Like has been suggested above, slippage is a term often used to describe the expected price versus the one you get. It would probably be more accurate to describe the situation I outlined as "synthetic slippage" because the effects are exactly the same. Thus it could easily be described as the synthetic equivalent of slippage.
If you don't know the maximum amount of shares your markets can handle in all different circumstances, if you lack a thorough understanding of the depth of your increased slippage and how that affects risk:reward, and if you don't know how to work your way out of a really bad position without panicking and killing yourself... you shouldn't be even thinking about the max size you can take, just learning to trade and make money consistently.
Trade the big sp, $250 x index, still plenty liquid. And most es trades of 100 or more are offset in the big sp at some point I am sure.
Although I prefer trading the big S&P to the minis, putting on anything larger than 50 contracts in one order will cost you. The grains give you the best bang in my opinion. You can put on 200,000 bushels of corn(40 contracts) without moving the market, same with oats and wheat. You could put on 100-250 contracts of beans and pay 1/4 cent to do it. You can buy or sell a grain spread of 3 million bushels without doing significant damage to the spread. There's a lot of liquidity in the grains, however they're not considered to be sexy by the crowd that is interested in form over substance. Still, money is money. If a lot of newbies around this forum that want to trade futures would find good trending grain spreads, or something like oats(that trend well), they wouldn't be blowing out as quickly. Jeff
The big SP is fungible with the ES, so without an arb profit there is no reason to offset from ES to SP. On 08/15 the volume in ESU8 was 1,473,919 and SPU8 was 26,936. If nonarb offsetting is being done it is SP traders offsetting in the more liquid ES.
What a nice problem to have isn't it. I would say try to day trade more then just one or a couple of stock's first of all. Look for stock's that yield similiar characteristic's to your favorite ones and then work towards successfully looking at these multiple stocks. Another idea i like doing is buying around 20 to 30 stocks around the close and then selling them sometime in the morning although that bites into other strategies but there are good times to use that strategy. One crazy strategy i came up with a long time ago to throw some money at was buying around 1,000 penny stocks of course when i liked the chart and of course not at the same time. The amount of time needed for it isnt worth it though.