Curious to see some thoughts on this. Lets say I am trading US stocks that have average daily trading volume of 2mm shares, price of stocks around $15. I execute my trades using IB's algo orders and setting participation limits at 1% of volume. Meaning that if 1mm shares get traded I should have 10k shares filled over the course of the day. What type of slippage should I expect at 1% of volume traded? I am hoping that slippage in this scenario would be 20bps or less. However, my experience is that even at 5% of volume, orders are noticably distortive to stock prices.