Slippage has become a significant factor in my market equity order entries and exits. The specialists or market makers seem to see me coming from a mile away and ream me on market orders. I need some advice. First off, I'm a scalper. I buy on momentum, ride for a modest gain, then jump out before the stock turns south. It's simplistic, and has limitations, but it works for me. Naturally, I find I cannot place limit orders for sizeable amounts of shares without getting partial fills. A partial fill is fine on the entry, as it is a self-limiting way to measure the liquidity of that stock at that time. The way I see it, it's often best not to buy more shares than you can get on a limit order, so you don't get caught holding more than you can unload easily, assuming comparable liquidity. Exit limits are another matter. I don't want to get a partial fill on my exit if I desperately want to get out completely. So, I'd like to stay with market orders on my exits. I realize that I will incur slippage on any market order. Sometimes, when the stock is moving my way on the exit, I actually get positive slippage, which is gravy. But I notice that, even when I'm exiting a stock with positive momentum, more often than not I get negative slippage despite the fact that I've placed my market sell order at a lower price than the current ask. That's when I know the specialists are robbing me because my order is big and sticks out like a sore thumb. My question is simple: How do I determine how many shares to trade at market to keep slippage at REASONABLE levels on both entry and exit? How do I keep under the radar of the specialist? I use Trade Station, which has "peg" orders. Haven't tried this feature yet. Any comments? It seems obvious that slippage depends on volume and volatility or liquidity. I need to QUANTIFY these variables to detrmine the number of shares I should trade. Is there a formula? Is this subject the chapter of a book? Any useful links out there for this subject? I'd be grateful for any assistance. Thanks - John