Quant trading guy here. Most likely your simulation didn't account for market impact. It's maybe the hardest bit. See liquidity based bullet points above.
Other place to look is whether the data was recorded with timestamps of where the trading happened, but you probably thought of that one.
I was moving very small amounts. I think my Max trade was set at like $50 equivalent so it wasn’t anything crazy. It seems my main issue was latency and not realizing that my time scales should have been significantly shorter.
Other place to look is whether the data was recorded with timestamps of where the trading happened, but you probably thought of that one.
Idea makes sense though.