I've been afraid of doing etf market order buys in an IRA because there is the possibility of a surprising price turning my small cash balance there negative. I think there is a rule against that, although I once went negative without problems when I was charged multiple commissions on partially filled orders (so now I specify all-shares-or- nothing even though it can give a worse price).
Anyway some advise to never use market orders and only limit ones, even though the price can sometimes run away in the wrong direction. My problem with this is that I always seem to get exactly the limit price I specified even if the price was more favorable (lower) that entire day! This is with a brokerage which is quite good to me with market orders, and rarely gives me the worst end of the bid/ask spread.
Here is a possible explanation generous to my brokerage. They claim to turn a limit order into a market order at the specified price. As I said, the quoter has no indication of my market order which would have been listed as the worst buy price of the day. I hear the latest high frequency trick is people flooding the system with dummy quote requests which somehow lets them sniff the limit settings and trade them while the official system is frozen and unaware.
Another possible explanation is my trade is assigned from my brokerage to one of several trading companies which not all of them report back to quoting central. Anyway, just some caveats for those who think limit orders are the best way to go, especially if you can't be present at a terminal during daytime hours.