This post is correct. Also in addition, there is a factor I did not really cover which is the round trip time between you and the exchange. During that time the

This post is correct. Also in addition, there is a factor I did not really cover which is the round trip time between you and the exchange. During that time the best bid/ask can move away from you, and even though you sent a marketable/aggressive order, it may now not be aggressive. The examples here are in a perfect world, but in reality it's a bit more complicated!