Matching fill timestamps against chart ticks

[Amanhasnoname]

The cleanest way to judge execution is to stop trusting the number on the screen and line up the fill against the tick history around it. Terminal history gives a fill time, usually to the second or millisecond, and the fill price. The tick data around that time shows what the market was doing.

What to look for. Was the fill price actually traded at some point in the window between order send and fill report? If a buy filled at 1.0852 and the ask never touched that during the whole window, the price came from somewhere other than the feed on the screen. Was the fill price the first or the last in that window? Consistently getting the worst price in the window, when the window shows both better and worse prices, is the kind of detail single trades never reveal.

Caveats: the tick history in most terminals is the broker's own and is sometimes aggregated, so a missing tick is not proof of anything. Clock offsets of a second or more between the server and the local machine also ruin comparisons, so sync the clock and note the server's time zone.

Do it for 30 trades and put the results in a spreadsheet. Thirty is not statistics, but it is enough to see whether the picture is lumpy.

Any counter-example where a fill price never appeared in the tick window and still turned out to be legitimate?