Latency matters

This is simple and perhaps even obvious, but if you're simulating a fast strategy on high-resolution historical data – you at least need to simulate some average latency or the results are probably misleading.

For some exchanges, you also need to look out for weird(?) looking bulks of orders and/or order book updates that all have the exact same timestamp(!). Figuring out what actually happened here is tricky or even impossible and everything but limit orders will, I think, just be guesswork. It seems reasonable to assume that none of your order adds or updates went through during a period like this – and latency is probably higher than average just before and afterwards.

This result is only possible with 0 latency:

..the moment I add a little latency to this simulation, the diagonal blue line (PnL) is flipped!