Execution Costs

Execution costs are modeled explicitly to avoid overly optimistic backtests. Costs are configured under execution.*.

Cost Stack Diagram

flowchart LR
  A[Reference Price] --> B[Slippage]
  B --> C[Commission]
  C --> D[Impact]
  D --> E[Final Fill]

Commission

Commission is modeled per fill and can be:

• zero
• fixed (fixed amount per fill)

Transaction Costs

Transaction costs model non-commission fees and can be:

• fixed_bps (bps on notional)
• per_share
• per_order
• tiered (bps tiers by notional)

Market Impact

Market impact models price movement caused by trade size:

• fixed_bps adds a constant bps penalty.
• order_book uses depth to cap impact.

See guide/execution-models.md for configuration examples.