Entry assumption
Idea: momentum should continue after the opening range breaks.
Simulated entry: instant fill at the displayed ask with no queue position recorded.
Replay Sheet
From Simulated Result to Process Lesson
A positive simulated P&L is an observation, not proof that a strategy or execution method is sound.
Replay finding
What was different: live liquidity, spread width, and order priority could have changed the fill.
Process lesson: retest with conservative fill assumptions and log the execution boundary.
Platform context: Charles Schwab paperMoney guidance.
Simulation Discrepancy Matrix
Simulation Discrepancy Diagnostics
A systematic evaluation comparing Charles Schwab thinkorswim paperMoney simulated fills against live market order routing, quote latency, and liquidity constraints.
| Execution Dimension | paperMoney Sandbox Assumption | Live Market Reality | Diagnostic Impact |
|---|---|---|---|
| Order Queue Placement | Fills limit orders instantaneously as soon as the price prints on the tape. | Orders sit behind existing depth-of-book volume at market makers and ECNs. | Overstates Fill Speed |
| Stop-Loss Execution | Fills at the exact stop trigger price without accounting for fast-market gaps. | Stop orders convert to market orders, vulnerable to slippage across wide air pockets. | Understates Drawdown |
| Opening Bell Option Spreads | Midpoint pricing or stale theoretical prices filled cleanly at 09:30:05 EST. | Market makers widen bid/ask spreads up to 10x normal widths for the first 5 minutes. | Unrealistic Fill Prices |
| Multi-Leg Assignment Risk | Complex option combos route simultaneously without partial leg fill risks. | Legging into spreads risks unhedged market exposure during volatile order routing. | Conceals Structural Risk |
| Default Quote Latency | Unactivated accounts default to a 20-minute delayed feed during market hours. | Live executions occur on microsecond SIP / OPRA level direct market data. | Severe Timing Offset |
| Low Float & Illiquid Volume | Virtual orders for 10,000 shares fill in full regardless of available Level 2 size. | Large block orders absorb entire book levels and move price against the trader. | False Size Capacity |
| Crypto Futures Around the Clock | Simulates continuous fill liquidity over weekend periods with smooth prints. | CME crypto futures experience weekend gap opens, maintenance pauses, and margin shifts. | Skewed Weekend Exposure |
Log Normalization
Replay analyses adjust paperMoney logs by applying conservative slippage bands based on historical order book liquidity and actual consolidated tape prints.
Commission Impact
Simulation logs often overlook exchange fees, routing credits, options contract surcharges, and financing rates on overnight futures leverage positions.
Audit Readiness
Exporting the Account Statement tab from thinkorswim Desktop or Web provides the foundational timestamped data required for behavioral debriefing.
Diagnostic Intake
paperMoney Log Audit Request
Submit your anonymized thinkorswim trade export headers to generate a Replay diagnostic report. We reconstruct fill reality by benchmarking paper trades against true market tape records.