I trade through IB and the majority of my positions are opened/closed same day using LOO/MOC orders. I typically trade in relatively liquid stocks, and my trades usually represent anywhere from 0.01 - 0.05% of the daily volume. I've been doing this for a while with moderate success but I can never quite pin down the proportion of my expected return that is being eroded through price impact. I estimate I'm losing around 0.1% of daily return on an average round-trip transaction, but I don't have much confidence in the accuracy of that figure. IB allows you to observe some basic details of the opening auction for all US equities (e.g. reference price, volume) and for NYSE-listed specifically you can see the extent of the imbalance. Basic calculations using a) this observed imbalance volume and b) the departure from reference price suggest that the square root law holds approximately at auction for stocks with daily dollar volume of less than USD 15 million or so but above that it seems to depart quite rapidly from that estimate. In fact, the impact seems to be much less than what the square root law would dictate for stocks > $15m daily dollar volume. A few questions: Does anyone have a more reliable estimate of impact at auction, either theoretically or through experience? Does anyone know why impact would depart significantly from the square root law from stocks with > $15m daily dollar volume? Would the fact that both my LOO and MOC orders are usually placed the night before have any significant (ideally, mitigating) effect on the price impact my trades incur?