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I was asked this question in an interview and despite thinking about it for a while, I haven't been able to come up with a good answer.

Suppose you have a strategy you are running where at certain points your orders are a significant percentage of the order book (e.g., perhaps because you are trading a very thin market). Now you have made a small change to the strategy and want to backtest your change. How can you compensate in your backtest for the fact that your (live) strategy has orders in the market around the same time that your backtest has orders in the market? Presumably your live orders impact the market and the market would be different if your live orders were not there.

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    $\begingroup$ Perhaps your answer was correct. There is no good answer )) You can subtract your own orders with some effort, but you can't subtract their impact on other market participants. $\endgroup$ – Serg Nov 28 '14 at 1:13

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