1
Order eligibility
The order becomes active only after its submission event.
Lesson · Backtesting and Trading Systems
Trade Execution Simulation
Model market, limit, stop, stop-limit, target, and cancellation behavior using prices that could realistically execute in the tested sequence.
Core concepts
What to understand
Keep each definition operational so it can be implemented and tested.
2
Fill condition
Price touching a level does not always prove the full order could execute there.
3
Intrabar ambiguity
When stop and target are both inside one bar, the sequence is unknown without finer data.
Interactive lab
Order and Fill Simulation Lab
Select an order type, gap condition, and intrabar assumption. Inspect the simulated fill, exit, and R-multiple.
Order and Fill Simulation Lab
Deterministic synthetic educational data · no live market connection
BACKTEST MODEL
Process
Separate signal from execution
Each simulated order needs a lifecycle.
Submit
Record time, side, type, quantity, and constraints.
Match
Apply eligible prices, spread, liquidity, and queue assumptions.
Resolve
Fill, partially fill, cancel, expire, stop, or target the order.
Knowledge check
Check your understanding
Select one answer for each question. Feedback appears immediately.
1. A buy limit below the market guarantees:
A limit controls the maximum buy price but may never fill.
2. If a bar touches both stop and target, daily OHLC alone tells you:
Finer data or a conservative ambiguity rule is required.
3. A stop-market order after a gap may fill:
The stop triggers the order; it does not guarantee the execution price.
4. A long position has its stop at 100.00. The next bar opens at 98.50 and never trades above 99.00. The simulated exit is:
A stop triggered by a gap fills at the first available price, the open: 98.50 here, a loss 1.50 beyond the stop. The lab books stops and targets the same way whenever a bar opens through them.
Practical rules
- Use order-specific fill logic.
- Use conservative handling for unresolved intrabar order.
- Model partial fills or capacity limits when size matters.
Common mistakes
- Filling every touched limit order completely.
- Assuming stops always execute at the stop price.
- Allowing orders to fill before submission.
References
Official reading
The labs are simplified simulations. These sources cover historical performance, data, costs, or execution limitations.
FINRA · Common Questions About Online Trading
Explains that market orders can fill away from quoted prices and limit orders may not execute.
CME Group · Trading Simulator
Provides a practice environment for testing trading decisions without live capital.