Logging real slippage on market orders (MT5 + a dumb Python script)

[FXS Prop Desk]

Percentiles are the right way to look at slippage. A practical point for the Python script: record slippage separately for buys and sells, as asymmetric slippage (consistently worse on one side) can indicate a problem with the broker's execution rather than normal market conditions.

Splitting the log by order size can also show whether larger orders get worse fills, which helps decide whether to split big orders into smaller ones.