I still am reluctant to try to explain it to you, but I can almost prove it to you, perhaps.


Put and call options have value. A buy limit order, in the time it takes you to cancel it, is a put option donated for free to the marketplace at large. It must have value to them and, therefore, could have negative value to you.


It definitely has negative value to you in the sense you are writing a free option without getting paid for it. But the limit order could offer you some unseen utility, to offset this, so that everyone wins. But the unseen utility is an illusion.


Can you quantify the value of the limit order to you, apart from the obvious fact that - when you do get filled later - you do get a better price than you could have gotten right away? Because I have just, sort of, quantified the cost. And, moreover, I can say that if other people's limit orders are free options, that the opportunity to use market orders must have value to you.


You could say that the option of using a market order to you has no value since it is apparently passed up by the entire rest of the marketplace, and thus the option has no buyer. But it has a buyer if you are the buyer, because your need is asymmetric.


Let's put it this way, if other people's limit orders have no value you can extract, it would seem like a tough stretch to think you could somehow squeeze any value out of their orders using a limit order.


leroy