Best broker with clean historical data needed for large fills.
- Thread starter Dominic
- Start date
Those are very big trades that will face significant slippage regardless of broker.
The data I've seen (from 2004) suggests that a 5k to 10k share market order for a large cap stock sees about 7 cents (0.2%) effective spread on the NASDAQ and a 10.9 cent (0.3%) effective spread on the NYSE. I've not seen any data on larger orders, but it looks like there at least a 1.7 cent increase in the spread for each doubling of the order size. I'll be surprised if you see less than 15 cents of spread on a roundtrip for a trade of that size. Even marketable limit orders see increasing spread (and decreasing % of shares executed) for large order sizes. Spreads on mid-caps are more than twice as large due to a combination of price, float, and volume effects.
You'll also see execution issues that may effect timing and the ability to capture fast movement. The average 5k to 10k share order in large caps takes about 30 seconds for a market order, and one to two minutes on a marketable limit order. I would imagine that a 100k share order would take proportionally longer (i.e. several minutes).
You might consider breaking up your orders (especially on mid-cap stocks) and possibly even using multiple brokers to reduce slippage.
Good luck!
The data I've seen (from 2004) suggests that a 5k to 10k share market order for a large cap stock sees about 7 cents (0.2%) effective spread on the NASDAQ and a 10.9 cent (0.3%) effective spread on the NYSE. I've not seen any data on larger orders, but it looks like there at least a 1.7 cent increase in the spread for each doubling of the order size. I'll be surprised if you see less than 15 cents of spread on a roundtrip for a trade of that size. Even marketable limit orders see increasing spread (and decreasing % of shares executed) for large order sizes. Spreads on mid-caps are more than twice as large due to a combination of price, float, and volume effects.
You'll also see execution issues that may effect timing and the ability to capture fast movement. The average 5k to 10k share order in large caps takes about 30 seconds for a market order, and one to two minutes on a marketable limit order. I would imagine that a 100k share order would take proportionally longer (i.e. several minutes).
You might consider breaking up your orders (especially on mid-cap stocks) and possibly even using multiple brokers to reduce slippage.
Good luck!
Sure. Its http://www.sec.gov/spotlight/regnms/companalysis121504.pdf
The document is a bit dense at times, but has some really interesting data on spreads, price impact, execution times, etc. for a range of order sizes for large cap, mid cap, and small cap issues on both the NYSE & NASDAQ.
I don't know what good the average spread in cents is. Big difference between AMAT and AMGN. Those numbers seem high even for MSFT - an "average-priced" stock.
If you really want to swing that kind of size, and are not into learning how to execute yourself, I'd separate the issues of data and broker, and worry about getting a broker to work your trades for you, getting your data from a (likely other) professional source. Someone who's good at execution, who has access to dark liquidity (i.e. their own order book, block-crossing systems, etc.), can probably do a decent job for you (or on you
).
If you really want to swing that kind of size, and are not into learning how to execute yourself, I'd separate the issues of data and broker, and worry about getting a broker to work your trades for you, getting your data from a (likely other) professional source. Someone who's good at execution, who has access to dark liquidity (i.e. their own order book, block-crossing systems, etc.), can probably do a decent job for you (or on you
).