Just want to get an idea what's the typical capital size limit for short term trading. I know ultimately the liquidity is a problem. Lets say the time frame is about 1 day, what's the limit? $1M, $5M, $10M...? When do you start to feel the ecological limit?
Good question, but it depends totally on what you're trading. FX, bonds, notes, eurodollars and S&P's can absorb big size. Many individual stocks cannot, at least not without serious slippage. I would think one daytrader would have trouble with more than $5 mill or so in stocks, although I know there have been guys who did many times that. I suppose it depends a lot on how automated you are, and on your style.