You mention wanting to daytrade so you will need to do extensive research into the liqudity of the issues you want to daytrade. I can tell you that just because a stock does 4 million shares a day does not mean you will be able to buy 10K shares at any price you want. A stock like, DO for example, does like 4 mill shares a day and sometimes a well placed 100 shares can move the stock .20 lower and other times 10K shares will go off and the stock doesnt budge. What I am trying to get at is its not as simple as wanting to buy X amount at X price. Sometimes the stock will let you other times it wont.
" is there any certain percentage of the average daily volume that an 'affluent person' would try to stay within with regard to how many shares they purchase or sell in an order? " Institutions sometimes specify "no more than 40% of daily volume (and don't knock the price"). Also if they can't expect fill their normal size in 3 days they pass on the stock.(N.B figure not from US markets)
RE: "can anyone give me an idea of what criteria to screen for to pinpoint stocks with the proper liquidity to day trade? i'm not necessarily looking to have all of my trades executed within seconds, but i would want my trades to be executed within 0 to 3 minutes. definitely within 5 minutes" ======== For me the proper liquidity to day trade is but 1 issue & to get a proper answer you should post what you're expectations / loss limits / trading rules / etc are. I'd be surprised if you want to (want to try to) control an issue even over a 0 - 3 minute time frame so you should think in terms of % of ADV you're willing to hold / trade. EG, I often trade in steps, i.e. buy/sell 200-500 sh per trade over 15-20 min with total held at any 1 time < 1% of ADV. If you're catching a move you want to ride it & increase the trade position on reactions til the move exhausts & then reverse the process to liquidate. Sorry I can't be of more help w/out specifics of ISSUE / STYLE/ etc. Regards. blue2and2