Hi; did anyone ever answer your question? I get the same thing. When I use the market order, it doesn't happen, but the limit orders are less money. I found Deribit exchange which is simpler IMO and offers a lot more and I've had no problems (very straightforward). I would like to use Bitmex too but it seems kind of shady not being able to set a limit order.
Hope this message finds you well.

Thank you,