A client wants to buy 500,000 shares of a stock that trades 1mm shares a day. How do you think about executing it?

How to answer

That's ~50% of ADV, so a single market order would blow through the book, creating large market impact and signaling risk. I'd work it over time with a schedule-based algo (VWAP/TWAP) or a liquidity-seeking algo to blend into normal flow, and source block liquidity via dark pools or by crossing with a natural seller to minimize footprint. The core trade-off is market impact vs. timing risk: too fast moves the price against you; too slow exposes you to adverse drift. I'd size participation to ADV and adapt to real-time conditions.

Key idea: Saying 'just send a market order,' or ignoring the impact-vs-timing-risk trade-off, signaling risk, and dark pools/blocks as a way to source size quietly.