Why demo fills are too good to be true

[Shadow Trader]

On a demo account, orders typically fill at the displayed price within milliseconds. No partial fills, no off-quotes errors, no delay.

On a live account, the picture is rougher. Orders hit the broker's server, route through a pricing engine, and may be checked against a last look window. The price seen on the screen is a few milliseconds old by the time the order arrives.

The practical implication for scalpers is that demo results systematically overstate performance, and the overstatement grows as targets shrink. A 10 pip system may lose a few percent of its edge to execution. A 2 pip system may lose most of it.

A decent test is to run the same strategy on a live account with minimum size for a month, logging fill quality. The cost of the test is small compared with scaling up a system whose edge only existed in demo conditions.

Has a demo result ever survived the move to live intact?