Lets say you are exploring some algo trading strategies, and lets take VWAP for the time-being. To put VWAP into test in real trading environment is expensive, because VWAP is only meaningful when you have a reasonably large number of contracts to trade. Therefore we cannot use 1 contract or 2 lots, etc. to test. We probably have to put up 100 contracts or lots at least for testing... That's costly. Same in backtest. You have to do 100+ lots instead of 1 lots, etc. But then how do you backtest the market interaction realistically? Any thoughts? Thank you!