Chapter 5 · §4

Order handling and simulated execution

Realistic fills, not instant click-to-fill behavior

The competition is designed to reflect realistic execution rather than instant click-to-fill behavior.

Marketable orders are generally simulated as averaged execution over the next five minutes, rather than as immediate perfect fills. Limit orders are handled according to defined fill rules and are only filled when the simulated market actually reaches or trades through the order price under those rules.

Trading activity that depends excessively on ultra-short-term execution behavior may be penalized or excluded from consideration.

CLICK-SIMULATION paper-contest model order placed → filled INSTANTLY at the exact tick price price time → Not the model. The fill matches the click instantly. No slippage. No queue. No spread. Common in paper contests, doesn't exist in real markets. REALISTIC EXECUTION this competition order placed → averaged over 5 min fill = mean of next-5-min prices price time → The model. Marketable orders fill at the average of the next 5 minutes — plus slippage and fees. Limit orders only fill when the market trades through them.