After successfully trading e-mini's for years, I want to do more equity trading. I have targeted a specific day trading strategy involving entering the trades shortly after the market opens, and exit the positions in the final hour. If these were large cap stocks, I would just buy the ask and sell the bid. However, I will specifically be targeting Nasdaq stocks in the Russell 2000 index, so many of these could suffer from a lack of liquidity, especially during the afternoon. That lack of liquidity could mean the spread is larger than I want to pay, anywhere from a few cents to perhaps several percent in some cases at some times of the day. Compounding the problem is the fact I want to eventually scale up to trade a lot of shares, maybe sometimes as much as 10,000 shares if the stock has a low price, and there are enough shares available for purchase without moving the price too much. The entry has to be fairly quick, although the exits could be gradual, to slowly get rid of the 10,000 shares. I plan to route the trades to ARCA. So in this situation, rather than buy the ask and sell the bid, I have these other options: 1. Put in a limit order. The problem with this might be I will only get perhaps half my trades, and it might be skewed to the trades I didn't want to make (i.e. I end up with the losers, and avoid the winners). Or I end up chasing the price with higher limit orders. A strict limit order is also a problem for my exits because I might end up holding shares overnight, and I did not want to do that. 2. A order pegged to the highest bid to buy and lowest offer to sell. I have never used pegged orders before, and have no experience with the results, so tell me your experience with them in such a scenario (i.e. trading Nasdaq Russell 2000 stocks). Do you think this is better than a straight limit order? Do I have a better chance of getting filed on the entry to most of my trades? Will I just end up chasing the price higher? Am I better off just buying at the ask and eating the spread? Will I have a lower cost in general to enter my trades? 3. Combine a pegged order with a reserve order. In this situation, I buy somewhere between 1000 to 10,000 shares, but only 100 shares at a time. It would seem to me this might be my best option, because this way my large order will not overwhelm a thinly traded stock. And I can "average" my way into the stock at the bid price on all the downticks, over a period of 10 minutes for entries, and a period of up to one hour for exits. 4. Use a pegged order that is pegged to the mid-point between the bid and the ask. I would think this would improve the odds of getting more of my trades, but I would be paying some of the spread for this. 5. Another option is to enter an order to buy at the open and sell at the close. This would result in my buying at the official Nasdaq opening cross for the entry and the closing cross for the exit. Once again, I have no experience with this type of trade. I know my order would not move the market for large caps, but for Russell 2000 stocks an order for a few thousand shares at the opening or close would move the market away from my favor (I would think). Am I wrong in this assessment? I realize there would be no slippage from the official price, but it would have been my order that moved the official price to that new level. That counterparty volume on the other side has to come from somewhere? Another option would be to use limit orders with the opening/closing cross, thus limiting the amount my order could potentially move the market. 6. Another option is something called SLICER that is offered by realtick. This basically breaks a large order into small pieces and submits the order one small piece at a time, at regularly scheduled intervals. The slicer can be used with market, limit or pegged orders I believe. I have no experience with Realtick SLICER but would like to hear what others might have done with it. So those are my options as I see them. Please comment on your personal experience with any of the options I have listed above, in terms of trading significant volume for small and mid-cap Nasdaq stocks. Personally, I am leaning towards option #2 - pegging my orders to buy at the bid and sell at the ask. Yes, I will miss some trades, but as long as I got at least half of them, I think I would be satisfied.