Q. If the market starts a “fast” move in my direction, and if my limit does not fill, each new bar generates a new limit order. Is there a way to force a market order at some point?
A. Yes. Remember that limit prices are really indictors, so you can make them as sophisticated as you like. Basically, if you set a limit to enter long, way ABOVE the current price, the limit will fill at the open price. So for instance you could make your limit price jump up way above the market price when you just want to fill immediately, but keep the limit price below the market price when you hope to get in at a lower price.