The gap between a historical backtest and a live matching engine is where retail capital goes to die. If you are calculating your "edge" based on historical Last price without a rigorous fill probability model, you aren't trading—you're just dreaming in Excel.

In a high-frequency environment, your limit order is not a guarantee. It is a request that professional market makers will exploit through adverse selection. If your strategy can't survive a 50ms execution delay or 0.5 bps of forced slippage, it isn't alpha. It's just noise that looked good in a vacuum.

The real edge isn't in the indicator. It's in the infrastructure that handles the probability of being filled when the market moves against you.

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