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There are many types of orders used in futures trading. Some are quite inventive and tailored to specific needs. However, not all brokers and exchanges accept all types of orders. So, I'll just discuss the ones most commonly used, which are accepted by all exchanges.
The market order is used frequently. It is the quickest and surest way to get into or out of a market. This type of order gets filled at whatever price the market offers at that time. In effect, you don't "haggle" over price; you accept whatever price the other side offers. For this reason you will not always get the most advantageous price.
Yet, market orders are great for getting into a market with ease and to avoid missing important market moves. Market orders should not be used in "thin" markets - those with very low trading volume or large bid/ask spreads. In these types of markets there are very few participants and your order may get filled at a price much higher or lower than you might expect. In markets with high volume there are so many participants willing to trade that it is easier to get your order filled at a price very close to the current market price.
A limit order stipulates that a trader wants to enter the market at a specific price or better. For a trader taking a short position, getting in the market at a higher price is better. For a trader entering a long position, getting in the market at a lower price is better. So, a buy limit order designates a price below the current market price and a sell limit order designates a price above the current market price.
Limit orders are good for getting into the market at an advantageous price, but the drawback is that you may not get into the market if the limit price is never reached. Furthermore, even if the current market price touches your limit price it doesn't mean that the order will be filled. The market price has to move just beyond the limit price in order for a fill to be guaranteed.
A stop order is an order to be executed when the market reaches a specified price. When the market reaches this price, the stop order then becomes a market order and is filled at whatever the prevailing market price is. This is different from a limit order in that a limit order will only accept a certain price or better. But, a stop order simply sets a specific price at which a market order will then be executed. There are several uses of for stop orders.
1If market prices are moving up and down with a well-defined range, a trader may want to use a stop order to get in the market in case the price moves outside of this range. When prices breakout beyond a well-defined trading range it often indicates the start of a new trend in the direction of the breakout. For example, if corn prices have been trading between $4.50 and $5.00 a trader could place a buy stop at $5.05 because he believes that prices will continue higher if they break the $5.00 mark. The same is true if a trader placed a sell stop at $4.45.
2Stop orders are also used to protect a current futures position. If you bought wheat at $6.00 you could also place a sell stop order at a certain point below $6.00 (say $5.90) in order to offset your long position if market prices turn against you. This will minimize potential losses.
3Most brokers accept trailing stop orders, which are aimed at achieving the same purpose as above - protecting an existing futures position. But, a trailing stop order follows the current market price at a certain distance, either under or over it. For example, if you bought a corn contract at $4.50 you could place a trailing stop 10 cents under this price. As corn prices rise the trailing stop rises with it, always staying 10 cents under. If the prices rise to $5.00 and then begin to drop, the trailing stop would remain at $4.90, even if corn prices continue dropping. Thus, you will have protected .40 cents of your profits (from $4.50 to $4.90). The trailing stop protects profits by staying close to the current market price.
The numerous other order types are often specific to a futures broker or exchange. It's often best to learn how to use these after choosing a particular brokerage firm.