Buying shares in size

D

DevBru

How would you define how much you can buy or sell aggressively without impacting the market to much?

X% of average 5 minute volume or hourly volume?

Lets say you want to build a position in 10-15 minutes, not much longer. For example 200K in AAL or JPM.

I am only going to trade stocks with high premarket volume, so most of these stocks also trade a lot of volume during the day after such an active premarket.

Could also be interesting to know how to make such calculations when i get very solid entries in stocks with less volume.
 
Could use volume of current bar as a reference. For instance Amibroker default setting in backtester for volume is to assume no more then 10% of volume for max position size.

I have seen somewhere looking up something, an algorithm service by Haime Bodek for processing large orders. Probably many similar. Think IB offers order algorithms.
 
Take a lot of liquidity when there is a large bid/offer, often at levels x.00, x.25... However if you want even more size than available there you want to lool at algorithms.

Ibkr has some, i think there even is a guaranteed vwap order, with up to 10% of avg daily volume...
 
Thanks guys, going to take a better look at those algorithms.

I really like IB's execution options, to bad the charting isn't so good as well.
 
DevBru said:
How would you define how much you can buy or sell aggressively without impacting the market to much?

X% of average 5 minute volume or hourly volume?

Lets say you want to build a position in 10-15 minutes, not much longer. For example 200K in AAL or JPM.

I am only going to trade stocks with high premarket volume, so most of these stocks also trade a lot of volume during the day after such an active premarket.

Could also be interesting to know how to make such calculations when i get very solid entries in stocks with less volume.
More...
With average daily volume of ~2,400 shares, even an order of a few hundred shares will move the market on this stock:
upload_2020-6-6_20-26-51.png
 
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