Time to fill is a number worth logging

[Shadow Trader]

Most platforms record when an order was sent and when it filled, often to the millisecond. Almost nobody looks at the gap between the two, which is a shame, because it's one of the few execution numbers that can be checked without any special tools.

Export the history, calculate the difference for a few hundred market orders, and plot the spread of values. The shape says a lot about the broker and the connection.

A tight cluster around 50ms with a thin tail is healthy. A bimodal picture, with one hump at 50ms and another at 400ms, suggests some orders are being handled differently from others. A slow upward drift over a few months points to a server or routing change.

Averages hide all of it. The median and the 95th percentile tell the real story, because the slowest fills are the ones that cost money.

What does the slowest 5 percent of fills look like on a live account?