10,000 Shares Per Trade

ps0013 · Feb 13, 2018

Anyone consistently trade in 10,000 share blocks of stock? (20,000 round trip)
I would like to scale from 1,000 shares up to eventually 10,000 shares.
Stocks averaging + 1M shares per day.
What are some of the challenges at that level...slippage? ___?____?
Does 10,000 shares change price direction?
Is it better to scale in at 2500 at a time?

Xela · Feb 13, 2018

ps0013 said:
Anyone consistently trade in 10,000 share blocks of stock?

I may have this all wrong, but don't people trading in "constant sizes" normally mean "constant amounts of money", i.e. position-sizes, perhaps reflecting specific percentages of their total account-size or investment-fund, rather than "constant numbers of shares"?

ps0013 said:
Does 10,000 shares change price direction?

It must surely depend hugely on the company's market capitalisation? I appreciate that you're not talking about shares in Berkshire Hathaway, but surely there's often a world of difference between the practicalities of dealing in 1,000 (or 10,000) shares of company-A compared with those of company-B? I don't understand how the question's really answerable, without knowing which one(s) you're dealing with?

DeltaRisk · Feb 13, 2018

Xela said:
I may have this all wrong, but don't people trading in "constant sizes" normally mean "constant amounts of money", i.e. position-sizes, perhaps reflecting specific percentages of their total account-size or investment-fund, rather than "constant numbers of shares"?

It must surely depend hugely on the company's market capitalisation? I appreciate that you're not talking about shares in Berkshire Hathaway, but surely there's often a world of difference between the practicalities of dealing in 1,000 (or 10,000) shares of company-A compared with those of company-B? I don't understand how the question's really answerable, without knowing which one(s) you're dealing with?

Perhaps it is a penny stock.

SPYAlgoTrader · Feb 13, 2018

Interesting topic... was wondering the same, especially would like to compare various brokers for liquid equities

my Algos go in and out of AMZN 1000 shares at a time or 10-20k+ VXX shares and looking at around 700+ trades the slippage is $0.0078 per $50 share price (so around $0.17 average right now with AMZN at $1400 or so)
- LMT Buy/Sells that always fill instantly (+$5 above asking or -$5 below bid)
- seeing everything from horrible 70 cents+ slippage to negative (bonus) slippage... over time it ends up being less than 0.8 cents per $50
- TDA Broker

toc · Feb 13, 2018

SPYAlgoTrader said:
Interesting topic... was wondering the same, especially would like to compare various brokers for liquid equities

my Algos go in and out of AMZN 1000 shares at a time or 10-20k+ VXX shares and looking at around 700+ trades the slippage is $0.0078 per $50 share price (so around $0.17 average right now with AMZN at $1400 or so)

Have not done any algo trading so here is a question.

If you have a 10K share order then would you algo allow you to give a command where this 10K order is broken into 1K sizes of 10 and executed at a limit price.

Lee- · Feb 13, 2018

toc said:
Have not done any algo trading so here is a question.

If you have a 10K share order then would you algo allow you to give a command where this 10K order is broken into 1K sizes of 10 and executed at a limit price.

You may want to look at iceberg orders.

d08 · Feb 13, 2018

Dark pools. Displaying any size is extremely dangerous.

toc · Feb 13, 2018

d08 said:
Dark pools. Displaying any size is extremely dangerous.

Entry to dark pools is for those with multi-million size account even 10s of millions sizes.

ajacobson · Feb 13, 2018

Whatever broker you use they will have a "high touch" unit. Let them decide - depending on the liquidity of the name your trading they will decide how to best execute your trade. Some names can be done on one venue - some on multiple and they may use sweep algos - some will be done on every available liquidity source. Generally doesn't make a difference as to the broker you use - depending on the name -let them decide.
It will also depend on how you allow them to work the order - price discretion or time discretion - or some other parameter. Expect to pay for the added service and try to stay away from the open or close unless you have to be there. NEVER use an MOC.
Everybody has access to the venues they'll need to complete your trade, but don't pretend you know better than them how to get it done. 10,000 SPY can be done pretty instantly - 10,000 IBM probably under a minute if you give them a couple of cents discretion.

Wilt · Feb 13, 2018

I would say that 10K isn't too hard. I think the best way to look at it for stocks is what percent of a minute's volume are you? I'd feel uncomfortable trading 10K for anything averaging less than 20K per minute. If your order is about the same as the per minute volume average, I'd break it up and wait, 5K x2 or 2.5K x4; doesn't really matter. I consider 5K to be around the limit for a fast less than 5 cent slippage execution. I'd say break it up if your order is half of a minute's total volume, but none of this is for quick scalping. You should be convicted about a position with that size. So if you're that big, put your order out in increments and wait for your fill. I don't really believe in "spooking the market." Large orders get posted and filled all the time. If you have the right price, you'll get filled for 60k eventually.

Wilt