Say if my order size is 1% of the average daily volume, would I be able to get my order filled fairly easily (not needing to chase the ask or bid)? If not then what's the minimum threshold? Thanks in advance.
You do mean maximum, right? In general, you can assume that your price impact will be proportional to the square root of the volume participation. Trading size is hard.
Considering 2 parallel universes: 1. In one you take liquidity with a 100 shares lot 2. In another, at the same moment in time, with a 1000 lot. Would then the charts for the rest of the day: 1. Be the same (price will snap back) 2. In the universe 2 the chart will be shifted by the slippage you get on the large lot 3. Or will charts be completely different and not resembling each other?
Liquidity must be treated properly. Many people think that high liquidity is a great thing for taking quick profits. But, in reality high liquidity is the most devastating thing for us, and for huge investors as well. Always get out from the market in these situations. Thanks!