I posted this awhile ago and was just wondering on the accuracy of the statement: " The answer depends on the share size of your market order. For small share sizes (100-500 shares) your average slippage will be small. For example, I trade Nasdaq and NYSE stocks with average daily volumes that typically exceed 500k shares per day. Over the last 20,000+ market orders, my average Nasdaq slippage is about 0.2 cents per share (with average share price of $29 per share => avg percent slippage = 0.0069%), and my average NYSE slippage is roughly 0.5 cents per share (with avg share price of $65 per share => avg percent slippage of 0.0077%) . To summarize, the slippage is not much, unless you are dealing with large orders relative to the liquidity of the stocks you trade. " comments? accurate?