Nifty Options Liquidity and Slippage

A perfect signal fails if you cannot fill. ATM and near strikes are liquid; far OTM is thin with wide bids. Feature liquidity_score = volume at target strike / median. The model avoids illiquid strikes regardless of signal -- a 5% edge lost to 3% slippage is a loss. This is execution reality retail ignores while backtesting on mid prices. Publish slippage assumptions; a model ignoring fills is a simulation, not a strategy.