Execution Analytics Using Historical Depth
Use historical order book depth to measure fill quality, slippage, spread costs, partial fills, and executable strategy PnL.
Execution analytics using historical depth answers the question most backtests skip: could the trade actually have happened at that price and size? Historical order books let you walk the bid and ask ladders instead of assuming midpoint fills.
Core Execution Metrics
- Arrival price, realized fill price, and slippage.
- Spread paid at entry and exit.
- Available size at the target price level.
- Partial-fill rate, rejected-fill rate, and time in position.
Depth-Aware Backtesting
A depth-aware simulator should consume historical liquidity level by level. If a strategy wants to buy more than the visible ask size, the fill should walk up the book or remain partial. That makes PnL noisier, but much closer to tradable reality.