fills, but probably your stop was elected when conditions became volatile or you were trading in a market that had low volume, or open interest.

Stop Limit Orders:

A stop limit order lists two prices and is an attempt to gain more control over the price at which your stop is filled. The first part of the order is written like the stop order. The second part of the order specifies a limit price. This indicates that once your stop is triggered, you do not wish to be filled beyond the limit price. Stop limit orders should usually not be used when trying to exit a position.

Stop Close Only:

The stop price on a stop close only will only be triggered if the market touches the stop during the close of trading. The disadvantage of this order is a fast market in the last few minutes of trading may cause the order to be filled at an undesirable price. It can, however, protect the customer from getting filled during adverse price fluctuations during the course of the day.

Market On Opening (MOO):

This is an order that the customer wishes to be executed during the opening range of trading at the best possible price obtainable within the opening range.

Market On Close (MOC):

This is an order that will be filled during the final minutes of trading at whatever price is available, ostensibly the same as a market order..

Fill or Kill:

Usually on pit traded securities, a Fill or Kill order instructs the floor broker to buy or sell at your specified price and to immediately cancel the order if it is "unable" to be filled.

One Cancels the Other (OCO):

This is a combination of two orders written on one order ticket. This instructs the floor broker that once one side of the order is filled, the remaining side of the order should be canceled. By placing both instructions on one order, rather than two separate tickets, the customer eliminates the possibility of a double fill.