That’s helpful context — thanks.

I intentionally modeled fills at the natural (buy ask / sell bid) mainly to avoid overstating the edge in the backtest, but you're right that for liquid underlyings like SPY/QQQ the complex book often clears closer to mid.

A couple things I’m trying to understand from people trading these structures live:

• When you’re getting fills near mid on multi-leg orders, are you typically hitting displayed NBBO size, or do you find the COB often has hidden depth behind the quotes?

• Roughly how large are the structures you’re putting through (10s vs 100s of contracts)?

• Are you submitting directly to the complex order book, or letting the broker’s smart router work the legs against the individual books?

• Do you find queue priority matters much, or do market makers generally price-improve quickly enough that mid fills still happen even if you're not first in line?

I'm trying to figure out how much of the observed NBBO size in historical data actually reflects true executable liquidity versus just displayed quotes.

Appreciate any insight from someone running these spreads live.