For daytrading stocks with an average daily volume > 1 million, can a formula be formulated for the "right positionsize" if the following data is known: AvgDailyVolume for the past 10 days (example: 5 million) YesterdaysClosePrice (example: 25.00) YesterdaysVolume (eample: 5,250,000) Curent Time of day (example: 11:00 AM market time) CurrentPrice (example: 24.90) CurrentVolume (example: 1,200,000) The goal is to find the optimum, ie. the max, Positionsize which under normal conditions (without any surprizes like news etc) and normal market times (ie. after 10:00 AM) will give an easy fill? That is: max. how much shares of such a stock are easily tradeable: a) with just one limit order? b) with just one market order? How much Slippage to expect?
Don't think there's enough info to do more than a complete SWAG - if you're looking for something analytic, you'd probably need something along the lines of an average volume bid and offered within X cents of the current price probably over several days. Then you'd have a more or less analytically derived estimate of the # of shares you could fill if you're willing to take a fill (sweep) within that X cents of the current price.