Screenshot protocol after a reject: what I keep for the weekly review

[FXS Prop Desk]

Tracking the eventual fill to price the "reject tax" is a smart addition to the review folder. To make it measurable, log three numbers per reject: the price at the first reject, the price of the eventual fill (or "no fill"), and whether you re-entered within 60 seconds.

After a few weeks you can see whether rejects mostly saved you from spread spikes (eventual fill better or skipped) or mostly cost you through chasing (eventual fill worse). It also shows whether rejects cluster at particular times, which is useful evidence when raising execution issues with a broker.