I know the title of this thread is insanely stupid... I'm not looking for a straight answer, just some general feedback from those with years of experience in the pits. I'm trading an automated strategy, and use fixed entry/exit points. I'm not using stop orders, since I prefer to not expose the presence of these prices. So, I monitor (in NT) prices and either go long/flat as prices slips below or above these price points. I'm trying to decide at what sized lots, will I start to suffer from *significant* slippage (compared to where I am now). I take liquidity, and am trading mostly NYSE (some NASDAQ) stocks with moderate -> high liquidity. Right now I'm slipping a few cents below my entry/exit points, with 1500 share trades. (Retail level stuff.) If I bump up this to 5k, 10k... is there a point where slippage becomes noticeably worse?