A fast market is one with heavy trading and rapidly changing prices in some but not necessarily all of the securities listed on an exchange or market.
In this volatile environment, which might be triggered by events such as an initial public offering (IPO) that attracts an unusually high level of attention or an unexpectedly negative earnings report, the rush of business may substantially delay execution times.
The probable result is that you end up paying much more or selling for much less than you anticipated if you gave a market or stop order.
While choosing not to trade in a fast market is one way to reduce your risk, you might also protect yourself while seeking potential profit by giving your broker limit or stop-limit orders. That way, you have the possibility of buying or selling within a price range that's acceptable to you, but are less exposed to the frenzy of the marketplace.
The term fast market is also used to describe a marketplace -- typically an electronic one -- where trades are executed rapidly.