Fills & Spread — execution-quality & calibration
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Measures the real spread at each signal and the real fill slip, then compares to the modeled marketable
fill (cross half the spread). calib offset = real − modeled: a negative offset means real fills
beat the model (price improvement) — the safe direction. This offset is what the no-money forward test applies
to turn a modeled fill into a realistic one. During live trading this is the calibration view; with no money it drives the fills.
Calibration by leg / ticker · slip in bps/side (+ = paid up / bad)
| leg | ticker | samples |
dir |
spread |
real slip |
model slip |
calib offset |
fidelity |
Forward P&L scoreboard · real trades since journal start · calibrated fill applied in no-money mode
| date | scalp cum | A+ cum | total cum |
Anchor 1-share P&L · real fills on NVDA/MU/COIN/SMCI · the fill-INCLUDED scalp (what tape can't show)
| ticker | trades | win% | net (1 share) | $30k-equiv |