Exhibit 8.1

June 25, 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
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Ladies and Gentlemen:

You have requested our opinion as to the status of Grant Park Futures Fund
Limited Partnership, an Illinois limited partnership ("Grant Park"), for federal
income tax purposes, and as to certain other matters.

In connection with your request, we have reviewed the following documents: (a)
Grant Park's Third Amended and Restated Limited Partnership Agreement (the
"Partnership Agreement"); (b) the Form S-1 Registration Statement (including the
prospectus contained in the Registration Statement, hereinafter referred to as
the "Prospectus") under the Securities Act of 1933 with respect to Grant Park
filed with the Securities and Exchange Commission ("SEC") on April 4, 2003, as
amended (the "Registration Statement"); (c) the exhibits to the Registration
Statement; (d) each of Pre-Effective Amendment No. 1, No. 2 and No. 3 to the
Registration Statement; and (e) such other documents as we have deemed necessary
or appropriate to review in rendering this opinion. Capitalized terms used
herein and not otherwise defined are as defined in the Prospectus.

Dearborn Capital Management L.L.C., an Illinois limited liability company which
is the general partner of Grant Park (the "General Partner"), has represented to
us that:

1.   Grant Park is organized and will be operated in accordance with the
Partnership Agreement, the Prospectus and the Revised Uniform Limited
Partnership Act of the State of Illinois.

2.   The primary business and purpose of Grant Park is to engage in the
speculative trading of commodity futures, forwards and option contracts. The
objective of the business of Grant Park is the appreciation of its assets on a
long-term basis.

3.   Units in Grant Park will be offered in accordance with the Prospectus and
the subscription agreement attached as an exhibit to the Prospectus.

4.   A principal activity of Grant Park consists of buying and selling
commodities not held as inventory, and futures, forwards and options with
respect to such commodities.

5.   For each taxable year (or portion thereof) since the commencement of Grant
Park's



trading activities through December 31, 2002, Grant Park never had more than 500
partners (including each person that indirectly owned an interest in Grant Park
through a partnership, S corporation or grantor trust as a partner), and at
least 90% of Grant Park's annual gross income has consisted of the following
types of income or gain (collectively, "Qualifying Income"): interest;
dividends; gain from the sale of stock (other than stock held as a market maker
or dealer); gain from the sale of "securities" (other than securities held as a
market maker or dealer) as defined under the Investment Company Act of 1940, as
amended; income and gain from futures contracts and options on stock or bond
indices or debt instruments or one or more securities or groups of securities;
income and gains from commodities, or futures, forwards and options with respect
to commodities; income and gains from options, futures and forwards on foreign
currency; and income and gains from interest or equity swaps or other
conventional notional principal contracts NOT relating to any mineral or natural
resource.

6.   Following appropriate consultation with its traders, the General Partner
reasonably believes, and will use all reasonable efforts to assure, that at
least 90% of Grant Park's annual gross income will continue to consist of
Qualifying Income (as defined above).

7.   Grant Park will not make an election to be taxed as a corporation under
Treasury Regulation Section 301.7701-3.

In rendering this opinion, we have relied, without independent investigation or
verification, on the General Partner's representations set forth above, and the
facts and information set forth in the documents referred to above.

On the basis of our review of the aforementioned documents, the
representations set forth above and federal income tax law as currently in
effect, including the Code, existing judicial decisions and administrative
regulations, rulings, procedures and practice, it is our opinion that Grant
Park has been classified since its inception through December 31, 2002 and,
as long as at least 90% of Grant Park's annual gross income continues to
consist of Qualifying Income (as defined above), will continue to be
classified in 2003 and future years, as a partnership and not as an
association taxable as a corporation for federal income tax purposes, and
accordingly, limited partners in Grant Park will be subject to federal income
tax treatment applicable to limited partners in a partnership.

In addition, we have reviewed the discussion relating to tax matters under the
heading "U.S. Federal Income Tax Consequences" in the Prospectus. In our
opinion, such discussion is accurate as of the date hereof in all material
respects insofar as it relates to the federal income tax aspects of an
investment in Grant Park.

We hereby consent to the use of this opinion as an exhibit to the Registration
Statement and to the use of our name under the heading "U.S. Federal Income Tax
Consequences."

                                   Very truly yours,

                                   KATTEN MUCHIN ZAVIS ROSENMAN

                                   By: /s/ Jill Darrow
                                       --------------------------
                                       A Partner

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