Customized on top of
precise market physics
Customization only matters if the engine underneath is real. Fill prices, slippage and securities borrowing are computed straight from actual market microstructure.
Orders fill with market impact fully priced in
| Execution strategy | Reference fill price | Slippage multiplier | Profile |
|---|---|---|---|
| market | close | ×1.0 | Immediate, full size; most expensive |
| twap | (O+H+L+C) / 4 | ×0.3 | Approximates time-weighted average |
| vwap | (H+L+C) / 3 | ×0.2 | Approximates volume-weighted (typical price) |
| close | close | ×0.05 | Fills at the close; minimal slippage |
| open | open | ×0.05 | Fills at the open |
Slippage = ( base + impact × √participation ) × strategy multiplier
The larger an order relative to volume, the worse its fill. Orders above 5% participation are rejected, steering them into TWAP/VWAP slicing.
Short selling reflects borrow difficulty, too
| Market cap tier (KRW equivalent) | Annual borrow rate | Borrow difficulty |
|---|---|---|
| ₩1T and above | 1.0% | easy to borrow |
| ₩300B – ₩1T | 3.0% | moderate |
| Below ₩300B | 7.0% | hard to borrow |
| No market cap data | 2.0% | flat fallback |
Borrow rates and the uptick rule are part of the competition (fund) settings. In line with retail paper-trading practice, the default competition charges no borrow cost; it is enabled once the live KRX borrow rate feed (v2) is connected.
The figures above are just examples from the default competition.
Execution strategies, slippage coefficients, rejection thresholds, borrow rates and the uptick rule — everything is tuned to your fund's or competition's operating rules. Same engine; only the rules change.
For internal research
Exposes the full parameter set so aggressive assumptions and sensitivities can be tuned directly. Strategy teams experiment freely with market microstructure assumptions.
For external reporting
Locked to conservative defaults and auditable rules. Reproducible results you can share as-is with competitions and clients.