When you evaluate a non-discretionary trading system, performance data such as profit to loss ratio, average profit per trade, % of trades profitable etc. can be calculated with a math formula. But, these performance points are worthless if you cant determine maximum contract/share size before slippage cuts into profitability. For trading systems with results from a variety of securities, this isn't practical. With data from trading a single security, is it possible to use volume or market depth at the time of trade to create a scalability metric that provides size traded/average expected slippage? for example: up to 2k shares = X< slippage, each additional 1k add X slippage.