Had an interesting experience today using CMC Markets stockbroking. I placed an At Market order and assumed that my order would be filled "at market'. Wrong - a small parcel went through at the prevailing bid, then the rest was placed in the queue as a Limit order. I wasn't a happy camper by this stage and when I talked to a broker at CMC I was told I would have to amend my order if I wanted an immediate fill. Their own documentation says this - "Market orders are used to open or close a transaction at the current market price. It doesn't matter whether you are buying or selling, a market order will always get filled." Clearly this isn't the case, so if you use CMC, take care and never assume your at market orders are actually carried out at market.