You place a market with protection order to sell 100 shares, with the current market price at $45.00. Fifty shares execute at $44.50 and the price continues to drop to $35.00. The remainder of the order is cancelled and resubmitted at a limit price of $40.00. Market order protection should only be used if you value price over execution, since your limit order is not guaranteed to execute, but the order will not execute for less than $40.00.