Order size and market impact: when a retail trade does move the quote

[Shadow Trader]

It's a common belief that retail trade sizes can't affect the market. For major pairs during busy hours that's true. For other situations it's not.

Brokers often hedge client flow in aggregate, and large orders can trigger a hedge that pushes the quote for everyone on that platform. On thinly traded pairs or in quiet hours, even a few standard lots can nudge the displayed price a fraction of a pip.

Another effect appears within the broker's own pricing. Many dealers adjust quotes based on their inventory. If a lot of clients are buying, the ask price may creep higher to discourage more buying. A single trader's size may not matter, but the cumulative behavior of the broker's client base does.

At small size, none of this matters. As an account grows, signs of impact can appear: slippage becomes less random, fills worsen on entries and improve on exits, and spreads for that account effectively change.

Testing means scaling position size gradually and comparing fill quality at each step. The point where fills degrade marks the practical limit on that pair at that hour.

At what lot size did fills start to change on the pair traded most often?