Market entries or limit entries on a scalp?

[Shadow Trader]

Two camps, both with a point.

Market order camp: speed matters. A scalp setup lasts seconds, and waiting for a limit fill means missing half of them. The cost is the spread plus slippage, and the benefit is certainty of getting in.

Limit order camp: price matters. Scalping targets are small, so saving 0.3 pip on entry is a big percentage of the profit. The cost is missed trades, and the trades that do fill are sometimes the ones price is rejecting, which is a nasty form of adverse selection.

That last part deserves attention. A limit buy fills when price comes down to it. Fills happen most when sellers are in control, which is exactly when a long entry is less likely to work. The setups that run away without filling are the ones that would have been winners.

A mixed approach exists: limit entries at planned levels where price is expected to react, and market entries on confirmed breakouts.

Which side of this argument wins in the long run, based on actual trade data?