-----BEGIN PRIVACY-ENHANCED MESSAGE-----
Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
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MIC-Info: RSA-MD5,RSA,
 DlLHLdgyxnp8KPTkQBhuY55mssQUch1ignaCC/gIDzkoLteT2IxiaCS7RXE05jnK
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<SEC-DOCUMENT>0001140361-06-005320.txt : 20060405
<SEC-HEADER>0001140361-06-005320.hdr.sgml : 20060405
<ACCEPTANCE-DATETIME>20060405135719
ACCESSION NUMBER:		0001140361-06-005320
CONFORMED SUBMISSION TYPE:	4
PUBLIC DOCUMENT COUNT:		1
CONFORMED PERIOD OF REPORT:	20060401
FILED AS OF DATE:		20060405
DATE AS OF CHANGE:		20060405

ISSUER:		

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
		CENTRAL INDEX KEY:			0000845698
		STANDARD INDUSTRIAL CLASSIFICATION:	 [6221]
		IRS NUMBER:				363596839
		STATE OF INCORPORATION:			IL
		FISCAL YEAR END:			1231

	BUSINESS ADDRESS:	
		STREET 1:		C/O DEARBORN CAPITAL MANAGEMENT, LLC
		STREET 2:		555 WEST JACKSON BLVD, SUITE 600
		CITY:			CHICAGO
		STATE:			IL
		ZIP:			60661
		BUSINESS PHONE:		312-756-4450

	MAIL ADDRESS:	
		STREET 1:		C/O DEARBORN CAPITAL MANAGEMENT, LLC
		STREET 2:		555 WEST JACKSON BLVD, SUITE 600
		CITY:			CHICAGO
		STATE:			IL
		ZIP:			60661

REPORTING-OWNER:	

	OWNER DATA:	
		COMPANY CONFORMED NAME:			DEARBORN CAPITAL MANAGEMENT LLC
		CENTRAL INDEX KEY:			0001251188

	FILING VALUES:
		FORM TYPE:		4
		SEC ACT:		1934 Act
		SEC FILE NUMBER:	000-50316
		FILM NUMBER:		06741487

	BUSINESS ADDRESS:	
		STREET 1:		555 WEST JACKSON BLVD
		STREET 2:		STE 600
		CITY:			CHICAGO
		STATE:			IL
		ZIP:			60661
		BUSINESS PHONE:		312-756-4450

	MAIL ADDRESS:	
		STREET 1:		555 WEST JACKSON BLVD
		STREET 2:		STE 600
		CITY:			CHICAGO
		STATE:			IL
		ZIP:			60661
</SEC-HEADER>
<DOCUMENT>
<TYPE>4
<SEQUENCE>1
<FILENAME>doc1.xml
<DESCRIPTION>FORM 4
<TEXT>
<XML>
<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0202</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2006-04-01</periodOfReport>

    <notSubjectToSection16>0</notSubjectToSection16>

    <issuer>
        <issuerCik>0000845698</issuerCik>
        <issuerName>GRANT PARK FUTURES FUND LIMITED PARTNERSHIP</issuerName>
        <issuerTradingSymbol>NONE</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001251188</rptOwnerCik>
            <rptOwnerName>DEARBORN CAPITAL MANAGEMENT LLC</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>555 W. JACKSON BLVD.</rptOwnerStreet1>
            <rptOwnerStreet2>STE. 600</rptOwnerStreet2>
            <rptOwnerCity>CHICAGO</rptOwnerCity>
            <rptOwnerState>IL</rptOwnerState>
            <rptOwnerZipCode>60661</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>1</isOther>
            <officerTitle></officerTitle>
            <otherText>General Partner</otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Class A Limited Partnership Units</value>
            </securityTitle>
            <transactionDate>
                <value>2006-04-01</value>
            </transactionDate>
            <deemedExecutionDate></deemedExecutionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>P</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionTimeliness>
                <value></value>
            </transactionTimeliness>
            <transactionAmounts>
                <transactionShares>
                    <value>8.1163</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>1108.8828</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>A</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>2589.129</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value></value>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>General Partnership Units</value>
            </securityTitle>
            <transactionDate>
                <value>2006-04-01</value>
            </transactionDate>
            <deemedExecutionDate></deemedExecutionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>P</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionTimeliness>
                <value></value>
            </transactionTimeliness>
            <transactionAmounts>
                <transactionShares>
                    <value>0.9018</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>1108.8828</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>A</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>287.681</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value></value>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Class B Limited Partnership Units</value>
            </securityTitle>
            <transactionDate>
                <value>2006-03-31</value>
            </transactionDate>
            <deemedExecutionDate></deemedExecutionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>S</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionTimeliness>
                <value></value>
            </transactionTimeliness>
            <transactionAmounts>
                <transactionShares>
                    <value>23.2214</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>980.556</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>0.00</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value></value>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
    </nonDerivativeTable>

    <remarks></remarks>

    <ownerSignature>
        <signatureName>/s/ David M. Kavanagh, Dearborn Capital Management Ltd., its Managing Partner</signatureName>
        <signatureDate>2006-04-04</signatureDate>
    </ownerSignature>
</ownershipDocument>
</XML>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
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