Hi, What's the maximum number of shares one can trade AAPL, day trade, before you would have problems with fills, exessive slippage, etc? I always wondered what was possible with a huge volume stock like AAPL. (20m+ day traded) Thank you
it depends on the length of your holding time and the stop loss. lifting one level at bid or ask does not influence your entry price, that is the minimal share you can trade one time.
I'd say that there's some impact, probabilistically, from the very first order you submit. I'd also say that the exact function of this slippage is as hard to know as anything else with respect to market microstructure, so you're probably not going to get anything more than a rough guess, no matter how much effort you put into it (not to mention the fact that you'll need to define for yourself exactly what "excessive slippage" means). That said, on this very topic there are literally hundreds of academic papers and models in which you're free to engross yourself, if you so desire -- google "price impact".
OK..so what is the amount roughly? Couple of thousand? More? Less? --------------------------------------------------------------------------------------- it depends on the length of your holding time and the stop loss. lifting one level at bid or ask does not influence your entry price, that is the minimal share you can trade one time. ---------------------------------------------------------------------------------------- Thank you
A few $k won't even be noticed. A few k shares at a time and the picture could change... I'm not sure what the threshold is, and I doubt anyone who knows is going to tell you.
I would think you could at least have the posted size at NBBO. With a round lot of AAPL approaching the same notional value as an E-Mini, that's a lot for a individual trader. If you really are swinging big you could get a bank to position you in it OTC.
Yeah i am talknig afew K shares not a few K...LOL I presume swnging 10K shares of AAPL (not scalping) would be fine? Trades over 20M day so 10k isn't that big......right?
because those markets suck balls. ----------------------------------------------------------------- Why not Emini future NQ?