A market-with-protection order starts out as a regular market order to buy or sell at the market price. This kind of order will cancel the remainder of the order if the price moves before the entire order is filled, and it is immediately re-entered as a limit order with a price just above or below the market price.

A market-with-protection order allows investors to hedge against the change that prices will move unexpectedly before their entire order is filled at the desired price. So an investor would submit an order to be executed at the current market price, and then, if the price moved, the order would automatically cancel the rest of the order and resubmit it as a limit order.

The limit order would not accept a price above (in the case of buying) or below (in the case of selling) the limit price. It protects investors from unforeseen swings. Unlike Fill-or-Kill (FOK) orders, Good-til-Canceled (GTC) and Immediate-or-Cancel (IOC) orders can be partially filled, but they do not offer price protection the way a market-with-protection order does.

What is a Market-on-Close order?
What is a Market-on-Open order?