What is a "Big" stock? Listed, Nasdaq? Come on, ask a real question. Many listed stocks you can buy 100K within .02, some .25!
Like Exxon or Union Pacific, you know big market cap companies. Some funtion of avg vol = expected slippage, anything like that?
UNP you can expect a lot of slippage in, especially if you want 100k shares right away. I am guessing .50-1.50 depending on the liquidity at that moment.
Depends when you throw the order in. The stock isnt very thick at all, 100k shares could really move it. I've seen UNP go down .50 cents on 4k share offer easily. It just depends on the liquidity at the time you are looking to get in. The stock only avgs maybe 1.4 mil shares a day. I'm sure there are also times when you could get in for like .20 or less slippage.
In the ES, we have DOM to show how many contracts are bid/offered at each price. It's easy to determine the likely slippage on a large order. Is there something like that for large stocks on the NYSE?
I also think it would be pretty dumb to send 100k share buy market order in a stock like UNP. If you broke it up into 10k blocks and worked the orders somewhat, I'm sure that would also cut down on slippage.
Ahhhhhhhhhhh! Sorry. I screwed this up. It was early. I miscalculated. I only need 10,000 shares. That shouldn't be to hard to get.