What a trade history will never tell

[Fairman]

What a trade history will never tell

The trade history lists the open time, close time, volume, prices, and profit. It's a good record. It leaves out things that matter.

What isn't recorded: the quote at the moment the order was sent, the time the order spent in transit, the number of requotes before the fill, the spread at the time of entry, and the state of the book. Without that, the history can't distinguish a good fill from a bad one.

Anyone serious about execution quality needs a second record. An expert advisor or logging script can write the extra fields to a file: send time, receive time, requested price, executed price, spread at request, spread at fill.

Over months, that data shows trends that the history can't. A rising average round-trip time. A slowly growing slippage. A change in rejection rate.

It also gives evidence when something goes wrong. A trade history alone proves little. A detailed log with timestamps backs up a complaint.

The overhead is tiny. A few lines of code and a file that grows by a few kilobytes per day.

Which extra fields get logged per trade, and which turned out to be the most informative?