spread-in-data

The problem that a price feed is usually bid or mid while you buy at the ask and sell at the bid, so the spread must be injected by the fill model or it vanishes from the backtest. Omitting it produces gross results that can flip to net losses once the true cost of crossing the spread is counted.

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