Execution Cost Modeling

Execution Cost Modeling estimates what a round trip really costs, bar by bar — execution cost modeling as a chart series. Sides that cross the book pay half the spread, conditioned slippage, commissions and an optional impact term; resting limit sides instead carry non-fill risk, priced by a fill-probability model.

How to Trade the Execution Cost Modeling?

• Round-trip cost: the plotted total; the dashboard itemizes spread, slippage, impact and commissions per side.
• Viability screen: a gross edge draws the edge line and shades the Edge Erosion fill where cost exceeds it; alerts fire as net expectancy flips sign.
• Cost spikes: the cost crossing its baseline times the spike multiplier flags thin or fast tape.

Execution Cost Modeling Settings

• Entry order type (default Market) and Exit order type (default Stop (chases price)): stops also carry the Stop-order slippage multiplier (default 2).
• Order size (units) (default 1) and Expected fill ratio (%) (default 100): scale impact and cash figures.
• Spread source (default Auto (high-low estimator)) with Estimator smoothing length (20); Fixed spread (ticks) (1) and Fixed spread (bps) (2) serve the fixed modes.
• Base slippage per side (default 1) in the Slippage basis (default Ticks), conditioned by Scale with volatility & relative volume (default on) via Volatility length (14), Baseline length (100) and Scaling multiplier cap (3).
• Commission per side (bps) (default 1) and Commission per side (cash) (0); Include market impact (default on) with Impact coefficient (1) and ADV & volatility length (days) (20).
• Limit offset (ticks) (default 2), Fill horizon (bars) (10), Sample window (bars) (200): the limit fill model.
• Gross edge per trade (ticks) (default 0, screen off) and Cost spike multiplier (2); display: Cost unit (Basis points), Show cost components (off), Show dashboard (on).

Frequently Asked Questions

How does this differ from Cost Sensitivity?

Cost Sensitivity takes a cost figure as given and re-prices a trade list at stressed multiples. This build constructs the figure itself — model the cost here, stress it there.

Where does the automatic spread come from?

A two-bar high-low estimator infers it from adjacent bar ranges, averaged and floored at zero. Switch to a fixed value whenever the real spread is known.

Why are stop orders charged extra slippage?

Stops chase a moving price once triggered, so real fills tend to land beyond the trigger — assuming trigger-price fills is a classic source of optimistic backtests. The multiplier encodes the penalty.