Fill assumptions
Mid Price vs Fill Price in Options
The midpoint is a reference price. The fill price is the execution assumption your model actually pays.
Mid price is the average of bid and ask. Fill price is what the strategy assumes it could execute. In options backtests, use midpoint only when quote quality, size, and trade evidence support it.
Why midpoint is tempting
Midpoint looks objective and easy to compute. For liquid contracts it may be a reasonable benchmark, but it still requires evidence that orders could realistically execute near that level.
Why fill price matters more
The fill price determines realized P&L. A backtest that enters at mid and exits at mid may ignore the most expensive part of trading the contract.
How to model it
Keep bid, ask, midpoint, last, size, and timestamp. Test near-side and marketable fills beside midpoint assumptions before trusting a strategy result.
Quote vs Trade Timeline
Bid, ask, midpoint, and prints show why last price alone is fragile.
Bid/Ask Spread by Strike
Lower bars usually produce more defensible fill assumptions.
Related tools and docs
Backtest Realism Checker
Score contract, quote, trade, and spread assumptions before trusting a backtest.
Options Slippage Calculator
Translate bid/ask assumptions into dollar drag and breakeven movement.
Options Liquidity Scanner
Rank contracts by spread, volume, open interest, IV, and quote context.
Put/Call Ratio Dashboard
Track the current market put/call ratio beside weekly history across the last few years.
Options Chain Visualizer
Inspect heatmaps, IV smile, spread by strike, and volume versus open interest.
Options data API
See the full API surface behind these tools.
Historical options data API
Use contracts, quotes, trades, and aggregates for research workflows.
Options backtesting API
Plan historical contract and quote-aware fill sequences.