A million dollars worth of stock is basically a mouse passing wind in a hurricane for anything in the S&P500. On less liquid names you might have legitimate wo

A million dollars worth of stock is basically a mouse passing wind in a hurricane for anything in the S&P500. On less liquid names you might have legitimate worries of big market impact, but usually what you get is the bigger the volume you trade the less you pay for actual execution. That is, I expect to pay lower fees per share the bigger my volume is, not more. A retail(ish) broker will charge you $0.01 per share plus some fixed transaction fee. An IB with access to dark pools and clever algos will charge you $0.0005 per share and pass on any rebates you get from exchanges if you provide liquidity (as many big orders will), but they will expect you to trade a hundred million $ per day and up.