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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
    Commented Jan 13, 2013 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?
    – Ellie K
    Commented Jan 13, 2013 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.
    – JTP - Apologise to Monica ♦
    Commented Jan 13, 2013 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
    Commented Jan 14, 2013 at 4:07
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    @victor wow, I've never heard of this before, thank you for the explanation.
    – JTP - Apologise to Monica ♦
    Commented Jan 14, 2013 at 4:51

4 Answers 4

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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
    Commented Jan 14, 2013 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
    Commented Jan 15, 2013 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
    Commented Apr 19, 2013 at 2:39
  • @HagayDay-Trading there are considerations for large numbers of shares, but "large" would be much larger than your example states
    – CQM
    Commented Apr 19, 2013 at 11:37
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You need to negotiate with your broker to allow you to do more exotic order types. One in particular I recommend is a "hidden" aka iceberg order. You enter two numbers. The first is the number of shares for your entire order, the second is the amount that will be displayed in the book (this is the tip of the iceberg, the remaining shares are hidden below the surface).

The maker/taker rule applies as follows: The amount displayed will receive the rebate for providing liquidity. The amount hidden will be charged the fee for taking liquidity.

Example: You want to sell 10,000 shares total. You enter a hidden order for 10,000 shares with 1,000 displayed. On the level 2 screen traders will see 1,000 shares, and those shares will stay displayed there until the entire order is filled. You receive a rebate for 1,000 shares, you pay the brokerage fee for 9,000 shares.

Also, like one of the previous posters mentioned, only trade high liquidity stocks. Large market cap companies with high volume. This is why day traders love Tesla, Amazon, Netflix, etc. Large market cap, high volume, and high volatility. Easy to catch $10+ moves in price.

Hope this helps Happy trading

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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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In case of Derivatives i.e. Futures & Options Contracts, large positions can be taken in terms of multiple lots per trade over a desired price band. In such case, it is advisable to place stop loss individually for each trade and monitor if the aggregate loss falls within your tolerable limit or R. You also need to check out if your stock exchange has any value restriction per trade.

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