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I'm a day-trader that trade stocks which have a minimum Avg. Daily Volume of 1M shares. Until now, and because of my "R" size, I've entered a positions relatively with a small number of shares (No more than 1,000 shares in each trade). After a long period, my "R" is much higher and I'm going to trade relatively a large number of shares (up to 10,000 shares) in each trade.

My question: How do I enter a position with such a large number of shares?

For example: I want to Sell Short a stock when it's price fall below a trigger price of 19.38$. When I trade a small number of shares, let's say 1,000 shares, I put a stop market order (That's my prefered order for entering a position), and I'm in with all the 1,000 shares (sometime with a little slippage) when the stock's price of 19.38$ has been hit. Now, what is the right method to enter the same stock, with the same trigger price, but with 10,000 shares?

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Significantly unclear question - what are you asking? "How do I have to enter a position with such a large number of shares?" seems to be the core question - and the answer would be "type the number", so what are you actually asking for? –  sdg Jan 13 '13 at 13:59
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I am puzzled too. I don't know if you are referring to a limit on a specific exchange. As @sdg implied, I don't see why you couldn't do exactly what you did for 10,000 shares instead of 1,000 shares. It seems as though you are limited based on something you refer to as an "R" size. Without knowing what that is, or what other constraints exist in the specific market, I can't answer this question. Please clarify? –  Feral Oink Jan 13 '13 at 14:12
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I'm a little frightened here. You propose to enter into $200,000 value transactions, but have simple questions about how to enter the order? And no, we don't know what '"R" size' is. –  JoeTaxpayer Jan 13 '13 at 18:27
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@JoeTaxpayer, R is the risk in the trade. Say you have a trading account of $100,000 and you don't want to risk more than 2% on any individual trade, then R = $2,000. If you are looking to buy a stock at $10 and you determine your initial stop loss to be 10% or $9, then you are risking $1 (as long as there is no slippage). As you want to limit your risk for the trade to $2000, then you are able to buy 2000 shares. I think what Hagay is getting at is how can the trade be entered without increasing the slippage on the trade, i.e. getting all the order fill as close to $19.38 as possible. –  Victor Jan 14 '13 at 4:07
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@victor wow, I've never heard of this before, thank you for the explanation. –  JoeTaxpayer Jan 14 '13 at 4:51

2 Answers 2

I think if you are only trading stocks with average volume greater than 1M you should not have any trouble entering a 10,000 size trade. If you are you can try a couple of things:

  1. Change your order from a market order to a limit order, however this may potentially reduce the number of shares that are actually traded on that day, and you may miss out on some or all of your order.

  2. Limit your trading to more liquid stocks, say average daily volumes above 10M or 100M.

Apart from that you might have to just put up with some extra slippage and incorporate it into your trading plan. That is you can reduce your R multiple to allow some slippage.

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Thanks everyone! To make things more clear: 1. R=Risk per trade (Constant sum of money that helps to define the number of shares in each trade = R/Stop). 2. I only trade stocks. 3. I trade NYSE and NASDAQ stocks 3. I've asked the question because I've wondered, if trading a large number of shares per trade require a different approach for entering (That was my fundamental question) , managing and exiting (For example:Building a position OR Entering all shares at once when the trigger price has been hit, Stop Market OR Stop Limit, Ave daily volume of 1M OR Should be more etc.). Thank you all –  Hagay Day-Trading Jan 14 '13 at 17:49
    
@HagayDay-Trading, 10,000 is only 1% of 1,000,000. So I don't think you would have too much slippage if you put your order 'At Market' nor would it be moving the market at all. However, if you are not comfortable after trying it you can limit your trades to stocks with a higher average daily volume of 10M, 100M or higher. As I don't trade the same markets as you, it is something you will have to trial first and then choose the parameters you are comfortable with. –  Victor Jan 15 '13 at 7:26
    
@HagayDay-Trading also, I think it'd help if you scaled up, rather than going straight from 1K to 10K. Do 2K for a while, then 5K, etc. You'll learn what you'll need to do from that experience. I suspect it will be different between different stocks at the 1M level; some may hardly move on a 1% order, others could move alot. –  Patches Apr 19 '13 at 2:39
    
@HagayDay-Trading there are considerations for large numbers of shares, but "large" would be much larger than your example states –  CQM Apr 19 '13 at 11:37

If you really did have a large share size, a market order would move the price more so in your desired direction. Although your cost basis would be less ideal.

Just use limit orders and scale in to a position. You can also exercise puts to be short stock

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