What a backtest cannot tell about queue position
Posted: Fri Oct 30, 2026 7:57 am
What a backtest cannot tell about queue position
A limit order sits in a queue. Orders ahead of it fill first. A backtest that says a limit order at 1.0850 would have filled because price touched 1.0850 ignores the queue.
In reality, price may have touched that level for a single tick, and the orders ahead of the trader's absorbed all of the volume. The trader's order stayed unfilled.
This effect is hard to quantify in spot forex, because retail traders usually trade against a broker or a bridge, not a visible order book. Still, the same logic applies. A limit order is filled only when the broker decides the market has traded through it.
Many brokers fill limit orders only when the price moves beyond the limit by a small amount. Touching is not enough.
Backtests that count touches as fills overstate results. Requiring price to trade through the level by a tick or two is a more realistic assumption.
How does the live fill rate on limit orders compare with the touch-based fill rate in the backtest?
A limit order sits in a queue. Orders ahead of it fill first. A backtest that says a limit order at 1.0850 would have filled because price touched 1.0850 ignores the queue.
In reality, price may have touched that level for a single tick, and the orders ahead of the trader's absorbed all of the volume. The trader's order stayed unfilled.
This effect is hard to quantify in spot forex, because retail traders usually trade against a broker or a bridge, not a visible order book. Still, the same logic applies. A limit order is filled only when the broker decides the market has traded through it.
Many brokers fill limit orders only when the price moves beyond the limit by a small amount. Touching is not enough.
Backtests that count touches as fills overstate results. Requiring price to trade through the level by a tick or two is a more realistic assumption.
How does the live fill rate on limit orders compare with the touch-based fill rate in the backtest?