SPEC-EAV-001 v0.2 · Layer L3 Execution and verification
E-09 Signal to order to fill attrition
This item requires the optional extended input. Without it, it is reported as not judgeable.
E-09 measures the proportion of signals that become orders and orders that become fills, together with the time taken at each stage, separated by session and volatility regime. It requires the optional extended input; without it the item is reported as not judgeable.
What it examines
The order lifecycle from signal through submission to fill.
How it is computed
Ratio of orders to signals and fills to orders, with the elapsed-time distribution at each stage, separated by session and volatility regime.
What a defect means
The rate at which signals fail to become orders, or orders fail to become fills, shows the health of the execution layer directly. Whether that rate deteriorates during unattended overnight hours matters most.
Judgment states
| Pass | The structure is observed and meets the threshold. |
|---|---|
| Caution | The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside. |
| Defect | The structure is not observed, or clearly falls outside the threshold. |
| Not judgeable | The required input data is absent. Marked distinctly from a pass. |
Threshold
Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.
Basis
Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).
Questions this item answers
- How many of my EA's signals never become orders?
- How do I measure order rejection rate for an automated system?
Related items
Related terminology
Revision · SPEC-EAV-001 v0.2 · 2026-08-21