Limit-order scalpers should track missed fills, not slippage

[Amanhasnoname]

A limit order cannot slip the way a market order does. It fills at the limit or better, or it does not fill. So for a scalper who enters on limits, the slippage column in the journal is close to useless, and the real leak is somewhere else: the orders that never filled.

Missed fills are not random either. The setups where price turns before touching the limit are often the cleanest winners, while the fills that do happen skew toward price running straight through the level.

Mini example over 100 signals: 70 filled at an average of +0.4 pip per trade, 30 missed. Filled group: 70 x 0.4 = 28 pips. If the missed 30 would have averaged +1.2 pips, that is 36 pips left on the table, so the full set was worth 64 pips and more than half of it never reached the account.

Whether that happens depends on the setup, and a sample this small proves nothing, but the habit is cheap. Log every signal, record the hypothetical outcome of the unfilled ones, and compare the two groups every few weeks. If the missed group is the better one, the limit offset or the entry method needs rethinking, not the stop.

Does anyone log hypothetical results for unfilled limits, and does the missed group beat the filled group in that data?