Execution engineering
Execution quality starts with precise definitions
How to evaluate signal-to-order timing, broker acknowledgement, fills, slippage and failure recovery without confusing a fast request with a completed trade.
| Event | Definition |
|---|---|
| Signal time | When the strategy emitted an actionable signal; define the clock and synchronization method. |
| Submission time | When the platform sent the broker request; disclose queueing, retries and transport. |
| Acknowledgement time | When the broker accepted or rejected the request. This is not necessarily an exchange fill. |
| First / final fill | When the exchange or broker reported the first and final execution, including partial fills. |
| Reconciliation time | When local state was confirmed against the authoritative broker order and position records. |
Demand a distribution, not a best case
A useful timing report identifies the broker, region, instrument, order type, observation period and sample size. Report median, 95th and 99th percentiles. Include rejected requests and timeouts with an explicit denominator; report their rates separately rather than silently excluding them.
A timeout is an unknown outcome
A request may reach a broker even when its response never reaches the platform. Retrying immediately can duplicate exposure. An execution design should reconcile against broker state, associate actions with stable identifiers and define what happens when state remains uncertain. These are evaluation criteria, not a claim that every integration currently provides identical guarantees.
Evaluate costs and market impact
Measure execution prices against a defined reference observed before the decision. Disclose spread, commissions, partial fills, liquidity and the direction of the trade. A market order prioritizes execution over a guaranteed price; a limit order can remain unfilled. Neither is captured by a single “speed” number.
Confirm broker scope
Check integration availability for your account and market. Broker APIs, account permissions and trading hours determine which operations can be enabled. A broker logo does not imply a partnership, endorsement or permission to trade every instrument.
The cost laboratory shows how execution friction changes an assumed gross outcome using a transparent arithmetic example.