u/AutomaticEmu

I'm currently backtesting a new strategy on Double Diagonals using data from Polygon.io (now rebranded as Massive).

I'm not running my strategy on indexes like SPX, QQQ, etc. but rather on stocks so unfortunately I run into the issue of execution and slippage.

My current backtest assumes mid/mark pricing for now but I can adjust to slippage past the mid pricing.

What's your experience been when it comes with Single leg, 2 Leg, 3 Leg, 4 Legged strategies?

Do you ever try to get filled for 2 or single legs on a 4 legged strategy?

A slightly different question is which brokerage gives you the best fills and order execution?