Measuring slippage by session: London vs NY vs Asia sample

[LondonScalper]

The Asia shape you describe is what my histogram looked like too: mostly zeros and a tail that does all the damage. The number that mattered was the size of the worst 5% of fills, which was bigger in Asia than in London despite far fewer trades.

On the news tagging, the Forex Factory weekly feed is handy going forward but only covers the current week, as you say, so run it every Friday and keep the file, or the history is gone. I'd also tag by event rather than by currency. A US release matters to EURUSD and gold but barely registers on EURGBP, and splitting EURUSD into EUR and USD will over-tag the sample.

The broker offset is the part that bit me. My server runs on GMT+3 in summer and GMT+2 in winter, and the week when Europe has changed its clocks and the US hasn't sits awkwardly in every log. I keep everything in UTC now and convert only for display.