Signals, orders, fills and outcomes: why record them separately?
Four stages separate research rules from execution and realised results.
A signal is a rule condition. An order is an execution instruction. A fill is the actual executed price and quantity. An outcome includes costs. Recording each stage separately helps locate problems in the idea, risk controls, execution or holding period.
Signal: a rule condition
A signal is not a position. A price condition may trigger, while position limits or risk controls still prevent an order. Record the trigger time and available data.
Order: an intention to execute
An order specifies side, quantity, type and price conditions. A market order does not guarantee a particular price. A limit order imposes a price condition but does not guarantee execution. Available types depend on the venue and broker.
Fill: what actually happened
Retain execution timestamps, quantities, prices and fees. Keep partial fills, cancellations and unfilled orders separate. Do not replace actual fills with expected prices or count signals as completed trades.
Outcome: a consistent evaluation
Read realised results together with holding-period risk and capital usage. Identical signals can produce different outcomes through sizing, costs and fills. A profitable trade alone does not demonstrate robust rules.
How should a report show the chain?
Connect the rule trigger, risk decision, order submission, actual fill and subsequent result by time. Explain missing stages. This is an educational reporting structure, not a live signal or trading recommendation.
Questions
Must a signal become a trade?
No. Risk, capital or execution constraints can prevent an order.
Does a market order guarantee the price?
No. Investor.gov explains that a market order does not guarantee its execution price.
Sources and scope
External sources support the definitions and method discussion; they do not validate WeiMind’s research results.
For education and research only. No investment advice or promised returns. Backtests do not predict future performance. Any live demonstrations are historical records delayed by at least one trading day.