Does anyone out there have thoughts on how difficult it is to trade share-size of about 5000 shares per trade in stocks that trade over 10,000,000 shares per day? Is there any rule of thumb such as one can only trade this size or more in a stock with a certain minimum daily volume? Only at certain times of day?
Learn to anticipate your slippage and define your risk. When everyone is leaning on your orders and front running you and you can't get a fill to get out, it's too much size. If you're asking this question, you probably haven't reached it. Stocks that trade 10 mill + can usually be easy to get in/out of with 5k+ but it really depends how thick the market is. The only way to know is through experience, you have to get burned. To keep it simple though: too much size is if you miss your out and the slippage is so absurd that you give back the profits on the last 3 or 10 trades. Also, too much size is if an exogenous event, like a move of several points against you from a market news program, will deplete your financial or mental capital.
Since when is 5k a large size? It's more like mid size or less isn't it. It depends on the price of the stock. 5k of a $15 stock isn't large but a $100+ maybe it is.