A quote tells you the price of the first few shares, not of your order. Want more and you fill level by level, at a worse average. Backtests that ignore this manufacture opportunities that never existed — and on this venue the books are thin enough that it happens constantly.
Full-level replay across more than 1,600 short-tenor windows:
| Percentile | Top-of-book size |
|---|---|
| median | about $94 |
| 25th | $37 |
| 10th | $13 |
Heavily right-skewed: the median looks workable and one window in ten has only $13 at the best price. An order of any size is walking the book on those.
Taking a realistic order size against those real books:
| Measure | Result |
|---|---|
| Windows filled with zero slippage | 45% |
| Average slippage | 0.56pp |
| Windows that could not be filled | 0% |
So it is fillable — but 55% of the time it costs you something, and that something averages more than half a percentage point. Against a cost line already around 2pp, this is not a rounding error.
| Basis | Order size at which net return reaches zero |
|---|---|
| Counting book-walking only | about $200 |
| Also counting price drift during execution | about $90 |
Because an edge has a capacity, and on short-tenor boards that capacity is often only a few hundred dollars. Size up tenfold and the edge may already be gone or negative — the strategy did not stop working, you overran it.
The right question is not "how much does this make" but "at what size does it still make it". Those are different questions, and a backtest answers only the first by default.
The instinctive fix is to break a large order into pieces. Measured, it is strictly worse, for two separate reasons:
| Split how | Result |
|---|---|
| Simultaneously | you consume the same levels, so the volume-weighted price is unchanged |
| Spread over time | you pay price drift — measured at about 0.79pp per 30 seconds, against roughly 0.46pp of book-walking for taking it in one go |
It sounds prudent. But depth correlates with price, and price correlates with the kind of window you are in — so adjusting size by depth means you are silently reweighting your bets by a market characteristic.
That is a strategy change disguised as a risk control, and it belongs to the same family as capping your fill price: a rule that quietly selects which windows you participate in, without appearing in your strategy description.
If you want depth-dependent sizing, declare it as part of the strategy and test it as such — do not smuggle it in as execution hygiene.
| Must | Because |
|---|---|
| Fill against real levels | a flat price produces a result you cannot reproduce |
| Include execution drift | it halves capacity: $200 becomes $90 |
| Report no-fills as a rate | dropping them silently is selection on the outcome |
| State the bias direction | conservative or optimistic — see replay bias |
| Test at the size you will trade | capacity is a property of the edge, not a detail |
A quote is the price of the first few shares, not of your order. On these books one window in ten has $13 at the top, and the size at which an edge dies is about $90 once drift is counted — which is why sizing up is where good backtests usually go to die.