Slippage tracking in a plain spreadsheet

[Fairman]

Slippage tracking in a plain spreadsheet

The most useful tool a scalper can build costs nothing. A spreadsheet with a few columns: time, pair, side, requested price, filled price, order type, spread at entry, and the market condition.

After a few hundred trades, patterns appear that no one notices in the moment. Slippage is worse at certain hours. Some pairs fill cleanly and others do not. Limit orders and market orders behave differently. News periods stand out sharply.

The data also gives something concrete to bring to a broker. A statement like "average negative slippage of 0.4 pips on EURUSD market orders between 13:00 and 14:00" is harder to dismiss than a general complaint.

Beyond slippage, tracking spread at entry shows how much of the trading edge is eaten by costs. Many traders are surprised by how large it is.

It takes about thirty seconds per trade to fill in, or seconds with an automated export from the platform history.

A good addition is a column for how the trade felt, a simple tag such as calm, rushed, or chased. After a month, filtering the slippage by that column often shows that the rushed trades are the expensive ones.

What patterns have turned up in slippage data, and did any change behaviour?