What the first month of a slippage diary teaches

[Shadow Trader]

Start a simple log: requested price, filled price, direction, order type, time, spread at the time. It takes fifteen seconds per trade. After a month, a surprisingly rich picture appears.

Typical discoveries:

- Slippage is not evenly distributed through the day. A handful of minutes account for most of it.
- Stop orders slip far more than limit orders.
- Entries during news hours look like a different broker altogether.
- Slippage is sometimes strongly asymmetric, with negative slippage common and positive slippage rare.
- A particular pair is consistently worse than the rest.

None of this shows up in a backtest. All of it feeds directly into what the strategy can realistically earn. Some traders find that excluding two or three bad windows removes most of the hidden cost.

There's also the matter of evidence if a broker conversation becomes necessary. "Slippage seems bad" gets a polite non-answer. A table with 400 rows gets attention.

Another handy column to add: the ten seconds after fill. Recording where price went in the ten seconds after entry shows whether fills tend to come right before adverse moves. A consistent pattern there points to adverse selection and not just random slippage.

Between the slippage numbers and that post-fill drift, a month of logging usually builds a clear picture of execution quality that no marketing page would ever hand over.

What surprised the most when a slippage log was first kept, and what was changed as a result?