During real trading besides the current price (ie. last trade price) IMO nearly everybody watches also the actual Bid/Ask prices and sets his own price based on these 3. Usually Bid <= Last <= Ask, but this isn't always the case. While developing my own RT system I made the following observation: if one only had also the Bid/Ask in historical data then one could do a better/more realistic backtesting. Usually we do add a slippage % to the Last price. But if Bid/Ask were available too, and this price is better than the Last +/- the calculated slippage then one could use the better Bid/Ask price instead, much like in real trading. And IMO this procedure would give not only a more realistic backtest results but obviously also an improved performance. The problem is that many data vendors don't understand what data is really necessary for doing realistic backtests. So, besides Date+Time,OHLCV one also needs the Bid and Ask prices in historical data. What do other system developers and testers think?