Hello,
I have to choose whether to use lots of small orders or fewer larger orders in my strategy. For diversification, I would prefer many smaller orders. Is there a routing and execution difference based on order size? I've heard interbank parties does not like small orders, so brokers has to multiplex small orders before sending them to the order matching computers of the banks. If this is true, then some delay is expected for smaller orders. What is the reality?

Thanks,
Zsolt