A market order executes immediately at the best available price; a limit order executes only at your set price or better.
When you place a trade you choose an order type. A "market order" executes immediately at the best available price right now — good when speed matters most, but in illiquid stocks you may be surprised by a slightly different price. A "limit order" sets a specific price: a limit buy at 10 only fills if price reaches 10 or below, and a limit sell only fills at your price or higher. A limit order protects you from a bad price but may not fill if price never reaches it. Other types exist, like stop-loss. Choosing the right type affects your execution price, especially in volatile sessions.