Why Backtest and Simulated Order Prices Can Differ
Summary
This short forum exchange explains that backtest prices and simulated-trading fills can differ because the two systems may use different execution models. A backtest may value an order at the price associated with a configured time point, while a simulated broker may account for available volume and whether the order could actually be filled. The reply also distinguishes the research strategy and research trade interfaces.
The example describes a buy order larger than the displayed sell quantity at the referenced price; the simulation may therefore pay more to complete the order. This illustrates how liquidity and order size can affect execution prices. The exchange is a brief troubleshooting discussion, not a systematic comparison of execution models, and it offers no broader measurements or implementation guidance.
Key ideas
- Backtest and simulated trading systems can use different fill logic.
- A time-point price in a backtest may not reflect available market volume.
- An order larger than displayed liquidity may receive a worse simulated fill price.
- The exchange illustrates execution differences but does not quantify them across cases.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.