What % of daily volume of a stock will move the price?

I

Iggy_Type_R

Hi

I've been reading a few books on historical instances of people cornering the market... So got me curious... What kind of trade size as a % of daily volume would move the stock price in the direction of the trade... I read somewhere that it's 5% of daily volume but that was someone's opinion! :-)

Thank you in advance
 
Thank you, yes Float is more accurate of what I am after... so I can make the question more pointed: what % of the float will move the price? :)
 
Quote from Iggy_Type_R:

Thank you, yes Float is more accurate of what I am after... so I can make the question more pointed: what % of the float will move the price? :)
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Can you trade that size or is it just curiosity? It depends on a lot of factors like time of day, supply and demand zone, PA, how the order is worked, whether your intention is stealth or impact, etc.

In a blue chip you can bang in 10% in one go and it won't burp if you do it right. Do it wrong and 1% will get a big reaction measured in milliseconds.
 
Quote from Xspurt:

Can you trade that size or is it just curiosity? It depends on a lot of factors like time of day, supply and demand zone, PA, how the order is worked, whether your intention is stealth or impact, etc.

In a blue chip you can bang in 10% in one go and it won't burp if you do it right. Do it wrong and 1% will get a big reaction measured in milliseconds.
More...

If I tell you that yes I can trade that size you probably won't believe me :D

It's more to do with an error in my system backtest. On a few rare occasions it goes and trades a massive lot on one stock... like 40% of the daily volume of an S&P500 constituent. So a "blue chip" style stock... say 700,000 on a 90 days avg volume of 1.5m

So reality is that I need to solve this problem... capping the limit of the lot I guess is one way ... ie hard coding it. But I am not sure to what limit to set it :)
 
Quote from Iggy_Type_R:

If I tell you that yes I can trade that size you probably won't believe me :D

It's more to do with an error in my system backtest. On a few rare occasions it goes and trades a massive lot on one stock... like 40% of the daily volume of an S&P500 constituent. So a "blue chip" style stock... say 700,000 on a 90 days avg volume of 1.5m

So reality is that I need to solve this problem... capping the limit of the lot I guess is one way ... ie hard coding it. But I am not sure to what limit to set it :)
More...

Try looking back at least 180 days and taking 10% of the lowest daily volume as your max. That should give you good fills and keep you out of trouble.
 
Quote from Xspurt:

Try looking back at least 180 days and taking 10% of the lowest daily volume as your max. That should give you good fills and keep you out of trouble.
More...

Thank you for taking the time to reply! I was thinking it's somewhere between 5 and 10 %

To answer ur question without innuendoes, I personally cannot reach those limits... But people I work for can.. So this is a legitimate issue. Thanks again
 
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