fill model

The rule that decides what price an order actually gets in a backtest. On a CFD platform it must add the spread and any stop-order slippage to the data feed’s price, because a mid-price feed filled at mid silently deletes the spread that can be an intraday strategy’s entire edge.

First used in Lesson 2.4 · Event-driven backtesting with honest costs — the lesson that makes this term real.