Stock traders, I have a question for you... In very liquid stocks and ETFs (e.g., MSFT, CSCO, QQQ, etc.), what would be a good estimate for slippage on market orders? To keep things simple, let's assume that you are using either IB or Tradestation for execution. Let's also assume that your size is anywhere between 500 and 5000 shares. Here's an example scenario: Let's say I'm trading MSFT and the market is 25.00 x 25.01 (bid x ask). I want to buy 5000 shares at the market (attempting to hit the 25.01 offer). Assuming moderate volatility and adequate size on the offer, how much slippage can I expect? 2 cents (filled at 25.03)? 5 cents (filled at 25.06)? 10 cents (filled at 25.11)? More? Thanks for your help!