EXHIBIT 5.1


June 12, 2003


Grant Park Futures Fund Limited Partnership
c/o Dearborn Capital Management, L.L.C.
550 West Jackson Boulevard, Suite 1300
Chicago, Illinois 60661

Re:      Grant Park Futures Fund Limited Partnership
         Registration Statement on Form S-1
         ----------------------------------

Dear Ladies and Gentlemen:

         We have acted as counsel to Grant Park Futures Fund Limited
Partnership, an Illinois limited partnership (the "PARTNERSHIP"), and its
general partner, Dearborn Capital Management, an Illinois limited liability
company (the "GENERAL PARTNER"), in connection with the preparation and filing
of a registration statement on Form S-1, as amended (File No. 333-104317) (the
"REGISTRATION STATEMENT"), with the Securities and Exchange Commission under the
Securities Act of 1933, as amended (the "ACT"). The Registration Statement
relates to the offering of up to $20,000,000 in aggregate amount of Class A
limited partnership units and $180,000,000 in aggregate amount of Class B
limited partnership units (together, the "UNITS"). This opinion is being
furnished in accordance with the requirements of Item 601(b)(5) of Regulation
S-K under the Act.

         In connection with this opinion, we have relied as to matters of fact,
without investigation, upon certificates of public officials and others and upon
affidavits, certificates and written statements of officers and employees of,
and accountants for, the Partnership and the General Partner. We have also
examined originals or copies, certified or otherwise identified to our
satisfaction, of such instruments, documents and records as we have deemed
relevant and necessary to examine for the purpose of this opinion, including (a)
the Registration Statement, (b) the Amended and Restated Certificate of Limited
Partnership of the Partnership, (c) the Third Amended and Restated Limited
Partnership Agreement of the Partnership ("THE LIMITED PARTNERSHIP AGREEMENT");
and (d) the form of Selling Agreement (the "SELLING AGREEMENT") proposed to be
entered into between the General Partner and each of UBS Financial Services
Inc., A.G. Edwards & Sons, Inc. and Fahnestock & Co. Inc. as lead selling
agents.

         In connection with this opinion, we have assumed the legal capacity of
all natural persons, the accuracy and completeness of all documents and records
that we have reviewed, the genuineness of all signatures, the due authority of
the parties signing such documents, the authenticity of the documents submitted
to us as originals and the conformity to authentic original documents of all
documents submitted to us as certified, conformed or reproduced copies. In
making our examination of documents executed or to be executed by parties other
than the General Partner or the Partnership, we have assumed that such parties
had or will have the power, corporate or other, to enter into and perform all
obligations thereunder and have also



Grant Park Futures Fund Limited Partnership
June 12, 2003
Page 2

assumed the due authorization by all requisite action, and execution and
delivery by such parties of such documents and the validity and binding effect
thereof.

         Based upon and subject to the foregoing, it is our opinion that,
assuming (i) the due authorization, execution and delivery to the General
Partner of the subscription agreement and power of attorney and the subscription
requirements acknowledgment (collectively, the "SUBSCRIPTION AGREEMENT") by each
subscriber for Units (the "SUBSCRIBERS") and all other parties thereto, (ii) the
due acceptance by the General Partner of the admission of the Subscribers as
limited partners of the Partnership to the Partnership, (iii) the payment by
each Subscriber to the Partnership of the full consideration due from it for the
Units subscribed to by it, (iv) that the books and records of the Partnership
set forth all information required by the Limited Partnership Agreement and the
Revised Uniform Limited Partnership Act of the State of Illinois, including all
information with respect to all persons and entities to be admitted as partners
and their contributions to the Partnership, (v) that the Subscribers, as limited
partners of the Partnership, do not participate in the control of the business
of the Partnership, and (vi) that the Units are offered and sold as described in
the Registration Statement, the Limited Partnership Agreement and the Selling
Agreement, the Units to be issued to the Subscribers will represent valid
limited partner interests in the Partnership and will be fully paid and
nonassessable limited partner interests in the Partnership, as to which the
Subscribers, as limited partners, will have no liability in excess of their
obligation to make payments provided for in the Limited Partnership Agreement
and their share of the Partnership's assets and undistributed profits (subject
to the obligation of a limited partner to repay any funds wrongfully distributed
to it).

         Our opinion expressed above is limited to the Revised Uniform Limited
Partnership Act of the State of Illinois, the applicable provisions of the
Illinois constitution and the reported judicial decisions interpreting such
laws, and we do not express any opinion concerning any other laws. This opinion
is given as of the date hereof and we assume no obligation to advise you of
changes that may hereafter be brought to our attention.

         We hereby consent to use of our name under the heading "Legal Matters"
in the Prospectus forming a part of the Registration Statement and to use of
this opinion for filing as Exhibit 5.1 to the Registration Statement.

Very truly yours,


/s/ Katten Muchin Zavis Rosenman

KATTEN MUCHIN ZAVIS ROSENMAN