I trade smaller stocks and the biggest elephant in the room for my system is at what point does slippage start to make my system invalid or become so significant it eats up my profits. I assume the logical way to think about this would be to think of it as a percentage of total daily volume. I also only do "at open" and at "close orders" so am trading at the highest volume times of the day. So...considering the following example....Stock XYZ is trading at $5 and trades 1,000,000 shares a day. Very roughly, how many shares traded at open or close starts to cause significant issues?