Is there a share size that you feel makes it to hard to get in & out of a trade. As opposed to trading in smaller lots and achieving the same results over many trades.
this will be all relative to the liqudiity of the stock. if you are trading intc or ge, you can scalp huge size and not be a problem . but if you are scalping with 3000 shares and trading a stock like CLF or something that is a different story.
I used to trade size in stocks and my rule of thumb was to look at the lowest daily volume over the last 12 months and make sure I didn't go over 10% of that lowest day's volume. Worked fine for me.