There are different ways of determining the number of shares that should be presented but a generic method would be:

  1. Determine the historical number of shares that trade during a time period (average of data points for 5, 15, 30, 60 minutes)
  2. Derive the percentage of the days volume for the time period
  3. Apply the percentage of the days volume against the order volume
  4. Submit for execution the percentage of the days volume against the order

Generically, supply-and-demand assumptions are adequate.

The greater the quantity, the greater the cost.