If someone would trades +500 contracts of ES, would that cause slippage on a market order? How would you enter/exit with +500 contracts?
Sometimes yes, and sometimes not. All depends on time of day, volatility in the market, type of setup, etc. Slippage would be at most .50. You can always use a limit order 1 tick outside the bid/ask. In any event, watch the "tape." You see 100,200,500 size executions everyday. Consider that the ES trades ~ 2million contracts a day. That's ~5000 contracts a minute average. More in the mornings and afternoon. There's other tricks you can play. But see how you do trading 50 first and as you increase size, you'll get a feel for when and when you won't be able to do that size using a mrkt or limit order.
Good post from Derek. I asked a similar question to a few brokers in regards to the max amount you could throw at the market w/o seeing more than 1 tick slippage and I was told by a few brokers that you could do up to 1000. I've not had the opportunity to yet trade 1000 at one moment, so take it for what it's worth.