The best way to protect yourself is to use limit orders when placing an order to buy or sell a stock or an exchange-traded fund. (See How Your Buy and Sell Orders Get Filled for more.) Look at the bid-ask spread and set your price limit at the bid for selling a stock and at the ask for buying a stock.

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As is always the case with ETFs, limit orders and stops must be used because quite often the spread between the bid and ask can be very wide.

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One issue for investors, according to Mr. Rosenbluth, is that this two-year-old fund is thinly traded and can have a wide bid-ask spread (the difference between the prices potential buyers "bid" to acquire shares and the prices potential sellers "ask" to part with theirs).

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The cost of buying a second-hand Treasury at Fidelity is half the spread between bid and ask prices.

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The new rules on stock quotations get at the ability of investors to get in the middle of the spread between the bid and ask prices quoted by market- makers.

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If the ETF is little traded the bid-ask spread will be high, and a reasonably small order may move the market.

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Brokers push them, he says, because the pricing is opaque and most customers will never see a bid-ask spread.

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Advisors typically collect higher fees for trading strategies, brokers collect more commissions, exchanges earn a fee from each transaction, and market makers gorge themselves on the bid-ask spread.

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By comparison, the bid ask spread for the large much traded SPDR is a very reasonable 1 cent and even very large trades will not move the market.

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