I think really I am to blame for entering such a large order while the stock is trading so thinly. Sometimes I gauge the amount I can buy at once via T&S, and other times I do not.

My experience is similar to that of GX with regards to the slippage but those gappers are usually very liquid.

But backtesting is useful for mutual fund trading analysis because slippage is not an issue, and your purchases/sales do not affect the execution price.

@GX you can see all my trades here on the site. Sometimes, even on stocks that trade millions of shares a day, the bid/ask levels can be really thin. You can see examples on the site where I’m filled in 100 share increments across 10 cents on high-volume stocks. There’s really no way to know, due to the L2 games that get played, how deep the ask really is. I do sometimes try to watch the T&S and make sure at least some larger prints are going through.

As for the specialist games, when a stock’s doing a ton of volume you won’t see them. It’s when you happen to catch a lull in the prints that these things start to show up.

I don’t play gappers, usually. I use market orders for almost everything.

And, I don’t want to give the impression that these weird things happen on every trade. It’s rare, but it happens. And, even without pricing anomalies, the overall point is that you can’t participate in the markets without altering their course. That is true in all cases.

In my trading I don’t experience the issues you speak about. I trade between 1-3k shares on the same gappers that most day traders play. I might get 1-2 cent slippage once in a while but nothing like what you describe. I too will play breakouts.

What type of order do you send and when do you send it to get those order fill results?

“I remember very clearly how everyday I would buy cotton, more cotton. And why do you think I bought it? To keep the price from going down! If that isn’t a supersucker play, what is? I simply kept on putting up more and more money to lose eventually.”

Food for thought.