Demo fills are too good, and the reasons are mostly structural

[Shadow Trader]

Demo accounts typically fill every order instantly at the quoted price, in any size, with no slippage and no rejections. There's no liquidity provider on the other end, only the broker's server simulating a fill.

Live trading adds real latency, real depth limits, last look and real slippage. A strategy that makes money on a demo can lose it live for reasons unrelated to skill.

The difference is largest for scalping, where the edge per trade is small. A strategy earning 0.4 pips per trade in demo might earn zero live once the realistic costs enter.

Some demos are better than others. A few brokers deliberately add delay or slippage to mimic live conditions. Many don't.

A reasonable use of demo is testing mechanics, such as order placement, hotkeys and scripts. For evaluating performance, a live account with small size is the only fair test.

Has the gap between demo and live results been measured, and how large was it?