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Maximum size of market orders before experiencing major slippage in SPY?

I wonder if anyone else has input on this. Assuming I'm using market orders, how large can they get before I experience more than the usual slippage? E.g. SPY traded approximately 15 billion USD today, how large percentage of that is reasonable for an intraday algo to issue a market order for at any given moment without moving market against us much more than usual?

Maybe it's best to test this case in IB's simulation by measuring slippage in their simulation versus my expected slippage? I have my doubts about the utility of this though as the market maker will not attempt to fill my order, nor would other market participants react.

Or should I simply not worry about this until the point where it actually starts to show off in the algorithm's equity curve? (At which presumably it would be wise to invest in an optimized execution platform.)

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I understand that if you are roughly less than 2% of daily volume you won't impact the price much. Potentially though if you dump the 2% in a single trade you'll probably still impact things. 

Its always good to break up your trades though, even just for separation of concerns. A good execution engine can be a source of alpha just as much as the right signals.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thank you Jared, 2% is more than I thought and I should be safe for a few years in that case if I stick to SPY. Also considering stocks of individual large companies but I probably need to be more careful there.

Yeah, I've been starting to put order execution logic into its own classes but I'm still finding my way around doing this the best way. There's a lot of stuff that's working differently live than in the backtest when latency (and what I presume is IB's particular broker behavior) comes into the equation. I really think less liberal fill models would be a boon to QC for a start.

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Thanks Petter, we always strive to make backtesting and live trading line up as much as possible. 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Well, it's better than anything else I could find already :)

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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