Why an API Test Simulator Cannot Measure Trading Slippage

Summary

A trader asks why orders in a stock-trading simulator appear to fill at exactly the submitted price, even when the order price is adjusted by several ticks. The trader is concerned that this behavior makes it difficult to judge whether a strategy’s results account for slippage, and asks whether the simulator is configured incorrectly.

A reply distinguishes an API test environment from a market execution simulator: the former is intended to check whether the API program works, while the latter would model simulated execution. The reply says that the broker in question does not provide such an execution-simulation environment. The exchange is brief and gives no technical details about fill logic, slippage modeling, or alternative methods, so it clarifies the environment’s stated purpose without demonstrating how to estimate realistic trading costs.

Key ideas

• The trader observes that simulated orders fill at their submitted prices, even when prices are adjusted by several ticks.
• The reply describes the simulator as a tool for checking API operation rather than modeling realistic execution.
• The reply says the broker does not offer the requested simulated execution environment.
• The discussion gives no method for estimating slippage or validating execution assumptions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.