How to use Execution Simulator
Model realistic order fills — square-root market impact, linear temporary impact, latency jitter, partial fills, and queue position. The page reports the actual fill price and slippage you would have paid versus a naive backtest assumption.
What It Does
Use the calculator with intent
Model realistic order fills — square-root market impact, linear temporary impact, latency jitter, partial fills, and queue position. The page reports the actual fill price and slippage you would have paid versus a naive backtest assumption.
Backtesters whose strategies look great until they hit live markets and slippage eats the edge — and need to bake that slippage into the backtest assumptions.
Interpreting Results
The realistic-fill price is the headline. Compare against the naive backtest fill. Persistent gap of more than a basis point means slippage will eat the strategy's edge — either downsize, slow down, or rethink the entry/exit.
Input Steps
Field by field
- 1
Upload data
Upload a sample order log (timestamp, side, size, price target).
- 2
Pick option
Pick the execution venue from the dropdown — different venues have different priority rules and message protocols.
- 3
Set parameters
Set queue-position assumptions (default: pessimistic — your order arrives behind 50% of book volume at the price level).
- 4
Run calculation
Run the simulation. Read realized fills vs. target prices, slippage in basis points, and partial-fill rates.
- 5
Increase
Increase order size to find the 'capacity ceiling' where slippage exceeds expected alpha. This is your strategy's practical capacity limit.
Common Scenarios
Use realistic starting points
Small order in liquid name
Order size
0.1% ADV
Symbol type
Large-cap equity
Naive vs realistic fill differs by <1bp. Slippage is a rounding error; backtest is honest.
Large order in mid-liquid name
Order size
5% ADV
Symbol type
Mid-cap equity
Realistic fill 10–30bp worse than naive. Slippage dominates the strategy's edge; need to split the order or trade slower.
Try These Tools
Run the numbers next
Order Book Replay Visualizer
Drop a Level-2 CSV and watch the book reconstruct tick by tick. Animated depth bars, best bid/ask, spread over time. Understand microstructure before.
Broker API Comparator
Alpaca vs IBKR vs Tradier vs Schwab vs Robinhood — compare auth, rate limits, order types, market data, MCP, and fees before wiring a line of code.
Statistical Arbitrage Capacity Calculator
Maximum strategy AUM from signal half-life, daily volume, slippage, fees, and target Sharpe. Square-root impact closed-form.
FAQ
Questions people ask next
The short answers readers usually want after the first pass.
Related Content
Keep the topic connected
Slippage
Slippage as the gap between expected and executed price: the components (spread, market impact, latency), and how to model each in a backtest.
Bid-Ask Spread
Bid-ask spread defined: quoted vs effective vs realized spread, why the touch isn't the cost you actually pay, and how to measure each.
Order Book Imbalance
Order book imbalance: definition, the depth-weighting choice that changes everything, and why it predicts short-horizon price moves more than fundamentals.
Maker-Taker
Maker-taker fee model: makers get a rebate, takers pay. Why the model exists, what it incentivizes, and how to size up real net cost.
Latency Arbitrage
Latency arbitrage: cross-venue price discrepancies exploited by being faster than the slowest replicator. Why the game is mostly won at the cable layer.