AIM:
Thanks for the information. Essentially, there is no such thing as a limit trade within the window - right? One would presume that the more liquid a stock is, the tighter the spread between bid and ask (on average). So, that to the degree that you opt for the smallest of the 4,000 (or so) stocks, the less probability you will match up orders AND the higher the probability you will pay (or sell at) market. If the spread is higher on those types of stocks (on average), then you might conclude that you will be hurt on the spread most (if not nearly all) the time.
I'm a small capper. But, even more so, I'm a microcapper. So, the use of the window appears limited to me.
Len
Warren Buffet: 5 minutes and 17 seconds of pure, unadulterated, bulletproof, flawless logic.
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