A slippage log worth keeping: the columns that matter

[Fairman]

A slippage log worth keeping: the columns that matter

Most trading journals track entry, exit, and profit. For scalpers, those fields miss the most valuable data. A proper execution log needs more columns, and building one takes about an hour.

Essential fields: signal timestamp, order send timestamp, fill timestamp, requested price, filled price, bid and ask at signal time, spread at fill time, order type, size, and session. For exits, add the intended exit level and the actual fill.

From those, calculate slippage in pips, latency in milliseconds, and spread cost. Pivot by hour, by pair, and by order type. Patterns appear quickly, like a particular pair that always slips at 14:30 server time or a market order type with double the latency of limit orders.

The log also turns vague complaints into evidence. A support ticket that reads "fill came 1.2 pips worse than requested, three times this week, timestamps attached" gets far more attention than a vague gripe.

Which extra fields have proved most useful in your execution log?

[Amanhasnoname]

A log like this paid off for me quickly, though I started with fewer columns than you list. The first useful ones were signal time, fill time, and the gap between requested and filled price, and from just those I found that one pair, USDCAD, regularly filled late in the first minute after the 13:30 London data window. The delay was often over a second, and the slippage was usually against me.

The column I would add to your list is a simple flag for whether the order was placed manually or by the script. Mine showed the manual orders slipping about half a pip more on average, and that was mostly down to my own hesitation before pressing the button rather than anything the broker did.

I fill the log in with a short script that reads the platform history and a small sheet for the extra fields. Doing it by hand for even a week would have shown the pattern, and I only wish I had started earlier.