Quoted prices, executable prices and settled returns
A price on a screen is not a price you can necessarily get. Separate forecasts, quotes, executable prices and settled returns, and measure how slippage, partial fills, stale quotes and limits erode an edge on paper.
Learning objectives
- Distinguish a probability forecast, a quoted price, an executable price and a settled return.
- Compute executed EV after slippage and partial fills, and the break-even slippage for a given edge.
- List the main execution frictions and explain how each one biases a backtest built on quoted prices.
- Explain what Value 7's price lock removes from the problem and why a Value 7 record overstates real-world executability.
Four numbers that get confused
- Probability forecast: your p, with its uncertainty (lesson 4).
- Quoted price: the number displayed in a feed or on a screen at some timestamp.
- Executable price: what you can actually get, for your stake, at the moment your order arrives.
- Settled return: what lands after the result, including voids, cancellations and any rule differences (lesson 1).
Expected value is computed from the first two, but money (or Credits) is earned on the last two. A backtest that uses quoted prices answers a hypothetical question: what if every quote had been available at full size? The more a strategy relies on quotes that differ from the rest of the market, the less likely that assumption is.
Each step can only lose information. Your forecast may be right while the quote is stale; the quote may be live while your stake is limited; the price may be executed while the bet is later voided. A useful habit is to record all four numbers for every pick, even simulated ones, so that you can see later which gap cost you the most.
Frictions between quote and fill
- Stale quotes: a feed may show a price that has already moved. Prices that look best across many bookmakers are disproportionately likely to be stale.
- Latency and price moves on submission: between seeing and submitting, the price can shorten, and an order may be rejected or re-offered at a worse price.
- Stake limits and account restrictions: maximum stakes can be small, and accounts that win may have limits cut.
- Slippage and partial fills: on exchanges and in thin markets, only part of an order may be matched at the quoted price.
- Voids and cancellations: bookmakers' terms commonly allow bets at obviously erroneous prices to be voided, and abandoned matches follow house rules.
Executed EV = fill × (p × o × (1 − s) − 1)Break-even slippage s* = 1 − 1 / (p × o)What research says about execution
Value 7: a locked price in a free game
In Value 7 the price shown when you submit a pick before kickoff is locked for that pick, the stake is a fixed amount of free virtual Credits with no cash value, and there is no slippage, partial fill or account restriction. That makes Value 7 a clean place to practise reading prices: your result depends only on your forecast, the locked price and the regular-time settlement rules.
You can still use Value 7 to practise execution thinking. For each pick, note the price you locked, the price shortly before kickoff and your own probability. Over time that shows whether you tend to lock prices before or after the market moves. The lesson on closing line value explains what such comparisons can suggest and why they are not proof of long-run profit.
Worked example
Worked example · From +10.4% on paper to what execution leaves
The hypothetical Ashbridge pick from lesson 4: quoted 2.30, your estimate 48%. Execution assumptions are hypothetical.
- Paper EV at the quote
0.48 × 2.30 − 1+10.4% - 3% slippage
Executed odds 2.30 × 0.97 = 2.231; EV = 0.48 × 2.231 − 1+7.09% - Half the stake matched
0.5 × 7.09%+3.54% per intended unit - Stale quote
The market had already moved to 2.10: 0.48 × 2.10 − 1+0.8% - Break-even slippage
1 − 1 / (0.48 × 2.30) = 1 − 1 / 1.1049.42% (odds of 2.083) - 10% slippage
Executed odds 2.07; 0.48 × 2.07 − 1−0.64%
The same forecast yields anything from +10.4% to a small loss depending on execution alone, before any doubt about the 48% itself. And if the true probability were 42%, as in lesson 4, even the full quoted price would be negative EV. Execution can only subtract from a paper edge, never add to it.
Practice · Re-run the sensitivity at the executed price
In lesson 4 the range 44%–52% at 2.30 was positive across the range. Open the Fair Odds and Expected Value lab with the executed price after 3% slippage, 2.231, keeping the estimate at 48% and the range at 44%–52%. Then try 2.10, the stale-quote price.
Lab 1 · Fair odds and expected value
Synthetic · deterministicNo clear advantage. Your range straddles break-even. Whether the bet has value depends on which end of your estimate is right, so there is no clear advantage. A careful analyst treats this as a pass unless better evidence narrows the range.
Show data table
| True probability (%) | Expected ROI |
|---|---|
| 34% | -24% |
| 35% | -22% |
| 36% | -20% |
| 37% | -17% |
| 38% | -15% |
| 39% | -13% |
| 40% | -11% |
| 41% | -9% |
| 42% | -6% |
| 43% | -4% |
| 44% | -2% |
| 45% | 0% |
| 46% | 3% |
| 47% | 5% |
| 48% | 7% |
| 49% | 9% |
| 50% | 12% |
| 51% | 14% |
| 52% | 16% |
| 53% | 18% |
| 54% | 20% |
| 55% | 23% |
| 56% | 25% |
| 57% | 27% |
| 58% | 29% |
| 59% | 32% |
| 60% | 34% |
| 61% | 36% |
| 62% | 38% |
Educational calculator. Uses only the numbers you enter or seeded synthetic data — no live prices, no staking, no real money.
Show what you should find
At 2.231 break-even rises to 44.82%, EV is +7.09% at 48%, −1.84% at 44% and +16.0% at 52%: the verdict changes from positive across the range to depends on the estimate. At 2.10 break-even is 47.62%, EV is +0.8% at 48% and runs from −7.6% to +9.2%: no clear advantage. A small price difference turned a robust-looking edge into a judgement call.
Common mistakes
- ✗ Backtesting on the best quoted price across many bookmakers.The best of many quotes is disproportionately likely to be stale or erroneous. Test on prices you could have executed, or apply realistic slippage and fill assumptions.
- ✗ Assuming any stake can be placed at the quoted price.Limits, partial fills and account restrictions cap what can be executed; executed EV scales with the fill rate.
- ✗ Ignoring voids and cancellations in settled returns.A voided winner returns only the stake. Settled returns must follow the actual settlement and void rules, which differ between bookmakers and from Value 7.
- ✗ Treating a Value 7 record as proof that picks were executable for real money.Value 7 locks prices and uses free Credits, so it removes every execution friction. It tests forecasting, not execution.
When it fails
Supporting research
- Kaunitz, Zhong & Kreiner (2017): Beating the bookies with their own numbers – and how the online sports betting market is riggedarXiv preprint · Preprint · not peer reviewedReports account restrictions during a short real-money trial of a consensus-based strategy; a preprint with a small live sample, so it illustrates the execution problem rather than proving a size.
- Simon (2024): Inefficient Forecasts at the Sportsbook: An Analysis of Real-Time Betting Line MovementManagement Science · Peer-reviewed empiricalReal-time line movement overreacted in MLB moneylines, but the profits found were hypothetical and ignored limits, latency and stake restrictions.
- Clegg & Cartlidge (2025): Not feeling the buzz: Correction study of mispricing and inefficiency in online sportsbooksInternational Journal of Forecasting · Peer-reviewed replicationA published out-of-sample profit depended heavily on one bet recorded at erroneously long odds, showing how unexecutable prices can manufacture returns.
Check your understanding
Practice only: saved on this device, no XP and no account record.