Backtesting in Illiquid Markets: Fill Models
Backtesting in illiquid markets: how three fill models change the same strategy's reported return, and the checks that tell an artifact from an edge.
#order book
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Latency Models in HFT Backtests Explained
Latency models in HFT backtests decide which fills are real. See how feed delay and order entry delay differ, and what a zero latency fill quietly hides.
What Is a Liquidity Heatmap? How to Read One
A liquidity heatmap paints resting order size at every price level over time. It needs depth-of-book data, not Level 1, and it only shows displayed orders.