I was watching a movie and in a scene a character said:
Please do come in.
I understood that it as an order. Is this sentence grammatically correct?
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It's grammatically correct, but it sounds a little dated. I don't expect you'd hear too many people say it nowadays – most would opt for the more concise "Please, come in."
When characters say this in books and movies, the invitation often comes across as formal, sophisticated, or ominous. For example, I wouldn't be surprised to hear Sherlock Holmes say this at 221B Baker Street, and I wouldn't be surprised to hear a villian say this to James Bond, particularly if he had something up his sleeve. But I would be surprised to hear my neighbor say this if I knocked on the door and asked to borrow a cup of sugar.