Your model was tested against a market that would not have traded with it. Delta tells you which of those fills were never available — and therefore what the strategy is actually worth before you put size behind it.
Size is assumed available. It frequently was not, and least of all at the moments a strategy most wants it.
A quote can be freshly read and not freshly priced. Backtests cannot tell those apart. The difference is the edge.
Between decision and execution the market moves. The faster the opportunity, the more of it belongs to somebody else.
Because we got this wrong ourselves, with more care than most, and it still took days to find.
We run our own book. It modelled a build window, reverted on adverse moves, used measured settlement times and capped its own venue usage — every one of those written by people hunting exactly this class of error. It was wrong anyway, and each check we sell exists because it caught one of those mistakes.
We can show you every number behind that, because it is our book and not a client's. Read what each mistake looked like →
Who this is for. Quantitative traders, portfolio managers and risk leads at funds, prop desks and market makers — anyone about to size a strategy on the strength of a simulation.
Send the fills from a single strategy. We check them and walk you through what we found, at no cost, on the understanding that you tell us whether it was useful.
You will know within a day whether the edge you are about to size is the edge you measured.