What % of daily volume in a trade do you start to run into significant slippage?

Shadetree42 · Nov 5, 2017

Some general data on open/close volumes:

http://www.itg.com/marketing/ITG_BlotterBorkovec_GlobalIntradayVolume_20140602.pdf

rvince99 · Dec 30, 2017

yakyakgoose said:
Correct...I dont care about the fair market value of the stock or even what the company is. My system is all statistically based but assumes I get the open and close prices.

So an update, the last couple of days I have had 1.5% slippage at the open only trading about 13k in a trade. Stocks have been about $8 and daily volume around 1 million shares for the day.

Suretrader does not allow "All or nothing" trades so my trades have been going through quickly but in about 15 segments. This morning (Shorting) the first segment was only 1 share and at 6.13, the next was at 6.1 for 100 shares with a gradual climb up to 6.08. it almost seemed like some buy orders were yanked between 6.13 and 6.1 and then resubmitted very quickly to get the lower price based on my large short block sitting there.

Thoughts, or any strategies to reduce this slippage?
More...

Limit Orders.
Always.

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What % of daily volume in a trade do you start to run into significant slippage?

Shadetree42

rvince99