With a screen volume requirement of AvgVol(20)>(40*1000) and Price > 5 do you think I could reasonably use a market order instead of a limit order.
More than 90% of the time, yes. But watch the bid-ask spread. Try adding this rule to your screen requirement:
loopmedian(“spread(ctr)/close(ctr)”,20) < 0.005
That eliminates stocks whose bid-ask spread over the last twenty trading days was more than 0.5% of their price. You’ll be eliminating about 250 additional stocks. You can set the limit lower if you’d like.
How much size you trading? I don’t like to be more than 3% of the total expected volatility line into a single order, especially market.