How do you open a large position as a day trader

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DevBru

My size has been increasing quickly recently and now i am wondering if i have to start to look at ways to make sure i get the best price.

I am a day trader and depending on the risk i am willing to take i need to open and close 10000 shares as fast as possible, now since i am trading shares with large volume (for example AAL, BAC, GE, AMD ...) that hasn't been a problem so far but if my size keeps increasing i am wondering what the most efficient way would be to do so.

Is it recommend to buy or sell 10K shares in one go or should i divide it it 2-3K trades? What if my size keeps growing and am looking to open a 50k-100k share trade.

I know iceberg orders are an option but i am wondering if there are any other ways.

How much size do you guys trade and what kinds of slippage are you experiencing?

I have read about dark pools but i assume they are not really an option for day trading. Sometimes i close my position within a few minutes.
 
Robert Morse said:
It will depend on the symbol, liquidity, time of day, and how fast you want to get in? What broker do you use?
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IB.

I would like to get in as fast as possible, depending on the price action a few minutes at most. I am both taking and and providing liquidity, also depending on the price action. If price is retracing most trades will be limit orders, of price keeps going up or down without looking back the time window is much smaller and most trades will be market orders.

Tickers are stocks like AAL, AMD, BAC, GE, F, ... all trades are within the first 90 minutes of the day.

Edit: most of those shares trade a few 100K volume per minute.
 
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Robert Morse said:
These are active symbols that most of the time in the regular trading hours are very liquid. I would not be overly concerned with market impact if I were trading that size.
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That is what i thought.

At what size in a short time would you start to worry or look at alternative ways to enter a position to avoid market impact?
 
Sorry, I do not know where to draw that line as a general rule. I just know that a stock like AAL traded over 52mm shares today. Even if your round trip 100,000 shares that is tiny vs that volume. Same with the other symbols.

DevBru said:
That is what i thought.

At what size in a short time would you start to worry or look at alternative ways to enter a position to avoid market impact?
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The best way is to just trade with a professional trading firm that has access to more dark pools plus obtain direct market access with the ecn's of your choice plus you can customize routes to access more than one pool or ECN at a time. However, I'm surprised you have this issue with 10K shares which is nothing for 99.9% stocks out there...
 
BlacknBlue said:
The best way is to just trade with a professional trading firm that has access to more dark pools plus obtain direct market access with the ecn's of your choice plus you can customize routes to access more than one pool or ECN at a time. However, I'm surprised you have this issue with 10K shares which is nothing for 99.9% stocks out there...
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I am not having any issues, i just want to be prepared in case it ever happens or in case i want to trade a stock that has less volume.

For now i am sticking with IB.

Just wondering, are dark pools suited for short term trading and fast entries? I thought they where more suited for longer term trading.
 
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