OK, you may get a chuckle out of this, but my last equity trade was before decimalization.... I've been strictly trading index futures for the last several years, and I'm hopelessly spoiled by the fills in both the ES and NQ. Recently however, I've started working with some equity systems to complement my index trading. While these look very good on paper, I *know* the realities will be much different. Can anyone give me some real-life expectations for a short trade of say 3000 to 6000 shares? This would be a high volume issue, and preferably NYSE, but also NASDAQ. Since I'm already trading the indicies, SPY, QQQ, DIA, and other ETFs are not what I'm looking at. In the first situation, if the trader is retail, then the short entry would be a short sale on an uptick (either on a sale for NYSE or on the bid for NAZ). I know that I could place a limit at the bid or a penny lower to try to get filled. On a typical high volume listed stock, how long would this take to do say 5000 shares? Should I expect to chase the bid down with my limit order by a few pennies, or by tens of pennies? Also, if I were to consider becoming a professional trader, then could anyone give me an idea of how that trade might look (slippage and fill time) if I purchased a bullet? Thanks in advance for any feedback and information. I realize that things can look great on paper, but the reality of success or failure will lie in these details.