Max amount of daily volume one can trade without disrupting

C

cunparis

I'm interested in a few thinly traded stocks, let's say 100k/day. What is the most number of shares I can buy/sell without disrupting the prices?

For example if the stock is $3 and I want to buy $100k worth then my activity would be 1/3 or 1/4 of the daily volume and I'd end up driving up the price on myself.

I'm curious if anyone has any guidelines here..
 
well no magic guidelines here, i have not much experience in stocks...if you plan on doing those numbers why not add a certain volume requirement to your scanning list?

i guess it can save a lot of headaches, but it also depends on what sort of edge you have.

my best guess is you gotta try to uppen the size until you notice sloppy fills & generate then statistics for different time periods, so you know when you play big or better not.

hope this helps a bit,

good trades!

cosmic
 
Quote from cunparis:

I'm interested in a few thinly traded stocks, let's say 100k/day. What is the most number of shares I can buy/sell without disrupting the prices?

For example if the stock is $3 and I want to buy $100k worth then my activity would be 1/3 or 1/4 of the daily volume and I'd end up driving up the price on myself.

I'm curious if anyone has any guidelines here..
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There is no useful general answer to this question. A few months back, I had a killer edge exploiting this program and for about a month I was doing 20-25% of the stock's volume (about 150k out of 750k shares) personally. "Market making" if you will. Other stocks won't allow anywhere near that volume to be traded without you throwing money away. Answer: depends on the stock and the algos and participants in it, and your skill level and risk tolerance.
 
Also keep in mind that if there seems to be enough liquidity when you're just leisurely getting in, that does't mean there will be enough liquidity when you need to "get the fuck out now".
 
Quote from NY0BScalper:

There is no useful general answer to this question. A few months back, I had a killer edge exploiting this program and for about a month I was doing 20-25% of the stock's volume (about 150k out of 750k shares) personally. "Market making" if you will. Other stocks won't allow anywhere near that volume to be traded without you throwing money away. Answer: depends on the stock and the algos and participants in it, and your skill level and risk tolerance.
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Thanks for sharing your experience. Playing 20-25% of the stock's volume is quite a lot. I wouldn't have thought it to be possible. You must have been really influencing the price.

I'm afraid if I do a large buy order, I'll run the price up and then when I go to sell I'll run the price down and end up with 0 profit.

Could I put in a limit order and let it slowly fill? Most stocks quickly move up or down and then pull back before going on to the real trend. Could I get filled some at the open and then some on the pullback? I don't know how limit orders work, usually I get filled right away but I haven't been trading thin stocks like that. A limit might be the best idea. I'll take whatever I can get.
 
Quote from Klamath:

Also keep in mind that if there seems to be enough liquidity when you're just leisurely getting in, that does't mean there will be enough liquidity when you need to "get the fuck out now".
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Excellent point!
 
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