Slippage
2026
The importance of some clock ticks late in the day (QQQ and SPY)
QQQ and SPY jump at 15:50:00 and 15:55:00 just as the index futures do, SPY included, although its own exchange's auction runs to a different timetable. Eight years of Nasdaq trades show where the ETFs match the futures and where they part company: at the close, after the bell, and since April 2026 in what it costs to trade them.
The importance of some clock ticks late in the day (index futures)
Index futures jump on a timetable. Peering into eight years of NQ, ES, YM, and RTY bars shows that the closing-auction clock makes 15:50:00 and 15:55:00 the most violent seconds of the regular session, and other time-related observations.
3. Execution Simulation Fidelity
· Updated Backtesting Pitfalls
The most fundamental question in any backtest is deceptively simple: would this trade have been filled, and at what price?