Has anyone worked on a strategy that uses slippage to your advantage? For example, I could see a scenario where different sized buy/sell orders could create different levels of slippage in more moderately traded assets. For example:
Buy x 100 @ $10.00
...
Buy x 100 @ $10.00
Buy x 1,000 @ $10.25
Sell x 100 @ 10.25
Sell x 100 @ 10.25
...
Sell x 100 @ 10.25
How would you approach a strategy like this? Looking at order book for slippage opportunities?