Chapter 5 · §4.2

Realistic execution, not click-simulation

Removing the fake edge of instant perfect fills

The simulator should deliberately avoid rewarding scalping or unrealistic market-order behavior.

Marketable orders should be modeled as averaged execution over the next five minutes, with slippage and fees. Limit orders should be modeled conservatively and only filled when the market actually trades through them under defined fill rules.

This design does two things at once. It makes the competition look more like medium-sized prop trading in equities, and it removes the fake edge of "instant perfect fills" that often dominates paper contests.

CLICK-SIMULATION paper-contest model order placed → filled INSTANTLY at the exact tick price price time → Fake edge. The fill matches the click instantly. No slippage. No queue. No spread. Dominates 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 → Prop-like. 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.
Same order, same chart, two execution models. The fake edge of an instant tick fill is removed.
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