What broker/software allows the best price fill for a high volume order (i.e., 15k - 30k share block) for a security that trades 500k daily? On occasion, my orders impact the price too much.
I hate to be the bearer of bad news, and I hope I'm wrong, but I don't think that there is any "software" that will help you to execute larger orders on lower volume stocks. The only thing I can think of would be to have an acct at one of the bigger firms where potentially they could "shop" around for sellers when your looking to get into something like that. However, and not to slight you, but for 15-25000 shares, I wouldn't expect the brokerages to care that much. Only advice I have is to try and split it up into a couple of orders. Playing in an illiquid stock, you just have to deal with paying up to get filled. Hope someone else shines more light on this, but I can't think of anything else. Vega
There is only one thing I can ad to what Vega said. If you are playing size like that you need to be trading direct access. Period. You at least have a chance to sit on the bid and wait for a seller or lift the offer when a little size shows up. To rely on an order clerk at (insert BD name here) to do his/her best for you is lunacy.
You should try using ITG's POSIT crossing system. If you get filled on POSIT, you are guaranteed price improvement. I have had pretty good fill rates using them, but it varies from day to day. They are also a good broker to shop your orders around. www.itginc.com