Futures · Building a futures strategy · lesson 4 of 9 · 6 min read · David Alexander
Fills on the grid: testing execution honestly
grid-honest fills
Simulated executions that obey the tick grid and the queue: no mid-price fills, no limit fills without traded-through evidence, market orders and stops charged at least the staircase's minimum step in the session actually traded. The seed's realistic fills at the tick - the second place the contract's mechanics either enter the test or falsify it.
This lesson is part of the advanced modules.
Modules 6 to 8 are included with a paid account. The definitional summary above is the whole of this page until then.