What should be the strategy for selling sizeable amount of shares at market price so that the best returns are obtained ?
If you are trading big sizes on liquid stocks, your order will typically not move the stock up or down. But it depends on what is your trading size. The impact on illiquid stocks can be quite high if you are placing market orders (even if they are not that big).
Instead of market orders, it is best to to buy by placing a limit order with higher price and selling with a lesser selling price. This ensures that your market orders doesn’t move the stock price up or down beyond the limit price.