Edge must survive contact with the order book.
A signal that looks attractive before execution may become fragile after spread, liquidity, queue position, slippage, and adverse selection are considered. StatMind studies the difference between theoretical opportunity and realized trade quality.
Order book dynamics
How depth, spread, and flow evolve, because the book we trade into is never the book we saw.
Fill probability
The likelihood and timing of a fill, estimated rather than assumed at the mid.
Queue position
Where an order sits in the queue, and how that changes what it can reasonably expect.
Spread and slippage
The distance between decision price and realized price, measured on every order.
Adverse selection
How often a passive fill is the one an informed counterparty wanted, and what that costs.
Execution quality
Fills benchmarked against decision price with implementation shortfall, not flattered against the mid.
Post-trade attribution
Decomposing realized outcomes to their source so execution research compounds over time.
Public materials describe the execution problems we study, not the live rules used to quote, route, size, pause, or adjust orders.