How Does a ‘Market Order’ Differ in Terms of Information Leakage Risk?

A market order, which is an instruction to buy or sell immediately at the best available price, carries a different type of information leakage risk. While it doesn't reveal future intent like a limit order, a very large market order can immediately 'walk the book' and execute against multiple price levels, visibly causing significant price movement.

This execution itself is a form of leakage, signaling aggressive, large-scale demand or supply.