Core terms
Market order
An order to buy or sell immediately at the best available prices. It prioritizes execution over price, so the fill price is not guaranteed.
A market order takes whatever liquidity is there. In a liquid large-cap stock that usually means a price close to the quote. In a thin small cap, or right after a halt or news, it can fill far from the last trade, because the order keeps taking the next available price until it is filled.
FINRA notes that the price you see when you place a market order may not be the price you get, especially in fast markets. Many brokers do not accept market orders outside regular hours.
What traders should verify
In thin stocks, prefer a marketable limit order, which fills immediately but caps the price you are willing to pay or accept.
Do not conflate
A market order protects the fill, not the price. During a halt it may wait and execute at the reopening price.