What % of daily volume of a stock will move the price?

Discussion in 'Trading' started by Iggy_Type_R, Jun 16, 2011.

  1. Hi

    I've been reading a few books on historical instances of people cornering the market... So got me curious... What kind of trade size as a % of daily volume would move the stock price in the direction of the trade... I read somewhere that it's 5% of daily volume but that was someone's opinion! :)

    Thank you in advance
  2. Research: Float.
  3. Thank you, yes Float is more accurate of what I am after... so I can make the question more pointed: what % of the float will move the price? :)
  4. Can you trade that size or is it just curiosity? It depends on a lot of factors like time of day, supply and demand zone, PA, how the order is worked, whether your intention is stealth or impact, etc.

    In a blue chip you can bang in 10% in one go and it won't burp if you do it right. Do it wrong and 1% will get a big reaction measured in milliseconds.
  5. Is it better to know at what time?
  6. that on its own can get you into trouble
  7. If I tell you that yes I can trade that size you probably won't believe me :D

    It's more to do with an error in my system backtest. On a few rare occasions it goes and trades a massive lot on one stock... like 40% of the daily volume of an S&P500 constituent. So a "blue chip" style stock... say 700,000 on a 90 days avg volume of 1.5m

    So reality is that I need to solve this problem... capping the limit of the lot I guess is one way ... ie hard coding it. But I am not sure to what limit to set it :)
  8. I have no reason not to believe you - I simply don't want to wast my time. Let me get back to you
  9. Try looking back at least 180 days and taking 10% of the lowest daily volume as your max. That should give you good fills and keep you out of trouble.
  10. Thank you for taking the time to reply! I was thinking it's somewhere between 5 and 10 %

    To answer ur question without innuendoes, I personally cannot reach those limits... But people I work for can.. So this is a legitimate issue. Thanks again
    #10     Jun 16, 2011