CoachSimulator calibration adjusts a simulator’s parameters (latency, queue model, fill probabilities) so that its output matches live outcomes. The implementation shortfall of an order (Perold, 1988) is the difference between the P&L of a paper portfolio traded in full at the decision time’s price and the P&L actually realised; the price at the decision time, or at the order’s arrival in the market, is its arrival price.
rs_simlive.decomposition.