Market orders on thin names are a donation!

I knew this in theory and ignored it in practice because I didn't want to miss the move. Ran the numbers on a month of my fills: on my liquid names the cost was noise. On the small ones it ate a meaningful chunk of the average winner, enough that a strategy I thought was working was actually roughly flat after execution. Now anything below a liquidity threshold either gets a limit or gets skipped. Missing a move costs nothing. Paying for it every single time costs everything!